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* To leave the list, send the message UNSUBSCRIBE SNDE_L *
* to MAJORDOMO(a)EMAIL.RUTGERS.EDU *
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----------
From: RBCALDWELL@delphi.com[SMTP:RBCALDWELL@delphi.com]
Sent: Sunday, December 08, 1996 3:57 PM
To: owner-snde_l(a)email.rutgers.edu
Subject: INFFC Proceedings Announcement
Status: RO
X-Status:
X-Keywords:
X-UID: 224
************************************************************************
I N F F C
************************************************************************
Nonlinear Financial Forecasting:
Proceedings of the First INFFC
International Nonlinear Financial Forecasting Competition
Finance & Technology Publishing
January 1997
Finance & Technology Publishing, the publisher of the NeuroVe$t Journal:
advanced technology in finance, is pleased to announce its publication of
"Nonlinear Financial Forecasting: Proceedings of the First INFFC" on
January 10, 1997.
After more than 2 years of work, this new book presents the results of the
systems that were independently designed, tested and analyzed in this
unique competition on applying nonlinear tools to financial forecasting.
Expanding and improving upon the work of previous scientific time-series
forecasting competitions, the First INFFC provided a rare opportunity to
test and analyze the predictive performance of independently developed
financial forecasting systems using new and promising technologies and
methods, such as neural networks, genetic algorithms, neurogenetic hybrids,
polynomial networks, and nearest neighbor networks.
Now, the details of this unique competition, designed to be relevant to the
interests of both financial practitioners and the time-series prediction
community, are presented. As such, the Proceedings is certain to appeal to
a large audience, and will be especially important to everyone interested
in financial forecasting.
Topics and details covered in the Proceedings:
* An overview of the INFFC from organization to results.
* An analysis of the INFFC time series used.
* The details for each of the forecasting systems tested.
* Papers from each of the participants.
* The methods and metrics used to test the forecasting systems.
* The performance results for each system.
* Analyses of the results for each system.
* What has been learned from the results and their analyses.
* How future competitions might be designed.
For additional details on the World Wide Web, see
http://ourworld.compuserve.com/homepages/ftpub/inffc.htm
Price: $59.95 direct-from-publisher price (Retail: $69.95)
plus shipping/handling:
$7 USA (First Class Mail)
$11.50 Canada & Mexico (Air Mail)
$15.50 elsewhere (Air Mail)
Nonlinear Financial Forecasting: Proceedings of the First INFFC
edited by Randall B. Caldwell
January 1997, 320 pages, 8.5x11-inch format, softcover
ISBN 0-9651332-1-4
Finance & Technology Publishing
Mail: P.O. Box 764, Haymarket, VA 20168, USA
Voice: 703-754-0696
Fax: 703-753-2634
Email: 72672.261(a)compuserve.com
************************************************************************
I N F F C
************************************************************************
=========================================================================
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From: RBCALDWELL@delphi.com[SMTP:RBCALDWELL@delphi.com]
Sent: Sunday, December 08, 1996 3:20 PM
To: owner-snde_l(a)email.rutgers.edu
Subject: Final CFP: Data Mining for Financial Applications
Status: RO
X-Status:
X-Keywords:
X-UID: 222
*******************************************************************
F I N A L C A L L F O R P A P E R S
*******************************************************************
N E U R O V E $ T J O U R N A L
Final Call for Papers
Special Issue On
Data Mining for Financial Applications
NEUROVE$T JOURNAL, a peer-reviewed technical journal, published by
Finance & Technology Publishing, is seeking papers for review and
publication in 1997 on "Data Mining for Financial Applications".
As an internationally-recognized independent forum since 1993,
the NEUROVE$T JOURNAL serves as the journal of record on the
application of advanced computing technologies in finance.
Papers published in the Journal are eligible for entry in the
Annual NEUROVE$T JOURNAL Essay Award Contest. The Editorial
Advisory Board of the Journal selects the best paper for which
a cash award is presented each year.
EDITORIAL ADVISORY BOARD
E. Michael Azoff, Themisto Numerics Ltd.
James E. Bowen, CompEngServ Ltd.
Richard J. Bauer, Jr., St. Mary's University
James F. Derry, Mgmt. Engineering Productivity Systems
Ypke Hiemstra, Vrije Universiteit
Yuval Lirov, Lehman Brothers
Zoran Obradovic, Washington State University
David B. Skalak, University of Massachusetts
Stephen Slade, Stern Bus. Sch., New York University
Leon Sterling, University of Melbourne
Manoel F. Tenorio, University of Purdue
Halbert White, University of California at San Diego
SPECIAL TOPIC
Data Mining for Financial Applications
PUBLICATION DATE
May 1997
PAPER SUBMISSION DEADLINE
January 15, 1997
MOTIVATION
Financial databases provide a primary source of information
for data-driven financial forecasting and classification
systems. Extracting information and knowledge from numerical
databases is therefore important to financial practitioners.
To date, little has been published on the application of
automated data mining processes for financial applications.
Methods and technologies of interest include: data induction,
rough sets, attribute-oriented induction, data mining, knowledge
discovery in databases, rule generation, genetic algorithms,
neural networks, expert and fuzzy systems.
Recent reports on the application of data mining in finance and time
series analysis include:
Apte, C. and S.J. Hong [1996] "Predicting Equity Returns
from Securities Data," in Advances in Knowledge Discovery and Data
Mining, The MIT Press, Cambridge, Mass.
Berndt, D. and J. Clifford [1996] "Finding Patterns in Time
Series: A Dynmaic Programming Approach," in Advances in Knowledge
Discovery and Data Mining, The MIT Press, Cambridge, Mass.
Derry, J.F. [1995] "Induction: Learning Rules from Data (part 1),"
NeuroVe$t Journal, Vol.3, No.1.
Derry, J.F. [1995] "Induction: Learning Rules from Data (part 2),"
NeuroVe$t Journal, Vol.3, No.4.
John, G.H. et al. [1996] "Stock Selection Using Rule Induction,"
IEEE Expert, Vol.11, No.5.
Simoudis, E. et al. [1996] "Integrating Inductive and
Deductive Reasoning for Data Mining," in Advances in Knowledge
Discovery and Data Mining, The MIT Press, Cambridge, Mass.
Skalkos, C. [1996] "Rough Sets Help Time the OEX," NeuroVe$t Journal,
Vol.4, No.6.
ABSTRACTS
Submit 150 to 300 word abstract including full name(s) and
affiliation(s) of the author(s), complete mailing address,
email address and telephone numbers of all authors. Authors
should provide a brief biographic sketch of themselves. Send
to either the postal or e-mail addresses below:
Post: Editors
NEUROVE$T JOURNAL
P.O. Box 764
Haymarket, VA 20168
USA
E-mail: 72672.261(a)compuserve.com
Also, see details available on The Finance & Technology Web at
http://ourworld.compuserve.com/homepages/ftpub/call.htm
PAPERS
Submit three copies of each paper. Papers should be double-
spaced, single-sided. Authors should provide a brief
biographic sketch of themselves. Each copy submitted should
include a page that contains the title of the paper, the full
name(s) and affiliation(s) of the author(s), complete mailing
address, email address and telephone numbers of all authors,
and a 150 to 300 word abstract. The Journal reserves the right
to edit all material to meet space requirements and to make
grammatical and typographical corrections.
The final text should be 4000 to 5000 words in length,
containing no more than about 10 references, and be provided
as follows:
(1) Hardcopy: printed and double-spaced, with notations
for the location of graphics, mathematical equations, given
thereon, as necessary,
(2) Softcopy: The preferred media format is IBM PC
3.5", 1.44MB. The preferred file format is Word 6/7 for
Windows 3.1/95. Other acceptable software file formats are the following:
WordPerfect 6.1 (for DOS or Windows 3.1).
Word/Macintosh 5.0/6.0 using the preferred media format.
Any standard ASCII text file format using the preferred
media format, including bracketed notations for
the locations of symbols, equations or other
non-ASCII characters.
Tex and LaTex may be used for the development and
generation of the hardcopy version of the
paper, provided that a softcopy version is also
submitted in any standard ASCII text file
format using the preferred media format,
including bracketed notations for citations and
for the locations of symbols, equations or
other non-ASCII characters.
GRAPHICS
The preferred graphics format is a Windows compatible format
(.pcx, .bmp, .wmf). For other graphics formats, submit high-quality,
camera-ready hardcopy.
TEXT CITATIONS AND REFERENCES
Papers should be limited to about 10 references. Encouraged are
references to peer-reviewed and refereed journals as well as to books.
Because of large variations in the detail and quality of material
presented in conference proceedings/compendiums, such references
are discouraged.
Text citations must use the following format: last name(s) of
author(s), publication date and suffix (as necessary) in
brackets. Example:
Watkins and McCoy [1993a]
References must be listed alphabetically by the last name of
the first author according to the following formats:
Journal Article: authors' names, publication date and
suffix (as necessary) in brackets, article title (in double
quotations), periodical title (in italics), volume and number,
pages cited.
Book: authors' names, publication date and suffix (as
necessary) in brackets, book title (in italics), publisher,
publisher location, pages cited.
Chapter in Book: authors' names, publication date and
suffix (as necessary) in brackets, chapter title (in double
quotations), editors' names, book title (in italics),
publisher, location, pages cited.
Send all manuscripts to the following postal address:
Editors
NEUROVE$T JOURNAL
P.O. Box 764
Haymarket, VA 20168
USA
***********************************************************************
F I N A L C A L L F O R P A P E R S
***********************************************************************
=========================================================================
AUSTRIAN WORKING GROUP ON BANKING AND FINANCE
9. Workshop, Wien, 17.-18. Jaenner 1997
Veranstaltungsort:
Gartenhotel Altmannsdorf, Hoffingergasse 26-28, 1120 Wien
Anmeldungen (unter Angabe der ueblichen Daten) bitte an:
spichler(a)pop.tuwien.ac.at
Vorlaeufiges Programm (Aenderungen vorbehalten):
Freitag, 17. Jaenner:
Session 1:
Stoughton, N. / Zechner, J.:
IPO-Mechanisms, Monitoring and Ownership Structure
Bogner, S.:
Betriebliche Investitions-, Finanzierungs- und
Versicherungsentscheidung unter adverser Selektion
Session 2:
Boeheim, R. / Boss M.:
Consumption Based Capital Asset Pricing and the Austrian Stock
Exchange
Session 3:
Brandner, P.:
Auktionstechniken zur Emission der Bundesanleihen
Gruenbichler, A. / Rudolf, M.:
Optimale Strukturierung der Finanzschuld der Republik Oesterreich
ueber verschiedene Waehrungen
Gemeinsames Abendessen in Anschluss an den Workshop
Samstag, 18. Jaenner
Session 4:
Biasin, M.:
Sinnhaftigkeit und Aussagekraft des Cash-Flow Statement italienischer
Banken
Casey, C.:
Moeglichkeiten der Objektivierung des risikoangepassten
Kalkulationszinsfusses in der Praxis der Unternehmensbewertung
Session 5:
Schaefer, G.:
Fixed-Rate versus Fairly Priced Deposit Insurance in Equilibrium:
Structural Effects and Bank Stability
Aussenegg, W. / Pichler, S.:
Empirical Evaluation of Simple Methods to Calculate Value-at-Risk of
Fixed-Income Instruments
=========================================================================
EINLADUNG
zum Wirtschaftstheoretischen Forschungsseminar der Wiener
Universit=E4ten gemeinsam mit dem Institut f=FCr H=F6here Studien und der
National=F6konomischen Gesellschaft
5. Dezember 1996
16.00 Uhr:
Winand Emons (Universit=E4t Bern)
"Expertise, Contingent Fees, and Excessive Litigation"
17.30 Uhr:
Thomas GEHRIG (Universit=E4t Basel)
"Excessive Risks and Banking Regulation"
Ort: Institut f=FCr H=F6here Studien, Stumpergasse 56, 1060 Wien,
H=F6rsaal II
Papers zu den Vortr=E4gen liegen (soweit vorhanden) im Sekretariat des
Instituts f=FCr Wirtschaftswissenschaften, Hohenstaufengasse 9, 1010
Wien, 5. Stock, am IHS (Abteilung =D6konomie) und im BWZ, Lehrstuhl Cleme=
nz,
Sekretariat Fr. Kellner, auf.
Die n=E4chsten Vortr=E4ge finden voraussichtlich am 16. J=E4nner und am 23=
.
J=E4nner 1997 statt.
Egbert Dierker
=========================================================================
>From compfin(a)cse.ogi.edu Sun Mar 19 17:27:57 2000
Date: Tue, 26 Nov 1996 12:14:52 -0800 (PST)
>From: Computational Finance <compfin(a)cse.ogi.edu>
To: devfinance(a)lists.acs.ohio-state.edu, corryfee(a)mundo.eco.utexas.edu,
scelist(a)mundo.eco.utexas.edu, csemlist(a)mundo.eco.utexas.edu,
snde_l(a)email.rutgers.edu, comp_finance(a)teleport.com,
economics <majordomo@mundo>, finance(a)vm.temple.edu,
listserve(a)templevm.bitnet
Subject: Computational Finance at the Oregon Graduate Institute
Status: RO
X-Status:
X-Keywords:
X-UID: 218
=======================================================================
COMPUTATIONAL FINANCE at the Oregon Graduate Institute of
Science & Technology (OGI)
Masters of Science Concentrations in
Computer Science & Engineering (CSE)
Electrical Engineering (EE)
Now Reviewing MS Applications for Fall 1997!
Early Decision Deadline: January 15 (Decisions by February 15)
Final Deadline: March 15 (Decisions by April 15)
New! Certificate Program Designed for Part-Time Students.
For more information,
call the OGI Office of Admissions (503)690-1027, or visit
http://www.cse.ogi.edu/CompFin/
=======================================================================
Computational Finance Overview:
Advances in computing technology now enable the widespread use of
sophisticated, computationally-intensive analysis techniques applied
to finance and financial markets. The real-time analysis of
tick-by-tick financial market data, and the real-time management
of portfolios of thousands of securities is now sweeping the
financial industry. This has opened up new job opportunities for
scientists, engineers, and computer science professionals in the
field of Computational Finance.
The strong demand within the financial industry for technically-
sophisticated graduates is addressed at OGI by the Masters of
Science and Certificate Programs in Computational Finance. Unlike
a standard two year MBA, the programs are directed at training
scientists, engineers, and technically-oriented financial professionals
in the area of quantitative finance.
The Masters programs lead to a Master of Science in Computer Science
and Engineering (CSE track) or in Electrical Engineering (EE track).
The MS programs can be completed within 12 months on a full time
basis. In addition, OGI has introduced a Certificate program
designed to allow professionals in engineering and finance a way
of acquiring skills or upgrading their skills in quantitative finance
on a part-time basis.
The Computational Finance MS concentrations feature a unique
combination of courses that provide a solid foundation in finance
at a non-trivial, quantitative level, plus training in the essential
core knowledge and skill sets of computer science or the information
technology areas of electrical engineering. These skills are
important for advanced analysis of markets and for the development
of state-of-the-art investment analysis, portfolio management,
trading, derivatives pricing, and risk management systems.
The MS in CSE is ideal preparation for students interested in
securing positions in information systems in the financial industry,
while the MS in EE provides rigorous training for students interested
in pursuing careers as quantitative analysts at leading-edge
financial firms.
The curriculum is strongly project-oriented, using state-of-the-art
computing facilities and live/historical data from the world's
major financial markets provided by Dow Jones Telerate. Students
are trained in using high level numerical and analytical packages
for analyzing financial data.
OGI has established itself as a leading institution in research
and education in Computational Finance. Moreover, OGI has very
strong research programs in a number of areas that are highly
relevant for work in quantitative analysis and information systems
in the financial industry.
-----------------------------------------------------------------------
Admissions
-----------------------------------------------------------------------
Applications for entrance into the Computational Finance MS programs
for Fall Quarter 1997 are currently being considered. The deadlines
for receipt of applications are:
January 15 (Early Decision Deadline, decisions by February 15)
March 15 (Final Deadline, decisions by April 15)
A candidate must hold a bachelor's degree in computer science,
engineering, mathematics, statistics, one of the biological or
physical sciences, finance, econometrics, or one of the quantitative
social sciences. Candidates who hold advanced degrees in these
fields or who have experience in the financial industry are also
encouraged to apply.
Applications for the Certificate Program are considered on an
ongoing basis for entrance in any quarter.
----------------------------------------------------------------------
Contact Information
----------------------------------------------------------------------
For general information and admissions materials:
Office of Admissions
Oregon Graduate Institute
P.O.Box 91000
Portland, OR 97291-1000
E-mail: admissions(a)admin.ogi.edu
Phone: (503)690-1027
WWW: http://www.cse.ogi.edu/CompFin/
For special inquiries:
E-mail: compfin(a)cse.ogi.edu
======================================================================
------------------------------------------------------------------
Dr. Andrea Gaunersdorfer
Department of Business Administration
University of Vienna Tel.: +43-1-29 1 28-466
Bruenner Strasse 72 FAX: +43-1-29 1 28-464
A - 1210 Wien e-mail: gauner(a)finance2.bwl.univie.ac.at
VSX WORKSHOP
Einladung zum
Vortrag
von
Professor Bryan R. Routledge,
Carnegie Mellon University
mit dem Thema ueber
"Adaptive Learning and Financial Markets"
am Donnerstag, 19. Dezember 1996, 15.30 - 17.00 Uhr
im Seminarraum 2 des Betriebswirtschaftlichen Zentrums
der Universitaet Wien, Bruenner Strasse 72, 1210 Wien.
=========================================================================
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* to MAJORDOMO(a)EMAIL.RUTGERS.EDU *
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----------
Dear Colleague:
Below is a call for papers for a Computational Economics
conference I am hosting next summer here at Hoover. Please
circulate it among your colleagues. Also, note the
items of special interest below for your graduate students.
Thanks,
Ken Judd
P.S. Please excuse multiple messages; I am using many lists.
*****************************************************************
*********************************************************
****** CALL FOR PAPERS ******
Society for Computational Economics
announces the
Third International Conference
on
"COMPUTING IN ECONOMICS AND FINANCE"
Stanford, CA, June 30 - July 2, 1997
The Third International Conference on Computing in Economics and
Finance, organized under the auspices of the Society for
Computational Economics, will be held at the HooverInstitution at
Stanford University from June 30 through July 2, 1997. We invite
participation from all branches of economics and finance, and
related areas in computer science, operations research, statistics,
and mathematics, in both the academic and business worlds.
Presentations will cover both quantitative and empirical methods
for economics and finance including, but not limited to, optimization,
linear and nonlinear equations, computationally intensive statistical
methods, option pricing, CGE modelling, neural networks, agent-based
economics, rational expectations modelling, computation of Nash
equilibrium, variational inequalities, genetic algorithms, simulation
methods, automatic differentiation, Bayesian methods, databases,
network economics, option pricing, and artificial intelligence.
Those unacquainted with the SCE and this conference series should
consult the web page http://www.unige.ch/ce/ce96/ which describes the
program from the Second International Conference on Computing in
Economics and Finance held in Geneva, Switzerland, in June, 1996,
or the page http://www.unige.ch/ce/austin/ which describes the
program from the previous meeting held in Austin, Texas, in 1995.
Individuals who wish to present papers should submit
abstracts or finished papers to:
Kenneth L. Judd
Hoover Institution
Stanford, CA. 94305
judd(a)hoover.stanford.edu.
415-723-1687 (fax)
Electronic submissions in ASCII, TeX, and LaTeX formats
are encouraged, but ordinary paper (by mail or fax) is fine.
Deadline for submissions: February 15, 1997.
=====================================================
CONFERENCE WEB PAGE:
Visit us at http://bucky.stanford.edu/cef97/ for
up-to-date information on the program, accomodations,
and local attractions.
======================================================
Following are some special program notes:
CURRENTLY PLANNED PLENARY TALKS:
"Solution Methods for Equations"
Curtis Eaves, Stanford EES/OR Department
Panel Discussion on "The Teaching of Computational Economics"
Ken Judd (Hoover Institution)
David Kendrick (University of Texas)
Mario Miranda (Ohio State University)
"Computational Economics in Practice in the
Telecommunications Industry"
Louis F. Pau, (Ericsson Utvecklings AB and
Technical University of Denmark)
GRADUATE STUDENT POSTER SESSION:
In an effort to encourage graduate student participation, there will
be a poster session for graduate students to present their
work-in-progress.
There will also be some financial aid for graduate student participants;
contact Ken Judd for details.
GRADUATE STUDENT PRIZE:
The Society for Computational Economics is offering three $1,000
prizes for outstanding papers by graduate students. A description of
that prize is available at http://bucky.stanford.edu/cef97/
PROGRAM COMMITTEE:
Ken Judd, Hoover Institution, General Chairman
Hans Amman, University of Amsterdam
Kit Baum, Boston College
Dave Belsley, Boston College
Chris Birchenhall, University of Manchester
Dee Dechert, University of Wisconsin
John Duffy, University of Pittsburgh
Larry Eisenberg, The Risk Engineering Company
Manfred Gilli, University of Geneva
Bill Goffe, University of Southern Mississipi
Seth Greenblatt, University of Reading
Steve Hall, Imperial College
David Kendrick, University of Texas
Mario Miranda, Ohio Statue University
Anna Nagurney, University of Massachusetts
Louis Pau, Ericsson Utvecklings AB and Technical University of Denmark
Ken Pearson, Monash University
John Rust, Yale University
Berc Rustem, Imperial College
Tom Sargent, Hoover Insitution
Leigh Tesfatsion, Iowa State
Charles Tapiero, ESSEC
Peter Tinsley, U.S. Federal Reserve Bank, Washington, D.C.
Andy Whinston, University of Texas
=========================================================================
EINLADUNG zum
Wirtschaftstheoretischen Forschunngseminar
7. November 1996
16.00 Uhr
Philip Han FRANSES (Erasmus University Rotterdam)
"Modelling Seasonality In Economic Time Series"
17.30 Uhr
Konrad PODCZECK (Universit=E4t Wien)
"Gleichgewichtstheorie mit unendlich vielen G=FCtern"
21. November 1996
16.00 Uhr
Stefan KRASA (University of Illinois)
"Enforcement in Differential Information Economies"
17.30 Uhr
Henry TULKENS (CORE, Louvain-La-Neuve)
"Cooperation vs. Free Riding in International Environmental Affairs"
Die Vortr=E4ge finden im Institut f=FCr H=F6here Studien, Stumpergasse 56,=
1060 Wien, H=F6rsaal II, statt.
Egbert Dierker
Institut f=FCr Wirtschaftswissenschaften
Hohenstaufengasse 9, 1010 Wien
OEKONOMETRISCHES FORSCHUNGSSEMINAR
(M. Deistler, R. Alt, R. Kunst)
Donnerstag, 31. Oktober 1996
R. BOEHEIM und M. BOSS
(IHS)
Consumption Based Capital Asset Pricing und der Wiener Aktienmarkt
Abstract:
In einem einflussreichen Artikel aus dem Jahre 1985 beschreiben Mehra
und Prescott das sogenannte Equity Premium Puzzle. In diesem Artikel
versuchen die Autoren die empirisch beobachtete Risikopraemie
(durchschnittlicher Return am Aktienmarkt minus dem risikolosen Zinssatz)
am New Yorker Aktienmarkt mittels eines einfachen Consumption Based
Capital Asset Pricing Modells (C-CAPM) zu erklaeren. Das C-CAPM ist
ein Gleichgewichtsmodell, das auf den Annahmen vollstaendiger Konkurrenz
und friktionsfreier Maerkte beruht. Mehra und Prescott kommen zu dem
Schluss, dass die von ihrem Modell generierten Risikopraemien viel
zu klein sind, um die empirisch beobachteten zu erklaeren und bezeichnen
dies als das Equity Premium Puzzle.
In diesem Vortrag wird zunaechst das allgemeine C-CAPM vorgestellt.
In der Folge werden Ergebnisse der Schaetzung dreier verschiedener
C-CAPMs fuer den Wiener Aktienmarkt praesentiert. Das erste dieser
Modelle ist das urspruengliche Modell von Mehra und Prescott, das
zweite wurde von Rietz (1988) vorgestellt, der in das urspruengliche
Modell einen sogenannten Crash-Zustand einfuehrt und dadurch das
Equity Premium Puzzle loesen will. Das dritte Modell beinhaltet
zudem einen Zustand, in dem ueberdurchschnittlich hohe Returns,
wie sie am Wiener Aktienmarkt waehrend der 80er Jahre zu beobachten
waren, beruecksichtigt werden. Die Parameter dieser Modelle wurden
mit der Generalized Method of Moments (GMM) geschaetzt. Die von den
Modellen generierten Risikopraemien lassen den Schluss zu, dass das
von Mehra und Prescott beschriebene Equity Premium Puzzle auch am
Wiener Aktienmarkt besteht.
Literatur: BOEHEIM R. und M. BOSS, Consumption Based Capital Asset
Pricing and the Austrian Stock Exchange, Economic Series No. 29/May 96
Ort: HS II
Zeit: 9.00 Uhr c. t.
=========================================================================
Einladung
zum
Privatissimum
des Institutes fuer Betriebswirtschaftslehre
der Universitaet Wien
A-1210 Wien, Bruennerstrasse 72
Montag, 21. 10. 1996, 16:00
BWZ-Bruennerstrasse (Besprechungsraum Lehrstuhl Marketing, Zimmer
Nr. 156)
Professor Gerald Goodhart
''BRAND-LOYALTY VS STORE-LOYALTY''
This presentation outlines a methodology - based on the Dirichlet
model of buyer behaviour - for comparing brand and store loyalty. It
reports results concerning three frequently bougth products in the
UK. The main finding is that store-loyalty generally exceeds
brand-loyalty, although the difference is not great and varies by
product field.
=========================================================================
Einladung
zum
Privatissimum
des Institutes fuer Betriebswirtschaftslehre
der Universitaet Wien
A-1210 Wien, Bruennerstrasse 72
Montag, 21. 10. 1996, 16:00
BWZ-Bruennerstrasse (Besprechungsraum Lehrstuhl Marketing, Zimmer
Nr. 156)
Professor Gerald Goodhardt
"BRAND-LOYALTY VS STORE-LOYALTY"
=========================================================================
VSX WORKSHOPS
Einladungen
zu den
Vortraegen
von 15:30 - 17:00 im Hoersaal 8 des Betriebswirtschaftlichen
Zentrums der Universitaet Wien,
Bruenner Strasse 72, 1210 Wien.
Freitag, 25. 10. 1996
Professor Dieter Sondermann (Universitaet Bonn)
''Closed Form Solutions for Term Structure Derivatives with
Log-Normal Interest Rates''
Donnerstag, 31. 10. 1996
Professor William Perraudin (Birkbeck College, London)
''Real Options and Preemption''
Freitag, 15. 11. 1996
Professor Thierry Foucault (Universitaet Pompeu Fabra)
''Monitoring Incentives with Liquidity Shocks''
Freitag, 22. 11. 1996
Professor Espen Eckbo u. Karin Thorburn (Stockholm, School of Economics)
''Competition and State-Contingent Payoffs in Tender Offers''
''Corporate Restructurings under a Liquidation Code: Evidence from
Swedish Bankruptcies''
Freitag, 29. 11. 1996
Professor Eckhart Boehmer (Humboldt-Universitaet zu Berlin)
''Corporate Governance Strukturen in Deutschland''
=========================================================================
Einladung
zum
Betriebswirtschaftlichen Forschungsseminar
des Institutes fuer Betriebswirtschaftslehre
der Universitaet Wien
A-1210 Wien, Bruennerstrasse 72
Freitag, 18. 10. 1996, 15:30 - 17:00
BWZ-Bruennerstrasse (Hoersaal 8)
Professor Olaf Ehrhardt (Humboldt-Universitaet zu Berlin)
''Boerseneinfuehrungen von Aktien am deutschen Kapitalmarkt''
=========================================================================
Einladung
DIENSTAG, 15. Oktober 1996 (Ausnahmetermin - sonst Donnerstag)
16.00 Uhr:
Mario PASCOA (University of Lisbon)
"Nash Equilibrium and the Law of Large Numbers"
17.30 Uhr:
Georg KIRCHSTEIGER (Universit=E4t Wien)
"On the Possibility of Efficient Private Provision of Public Goods
through Government Subsidies"
Die Vortr=E4ge finden im Institut f=FCr H=F6here Studien, Stumpergasse 56,=
1060 Wien, H=F6rsaal II, statt.
=========================================================================
* Einladung zum Forschungsseminar *
3840 Janko/Otruba/Mitloehner: Artificial Financial Life
SE 2, Tuesday 17.00-19.00, S. 2.19 (A), Begin October 8, 1996.
Interdisciplinary research seminar in connection with the SFB Adaptive
Information Systems and Modelling in Economics and Management Science.
There are two areas of work planned for this term:
Analysis package: participants develop analysis instruments for financial
time series, based on selected literature. This group should consist of
participants with economics and computer science background. The tools -
based on well-documented economic and statistical concepts - will be
employed in future work in SFB projects.
Financial robot competition: financial agents created by the participants
compete against each other on an artificial electronic market. These
robots should employ some form of adaptive behaviour. We aim to explore
how even a population of very simple agents can show complex dynamic
behaviour.
The programming language C++ will be used for implementations. In
preparation for the work within the SFB the seminar language will be
English. The participants will work on projects in small groups and
present their work in the seminar. Well-documented projects and good
presentation will earn the students a seminar certificate for the SBWL
Informationswirtschaft or VWL.
Organized by Leopold.Soegner(a)wu-wien.ac.at (Dep. of Economics/Prof.
Otruba) and Johann.Mitloehner(a)wu-wien.ac.at (Dep. of Applied Computer
Science/Prof. Janko) On the web as
http://www.wu-wien.ac.at/usr/ai/mitloehn/se/w96
Auf Ihre Teilnahme freuen sich
Leopold Soegner & Johann Mitloehner
Johann.Mitloehner(a)wu-wien.ac.at, Abt. Angewandte Informatik
A-1090 Wien, Augasse 2-6, Tel: (+431) 31336-5202, Fax: -739
http://www.wu-wien.ac.at/usr/ai/mitloehn
Einladung
zum
Betriebswirtschaftlichen Forschungsseminar
am BWZ
Prof. Thaleia Zariphopoulou
University of Wisconsin, Madison, USA
Market frictions and Derivative Pricing
Abstract: In this talk, I will address the problem of pricing
derivative securities in markets with frictions, namely transaction
costs and stochastic volatility. The approach is based on utility
maximization and not on replication arguments. The mathematical
tools stem from the theory of stochastic control and nonlinear
differential equations.
Dienstag, 1. Oktober 1996, 14.15 Uhr, HS 8
BWZ
Bruennerstrasse 72,
1210 Wien
o. Prof. W. Schachermayer
=========================================================================
>From Blake Sun Mar 19 17:27:57 2000
>From: Blake LeBaron
To: OWNER-SNDE_L
Subject: Old working paper now published
Date: Wednesday, September 04, 1996 4:26PM
Status: RO
X-Status:
X-Keywords:
X-UID: 272
This paper has been in circulation as a working paper for nearly 10 years,
but it has finally come out:
A Test for Independence Based on the Correlation Dimension,
W. A. Brock,
W. D. Dechert,
J. A. Scheinkman,
B. LeBaron
Econometric Reviews 15(3), 197-235, 1996.
ABSTRACT:
This paper presents a test of independence that can be applied to the
estimated residuals of any time series model that can be transformed into a
model driven by independent and identically distributed errors. The first
order asymptotic distribution of the test statistic is independent of
estimation error provided that the parameters of the model under test can be
estimated sqrt(N)-consistently. Because of this, our method can be used as
a
model selection tool and as a specification test. Widely used software
written by Dechert and LeBaron can be used to implement the test. Also,
this
software is fast enough that the null distribution of our test statistic can
be estimated with bootstrap methods. Our method can be viewed as a
nonlinear
analog of the Box-Pierce Q statistic used in ARIMA methods.
(For software info check http://www.econ.wisc.edu/~blake.)
Note: Also, of related interest is the paper in the same issue,
Nuisance Parameter Free Properties of Correlation Integral Based Statistics,
P. J. F. de Lima,
Econometric Reviews 15(3), 237-259, 1996.
=========================================================================
Announcement: APSM Oesterreichische EU-Wahlen '96
Nach langem Warten ist es endlich soweit und der Markt fuer die
oesterreichischen EU Wahlen im Rahmen des Austrian Political Stock
Market Experiments (TU Wien & Uni. of Iowa) ist geoeffnet.
Ganz aehnlich wie der Markt fuer die NRW'95 kommt auch hier wieder ein
"vote share market" zum Einsatz. Alle Details (Marktprospekt, etc.) sind - wie
schon ueblich - auf unserem WWW Server unter
http://ebweb.tuwien.ac.at/apsm/euw96/euw.html zu finden.
Wie wuerden uns freuen, wenn sich neben den bisherigen TraderInnen auch
noch einige neue Marktteilnehmer fuer die Maerkte "Wiener Gemeideratswahlen"
(laeuft bereits seit Sep. 95) und fuer "Austria EU-Wahlen" finden wuerden.
Informationen ueber die Funktionsweise der Maerkte, Teilnahmemoeglichkeiten,
bisherige und gerade laufende Maerkte, u.v.a.m. stehen via WWW
(http://ebweb.tuwien.ac.at/apsm/) zur Verfuegung. Fuer weitere Informationen
wenden Sie sich bitte am besten via email (apsm(a)ebwnov.tuwien.ac.at) an uns.
Gerhard Ortner
---------------------------------------------------------------------------
Technical University Vienna
Institut of Industrial Engineering, Ergonomics and Business Economics
Theresianumgasse 27, A-1040 Vienna, Austria
Phone: +43-1-505 73 19 /43 Fax: +43-1-504 14 99
EMail: ortner(a)ebwnov.tuwien.ac.at
WWW : http://ebweb.tuwien.ac.at/ortner/home.html
---------------------------------------------------------------------------
THIS MESSAGE HAS BEEN COMPOSED USING 100% RECYCLED ELECTRONS
For more information, please contact:
E-mail: CompFin(a)cse.ogi.edu Betty Shannon
http://www.cse.ogi.edu/CompFin/
=====================================================================
COMPUTATIONAL FINANCE at the Oregon Graduate Institute of
Science & Technology (OGI)
An Intensive 12-Month Concentration in the MS Programs of
Computer Science & Engineering (CSE)
Electrical Engineering (EE)
=====================================================================
Program Overview:
Today's technology has increased the level of technical proficiency
required in the financial markets. At one time, for example,
spreadsheet skills, pre-calculus, and a basic understanding of
financial instruments were sufficient to build practical asset and
derivative pricing tools. Today, however, leading-edge financial
institutions routinely use advanced analytical and numerical
techniques from engineering and computer science to create, price,
and manage risk for both new and established instruments.
Advances in computing technology now enable the widespread use of
sophisticated, computationally-intensive analysis techniques, the
real-time analysis of tick-by-tick financial market data, and the
real-time management of portfolios of hundreds or thousands of
securities. Furthermore, modern data analysis tools can consider
many variables simultaneously and can capture complicated and often
nonlinear inter-dependencies between variables. This has opened
up new modeling possibilities for portfolio management, asset
allocation, hedging, derivatives instruments, and decision making.
The strong demand within the financial industry for
technically-sophisticated graduates who are well versed in
state-of-the-art quantitative analysis and computing techniques is
addressed at OGI by an intensive 12 month Computational Finance
program. Unlike a standard two year MBA, the program is directed
at training scientists, engineers, and technically-oriented financial
professionals.
The program is offered as a concentration in both the Computer
Science and Engineering (CSE), and Electrical Engineering (EE)
departments. The program leads to a Master of Science degree in
Computer Science and Engineering (CSE track), or in Electrical
Engineering (EE track). Computational Finance courses are also
cross-listed in the Management of Science & Technology (MST)
program.
The Computational Finance concentrations feature a unique combination
of courses that provide a solid foundation in finance at a non-trivial,
quantitative level, plus training in the essential core knowledge
and skill sets of computer science or the information technology
subdiscipline of electrical engineering. These skills are essential
for advanced analysis of markets and for the development of
state-of-the-art investment analysis, trading, derivatives pricing,
and risk management systems.
The MS in CSE is ideal preparation for students interested in
securing positions in information systems in the financial industry,
while the MS in EE provides rigorous training for students interested
in pursuing careers as quantitative analysts at leading-edge
financial firms.
The curriculum is strongly project-oriented, using state-of-the-art
computing facilities and live/historical data from the world's
major financial markets provided by Dow Jones Telerate. Students
are trained in using high level numerical and analytical packages,
such as MATLAB, Mathematica, and SPlus, for analyzing and modeling
financial data.
OGI has established itself as a leading institution in research
and education in Computational Finance. Moreover, OGI has very
strong research programs in a number of areas that are highly
relevant for work in quantitative analysis and information systems
in the financial industry. These areas include signal processing,
neural networks and adaptive systems, machine learning, information
theory and coding, nonlinear dynamics, stochastic processes, software
engineering, object-oriented programming, database systems,
transaction processing, human-computer interaction, and spoken
language understanding..
-------------------------------------------------------------------
Admission Requirements
-------------------------------------------------------------------
Applications for entrance into the Computational Finance MS programs
for Fall Quarter 1996 (which begins on Monday, September 23) are
currently being considered as they are received. Enrollment in
the program is limited.
Admission requirements are the same as the general require-
ments of the institution. GRE scores are required for the
12-month concentration in Computational Finance, although
they can be waived under certain circumstances.
A candidate must hold a bachelor's degree in computer sci-
ence, engineering, mathematics, statistics, one of the bio-
logical or physical sciences, finance, econometrics, or one
of the quantitative social sciences. Candidates who hold advanced
degrees in these fields or who have experience in the financial
industry are also encouraged to apply.
----------------------------------------------------------------------
Contact Information
----------------------------------------------------------------------
For more information, contact
Program Information Admission Information
E-mail: CompFin(a)cse.ogi.edu Betty Shannon, Academic
WWW: Coordinator
http://www.cse.ogi.edu/CompFin/ Computer Science and
Engineering Department
Oregon Graduate Institute
of Science and Technology
P.O.Box 91000
Portland, OR 97291-1000
E-mail:
academic(a)cse.ogi.edu
Phone: (503) 690-1255
======================================================================
=========================================================================
EINLADUNG
zum Gastvortrag
Ten Major Microstructure Misconceptions
Robert A. Schwartz
Professor and Yamaichi Faculty Fellow
New York University
Zeit: Montag, 24. Juni 1996,
14.00-16.00 Uhr
Ort: Wiener Boerse
Warenboersesaal, 2.OG
Wipplingerstra=DFe 34
1010 Wien
____________________________________________________________
Mag. Roland Dipplinger, Institut fuer Finanzierung und Finanzmaerkte
Wirtschaftsuniversitaet Wien, Althanstrasse 39-45, A-1090 WIEN
Tel.: ++431-31336-4173, Fax: -761, @: Roland.Dipplinger(a)wu-wien.ac.at
"Sorry - Nick" -- Nick Leeson, Barings, 23/2/95
=========================================================================
OEKONOMETRISCHES FORSCHUNGSSEMINAR
(M. Deistler, R. Alt, R. Kunst)
Donnerstag, 20. Juni 1996
"Forecasting Stock Market Averages
to Enhance Profitable Trading Strategies"
Christian HAEFKE and Christian HELMENSTEIN
(IHS)
Abstract:
In this paper we formulate a trading strategy
for stocks that exploits the informational
difference implied by different stock market
index construction principles. In order to gain
a competitive advantage over other market participants,
we forecast the indexes one day ahead and subsequently
generate buy and sell signals through the trading rule.
To illustrate how the system works, we apply it to select
stocks from those constituting the ATX index sample.
The forecasting of the indexes is done applying standard
financial econometric techniques and feedforward neural
networks. Drawing upon various model selection criteria,
such as AIC, HQ and SIC, we discuss their potential for
rendering parsimonious neural network architectures.
Keywords:
Artificial Neural Networks, Model Selection,
Stock Market Indexes, Trading Systems.
Ort: HS II
Zeit: 9.00 Uhr c. t.
=========================================================================
Einladung zu nachstehenden Vortr=E4gen von
Thomas Mayer, Univ. of California:
Donnerstag, 13.6., 15.00 Uhr, SE-Raum 2, Hohenstaufengasse 9
"The Dark Side of Economic Modelling"
Freitag, 14.6., 15.30 Uhr, OeNB, Generalratssitzungssaal, 5.
Stock
"Monetarists and Keynesians on Central Banking: A Case Study of A
Failed Debate"
Marvin Goodfriend, Federal Research Bank of Richmond
Montag, 17.6., 15.00 Uhr, SE-Raum 1, Hohenstaufengasse 9
"A Framework for the Analysis of Moderate Inflation"
Mittwoch,19.6., 15.00 Uhr, OeNB, Generalratssitzungssaal, 5.
Stock
"Foreign Exchange Operations and the Federal Reserve"
-------------------------------------------------------
Veronika Moser
Department of Economics
University of Vienna
Hohenstaufengasse 9
A-1010 Vienna, Austria
Phone: +43-1-40103-3367
Fax: +43-1-532 14 98
e-mail: veronika.moser(a)univie.ac.at
=========================================================================
VSX WORKSHOP
Einladung zum
Vortrag
von
Prof. S. Eduardo Schwartz,
UCLA
ueber
''Asset Allocation''
am Freitag, 21. Juni 1996, 15.30 Uhr
im Roten Saal der Wiener Boerse, 2. Stock,
Wipplingerstrasse 34, 1011 Wien.
Eduardo S. Schwartz is the California Professor of Real Estate and
Professor of Finance, Anderson Graduate School of Management at the
University of California, Los Angeles. His wide-ranging research has
focused on different dimensions in asset and securities pricing.
Topics in recent years range from interest rate volatility to asset
allocation issues to evaluating natural resource investments. His
collected works include more than seventy articles in finance and
economic journals, two monographs, and a large number of monograph
chapters, conference proceedings, and special reports. He is the
winner of a number of awards for both teaching excellence and for
the quality of his published work. He is associate editor for least
a dozen journals, including the Journal of Finance, the Journal of
Financial Economics and the Journal of Financial and Quantitative
Analysis. He is past president of the Western Finance Association
and is now president of the American Finance Association. He has
also been a consultant to governmental agencies, banks, investment
banks and industrial corporations.
=========================================================================
EINLADUNG
zum
Betriebswirtschaftlichen Forschungsseminar
des Instituts fuer Betriebswirtschaftslehre
der Universitaet Wien
Bruenner Strasse 72, 1210 Wien
Freitag, 14.06.1996; 15.30 Uhr; HS 8 des BWZ
DR. HERIBERT REISINGER (Universitaet Wien)
"DER EINFLUSS DES FORSCHUNGSDESIGNS AUF DIE HOEHE VON
BESTIMMTHEITSMASSEN IN LINEAREN REGRESSIONSMODELLEN"
Abstract:
The classical linear regression model is the standard procedure for
analyzing dependencies between variables that are measured on a
metric scale. In the course of model estimation it is common practice to
assess the appropriateness of a single descriptive model for the
problem under study with the help of coefficients of determination (R^2
and ADJ. R^2 ). When considering the advantages of calculating these
measures in empirical studies the question arises whether it makes
sense to evaluate a model by means of a single descriptive measure at
all. For example, from a statistical point of view the analyzed data set
is irrelevant when deciding on the appropriateness of the model under
consideration. However, a market researcher clearly distinguishes
whether he studies time series or cross sectional data. A well known
fact says that on the average one may expect larger coefficients of
determination for time series data than for cross sectional data.
Starting from this known phenomenon it is tried to identify various
impacts on R^2 and ADJ. R^2 that originate in the research designs of
empirical studies rather than in the research subjects within the
framework of a meta-analysis. One important result claims a strong
negative correlation between the sample size and the values of R^2
and ADJ. R^2 .
=========================================================================