>From tatume(a)rider.wharton.upenn.edu Sun Mar 19 17:27:57 2000
Date: Thu, 16 Jan 1997 12:00:06 -0500
>From: Ed Tatum <tatume(a)rider.wharton.upenn.edu>
Organization: Financial Institutions Center
To: wwwor(a)mat.gsia.cmu.edu
Subject: PERFORMANCE OF FINANCIAL INSTITUTIONS
Status: RO
X-Status:
X-Keywords:
X-UID: 235
SECOND CALL FOR PAPERS
BACKGROUND INFORMATION:
While the efficiency of the capital markets is widely and extensively
studied, little has been done to study the efficiency of the
Institutions that operate in these markets. What are the forms of
efficiency or lack thereof of a financial Institution? What are the
drivers of performance that enhance or inhibit efficiency? These
issues have only recently been under the scrutiny of scholarly inquiry
motivated by the increased competitiveness with the globalization of the
financial markets and the increased use of information technology in
the delivery of financial services. Serious inroads have been made in
providing answers to these questions.
CONFERENCE FOCUS:
This interdisciplinary conference brings together scholars from around
the world in economics, finance, operations management, marketing and
other disciplines to describe and understand the performance of
financial institutions. The conference is tentatively structured as
follows:
Session 1: Institutional Efficiency: What Is It?
This session explores alternative notions of efficiency, including
productivity, profitability, and quality of the services delivered by
financial institutions.
Session 2: Institutional Efficiency: What Drives It?
Papers in this session explore the drivers of institution efficiency,
including scale and scope economies, technology, human resource
practices, etc.
Session 3: Efficiency of the Financial Intermediation Process: What Is
It?
This session defines alternative notions of efficiency of the financial
intermediation process, looking particularly at risk management,
asset-liability matching, and intertemporal smoothing of fund flows.
Session 4: Efficiency of the Financial Intermediation Process: What
Drives It?
Given the various notions of intermediation efficiency, this session
explores the characteristics of the market that limit the efficiency of
financial intermediaries, including regulation and institutional
structure.
Session 5: Innovations in Financial Services: Alternative Institutions
This session explores the impact of innovations in the structure of the
financial services market and the range of services offered to the
consumer, including the rise of mutual funds and other non-bank
competitors, on the efficiency of the financial system.
Session 6: Innovations in Financial Services: Alternative Channels
The rise of new distribution channels, enabled by technology, will be
considered in this session along with their impact on the efficiency of
institutions, the intermediation process and the end consumer.
Session 7: International Studies of Efficiency
Papers in this session study the efficiency, as described above, within
and between countries.
CONFERENCE DATE AND LOCATION:
The conference will be held May 8-10, 1997, at the Wharton School of the
University of Pennsylvania.
CONFERENCE ORGANIZERS:
Name: Dr. Patrick Harker
E-mail: harker(a)opim.wharton.upenn.edu
Postal: Financial Institutions Center, The Wharton School, 3301
Steinberg Hall-Dietrich Hall, University of Pennsylvania, Philadelphia,
PA 19104-6367, U.S.A.
Name: Dr. Stavros A. Zenios
E-mail: zenioss(a)atlas.pba.ucy.ac.cy
Postal: School of Economics and Management, University of Cyprus, 75
Kallipoleos Street, P.O. Box 537, CY 1678, Nicosia, CYPRUS
PAPER SUBMISSION PROCESS:
To participate, please send five copies of your article to the address
below no later than February 28, 1997. Authors of accepted articles will
be notified by March 15, 1997. If you have any questions, please feel
free to contact the organizers. Submit all manuscripts to:
All papers to be presented will be rigorously refereed and placed in an
edited volume to be published by Cambridge University Press. A select
group of papers will be invited to be published in a special issue of
Management Science.
CONTACT:
Submit all manuscripts to:
Postal: Performance of Financial Institutions, Financial Institutions
Center, The Wharton School, 434 Vance Hall, Philadelphia, PA 19104-6301,
U.S.A.
Please see our home page at
http://wrdsenet.wharton.upenn.edu/fic/wfic/new.html for further details.
This message was to the WWWOR mailing list (WWW and Operations
Research). Send postings to wwwor(a)mat.gsia.cmu.edu . Send
administrative requests to majordomo(a)mat.gsia.cmu.edu or use the web
interface at http://mat.gsia.cmu.edu/cgi-bin/lwgate/WWWOR/
------------------------------------------------------------------
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
=========================================================================
SEMINAR IN FINANCE
Christian Helmenstein, Gabriel Lee
(Biweekly Mondays)
Monday, 27. January 1997
Dusan M^ÐSZAROS
(ING Baring Securities - Bratislava)
On Efficiency and Anomalies of the Slovak Capital Market
Abstract:
In this paper I test for predictability of stock prices traded on
the Bratislava Stock Exchange and document some anomalies of
the Slovak capital market. Three of the five most liquid stocks
conform to a random walk, but both Slovak stock market indexes do not.
I show that 74 % of the securities have significant first lag
autocorrelation with a negative mean autocorrelation of -0.217.
The indexes exhibit daily seasonality: The average Monday return
is negative and significantly different from the average returns
of the rest of the week. The volatility of the stock returns is
largest over the weekend and the highest average daily turnover
is reported for Mondays. In the cross-sectional regression a model
with standard market beta explains only 33.8 % of the expected return.
However, a model with beta and natural logarithm of the firm size
explains 74.4 % of the expected returns.
Place: Institute for Advanced Studies, Stumpergasse 56, 1060 Vienna, SZ VI
Time: 17:00h-18:30h
Info: http://www.wsr.ac.at/ihs-html/fin/finsem.html
=========================================================================
EINLADUNG
zum Wirtschaftstheoretischen Forschungsseminar
der Wiener Universit=E4ten gemeinsam mit dem
Institut f=FCr H=F6here Studien und der National=F6konomischen Gesellschaf=
t
ACHTUNG!! =C4NDERUNG DER BEGINNZEITEN!
23. J=E4nner 1997:
17.30 Uhr: Birgit GRODAL (University Copenhagen)
"Clubs and the Market"
30. J=E4nner 1997: (Zus=E4tzlicher Termin)
16.00 Uhr: Robert WALDMANN (Eruopean University Institute Florenz)
"Demography and Growth"
17.30 Uhr: Manfred NEUMANN (Universit=E4t Bonn)
"Inflation=E4re Geldpolitik und Zentralbankverfassung:
eine positive Theorie"
Die Vortr=E4ge finden im Institut f=FCr H=F6here Studien, Stumpergasse 56,=
1060 Wien, H=F6rsaal II, statt.
Das Seminar steht allen Interessierten offen. Insbesondere wird die
Teilnahme von fortgeschrittenen Studierenden begruesst.
Der n=E4chste Vortrag findet am 13. M=E4rz 1997 statt.
Egbert Dierker
=========================================================================
Einladung
zum
Betriebswirtschaftlichen Forschungsseminar
des Institutes fuer Betriebswirtschaftslehre
der Universitaet Wien
A-1210 Wien, Bruennerstrasse 72
Donnerstag, 30. Jaenner 1997, 14:00
BWZ-Bruennerstrasse (Besprechungsraum
Nr. 156 - Lehrstuhl Professor Wagner)
Professor Dr. Lutz Hildebrandt
''Panelanalyse unbeobachtbarer
Einflussgroessen in der Erfolgsfaktorenforschung''-
=========================================================================
o. Univ.-Prof. Dr. Engelbert J. Dockner
o. Univ.-Prof. Dr. Josef Zechner
VSX WORKSHOP
!!! TERMIN"ANDERUNG !!!
Einladung
zum
Vortrag
von
Professor Julian Franks,
London Business School
mit dem Thema
''The Ownership and Control of German Corporations''
Aufgrund einer Terminkollision mit der Konferenz der Austrian Working
Group of Banking and Finance wird der Vortrag von Professor Franks
auf
Freitag, 17. Jaenner 1997, 10.00 - 11.30,
Seminarraum 1 des Betriebswirtschaftlichen Zentrums
der Universitaet Wien, Bruenner Strasse 72, 1210 Wien verschoben.
=========================================================================
------- Forwarded Message Follows -------
>From McClelland_R(a)dcgate.bls.gov Sun Mar 19 17:27:57 2000
>From: McClelland_R <McClelland_R(a)dcgate.bls.gov>
To: "'snde_l'" <snde_l(a)email.rutgers.edu>
Subject: SNDE_L FW: Artificial Stock Market working paper available
Date: Tue, 7 Jan 1997 10:03:29 -0500
Status: RO
X-Status:
X-Keywords:
X-UID: 229
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* to MAJORDOMO(a)EMAIL.RUTGERS.EDU *
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----------
<bigger>
Asset Pricing Under Endogenous Expectations in an Artificial Stock
Market
by
W. B. Arthur, J. H. Holland, , B. LeBaron, R. G. Palmer, and P. Tayler
ABSTRACT:
We propose a theory of asset pricing based on heterogeneous agents
who continually adapt their expectations to the market that these
expectations aggregatively create. And we explore the implications of
this theory computationally using our Santa Fe artificial stock market.
Asset markets, we argue, have a recursive nature in that agents'
expectations are formed on the basis of their anticipations of
other agents' expectations, which precludes expectations being
formed by deductive means. Instead, traders continually
hypothesize (continually explore) expectational models, buy or sell
on the basis of those that perform best, and confirm or discard these
according to their performance. Thus, individual beliefs or expectations
become endogenous to the market, and constantly compete within an
ecology of others' beliefs or expectations. The ecology of beliefs
co-evolves over time.
Computer experiments with this endogenous-expectations market explain
one of the more striking puzzles in finance: that market traders often
believe in such concepts as technical trading, "market psychology,"
and bandwagon effects, while academic theorists believe in market
efficiency
and a lack of speculative opportunities. Both views, we show, are
correct, but within different regimes. Within a regime where investors
explore alternative expectational models at a low rate, the market
settles into the rational-expectations equilibrium of the
efficient-market
literature. Within a regime where the rate of exploration of
alternative
expectations is higher, the market self-organizes into a complex pattern.
It acquires a rich psychology, technical trading emerges, temporary
bubbles
and crashes occur, and asset prices and trading volume show statistical
features (in particular, GARCH behavior) characteristic of actual market
data.
Postscript is available at:
http://www.santafe.edu/sfi/publications/96wplist.html
Paper copies can be requested from:
wp(a)santafe.edu
(All authors are affiliated with the Santa Fe Institute where Arthur is
the
Citibank Professor. In addition, Holland is Professor of Computer
Science
and Engineering, University of Michigan, Ann Arbor; LeBaron is Associate
Professor of Economics, University of Wisconsin, Madison; Palmer is
Professor of Physics, Duke University; and Tayler is with the Dept. of
Computer Science, Brunel University, London.)
</bigger>
=========================================================================
VSX WORKSHOP
Einladung zum
Vortrag
von
Professor Julian Franks,
London Business School
mit dem Thema ueber
''The Ownership and Control of German Corporations''
am Freitag, 17. Jaenner 1997, 13.30 - 15.00 Uhr
im Hoersaal 4 des Betriebswirtschaftlichen Zentrums
der Universitaet Wien, Bruenner Strasse 72, 1210 Wien.
=========================================================================
Termine im J=E4nner 1997:
16. J=E4nner 1997:
16.00 Uhr:
Clemens PUPPE (Universit=E4t Wien)
"Valuing Diversity"
17.30 Uhr:
Kai-Uwe K=DCHN (CSIS, Barcelona)
"A Theory of Union Power and Labor Turnover"
23. J=E4nner 1997:
16.00 Uhr:
Robert WALDMANN (European University Institute Florenz)
Titel des Vortrags wird noch bekanntgegeben.
17.30 Uhr:
Birgit GRODAL (University Copenhagen)
"Clubs and the Market"
30. J=E4nner 1997: Zus=E4tzlicher Termin - Ge=E4nderte Beginnzeit!
17.15 Uhr:
Manfred NEUMANN (Universit=E4t Bonn)
"Inflation=E4re Geldpolitik und Zentralbankverfassung: eine positive
Theorie"
Die Vortr=E4ge finden im Institut f=FCr H=F6here Studien, Stumpergasse 56,=
1060 Wien, H=F6rsaal II, statt.
Egbert Dierker
****************************************************************
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* to MAJORDOMO(a)EMAIL.RUTGERS.EDU *
* To resolve any problems, contact MCCLELLAND_R(a)BLS.GOV *
****************************************************************
----------
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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* to MAJORDOMO(a)EMAIL.RUTGERS.EDU *
* To resolve any problems, contact MCCLELLAND_R(a)BLS.GOV *
****************************************************************
----------
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
***********************************************************************
=========================================================================