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''
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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.
=========================================================================