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[VFN] Conference invitation: The Organisation and Performance of Fixed-Income Markets, Palais Coburg, 16-18 December 2004
by Randl Otto iskwien 12 Nov '04

12 Nov '04

-------------------------------------------------------------- Invitation The Second MTS Conference on Financial Markets: The Organisation and Performance of Fixed-Income Markets Hosted by Universität Wien und ISK Wien Palais Coburg, 16-18 December 2004 Preliminary Programme: http://www.iskwien.at/upload/Preliminary_Programme_Vienna.pdf PLEASE REGISTER at isk(a)iskwien.at -------------------------------------------------------------- Thursday, December 16 13.15 Welcome by Marco Pagano 14.00 Session 1 - Secondary Markets, Chair: Gustavo Piga Automation versus Intermediation: Evidence from Treasuries Going Off the Run M. Barclay, T. Hendershott, K. Kotz Discussant: G. Garbi Financial Intermediation and the Costs of Trading in an Opaque Market R. Green, B. Hollifield, N. Schurhoff Discussant: C. D'Souza MTS Time Series A. Dufour Key Note Address Chester Spatt Moderator: Bruno Biais Friday, December 17 8.30 Session 2 - Primary Markets, Chair: Ernst-Ludwig von Thadden Illiquidity Spillovers: Theory and Evidence from European Telecom Bond Issuance Y. Newman, M. Rierson Discussant: A. Melnik Order Flow and the Formation of Dealer bids: An Analysis of Information and Strategic Behaviour in the Government of Canada Security Auctions A. Hortacsu, S. Sereen Discussant: C. Upper Dicriminatory Auctions with Seller Discretion: Evidence from German Treasury Auctions J. Rocholl Discussant: A. Hortacsu 13.30 Session 3 - Liqudity and Risk, Chair: Giorgio Basevi Flight to Quality, Flight to Liquidity, and the Pricing of Risk D. Vayanos Liquidity Discovery and Asset Pricing M. Gallmeyer, B. Hollifield, D. Seppi Discussant: V. Acharya Welcome by Prof. Niels Thygesen Roundtable: Bond Market: Liquidity, Risk and Regulation, Chair: A. Lamfalussy A. Grünbichler, T. Padoa Schioppa, G. Szapary Saturday, December 18 9.00 - 13.30 Press Sessions -------------------------------------------------------------- Further information: Dr. Otto Randl Institut für strategische Kapitalmarktforschung Coburgbastei 4/1 T: +43 (1) 518 18 - 900 F: +43 (1) 518 18 - 920 E: otto.randl(a)iskwien.at Registration: isk(a)iskwien.at There is no conference fee, but registration is required. Due to the limited number of participants please register asap. --------------------------------------------------------------

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[VFN] CCEFM/IHS Workshop
by Alfred Lehar 09 Nov '04

09 Nov '04

CCEFM/IHS Workshop Ernst Maug, Humboldt University Do Shareholders Vote Strategically? Evidence on the Advisory Role of Annual General Meetings The paper can be downloaded from http://www2.wu-wien.ac.at/ccefm/activities/workshops.htm Friday, November 12th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien

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[VFN] Artificial Economics 2005 Conference: 1st CfP (fwd)
by VFN-L admin * Andreas Schamanek 08 Nov '04

08 Nov '04

You might be interested in the Artificial Economics'2005 Conference: Symposium in Agent-based Computational Methods in Finance, Game Theory and their applications I am including the full CfP because the website is not yet available. -- Andreas Schamanek ******************************************************* PRELIMINARY CALL FOR PAPERS for +-----------------------------+ | Artificial Economics'2005 | +-----------------------------+ Symposium in Agent-based Computational Methods in Finance, Game Theory and their applications Lille, September 15--16, 2005 http://cisco.univ-lille1.fr/ae2005 ******************************************************* ---------------------------------------------------------------------- CONTEXT ---------------------------------------------------------------------- Agent-based Computational Economics (ACE) deals with the computational study of economies as complex adaptive systems implying interacting agents with cognitive skills. This area has provoked, in various fields of Economics, a great deal of academic interest, in relation with the Complex System approaches. One of the first use of agent based models has been popularized by Axelrod in his theory of evolution of cooperation. In this early work he used extensively computational simulations and methods in order to study strategic behaviour in the iterated prisoner's dilemma. This work is still influencing many researches in various scientific fields. It has for instance been the foundations of a new approach of the game theory based on computational ideas. In the mid eighties, under the impulsion of the Santa-Fe Institute, and especially Christopher Langton, a new field of research, called Artificial Life (AL), has emerged. The idea of AL was to mimic real life under its various aspects to understand the basic principles of life. This has lead to encompass wider ideas such as complexity, evolution, auto-organisation and emergence. All concepts induced by those approaches have influenced social scientists among others. Following those initial attempts to mix computational approaches and social sciences, for instance among the pioneering works using ACE in finance, one can refer to the Artificial Stock Market by Palmer, Arthur, Holland, LeBaron, and Taylor. This model, based on bounded rationality and inductive reasoning, is one of the first allowing correct simulations of real world stock market dynamics. This work has been done by people coming from various scientific fields (Economics, Game Theory, Computer Science and Finance). Recently, another growing field appeared, dealing with the study of the formation and the dynamics of social networks. To understand the spread of information as well as the social beliefs one has to consider the underlying social networks that can have different effects on those processes. This special topic is another where physicists, computer scientists and economists join their efforts to explore the idea that economic activity is embedded in social structure. All thoses approaches intensively use computer simulation as well as artificial intelligence concepts mostly based on multi-agents systems. In this context, the most used models come from game theory. Therefore, Agent-based Computational Economics is more and more an important methodology in many Social-Sciences (the Management Sciences, Sociology, Economics, Conflicts Resolution, etc). It becomes now widely used to test theoretical models or to investigate their properties when analytical solutions are not possible. ---------------------------------------------------------------------- AIMS AND SCOPES ---------------------------------------------------------------------- The main aims of the event are to: * present computer-science based multi-agent methodologies and tools with their applications to social-scientists (mainly people from economics and the management sciences) * present uses and needs of multi-agent based models and their constraints, as used by those social scientists, to computer scientists * favor the meeting of people and ideas of those two communities in order to be able to construct a much structured multi-disciplinary approach. For its first edition, the Symposium will thus present recent scientific advances in the fields of ACE but is also widely open to methodological surveys. Topics include but are not limited to the following: * Computational Game Theory (Non-Cooperative, Cooperative, Evolutionary, Pure coordination Games...) * Discrete choice models in Economics and the Management Sciences * Emergence and dynamics of Norms and Conventions * Financial Market and Organization Models (Stock prices dynamics, Herding in Financial Markets) * Epistemology and Agent-based Methodological issues * Dynamics of social and economic networks ---------------------------------------------------------------------- IMPORTANT DATES ---------------------------------------------------------------------- * March 1st, 2005 : Submission of papers * April 8th, 2005 : Notification of acceptance * June 1st, 2005 : Final paper due * September 15-16, 2005 : AE'2005 The symposium will last two days and will take place in Lille, which is very well connected to most major european cities. It will offer presentations of papers selected by the program committee as well as special invited keynote sessions. Exchanges and discussions will have a large space in the final program. ---------------------------------------------------------------------- PAPER SUBMISSION AND PROCEEDINGS and original works, has to be sent by electronic mail and in acrobat (.pdf) format to the following email address: ae2005(a)univ-lille1.fr Short versions of the paper must be 5 pages long. Further details and authors guideline will also be available from the main website at http://cisco.univ-lille1.fr/ae2005 All accepted papers will be published in proceedings of the symposium which will have an ISBN. After the event we plan to publish a special issue of a journal presenting some selected papers, which may have been modified after remarks and discussions done during the conference. ---------------------------------------------------------------------- ORGANIZING COMMITTEE ---------------------------------------------------------------------- * Bruno BEAUFILS, USTL/CNRS * Olivier BRANDOUY, USTL/CNRS * Julien DERVEEUW, USTL/CRNS * Denis PHAN, Universite' de Rennes I * Philippe MATHIEU, USTL/CNRS ---------------------------------------------------------------------- PROGRAM COMMITTEE ---------------------------------------------------------------------- Chair : Pr Philippe MATHIEU * Fre'de'ric AMBLARD - Universite' de Toulouse 1, France * Ge'rard BALLOT - ERMES, Universite' de Paris 2, France * Bruno BEAUFILS - LIFL, USTL, France * Paul BOURGINE - CREA, E'cole Polytechnique, France * Olivier BRANDOUY - CLAREE, USTL, France * Charlotte BRUUN - Aalborg University, Danemark * Jose' Maria CASTRO CALDAS - ISCTE, DINAMIA, Portugal * Christophe DEISSENBERG - GREQAM, France * Jean-Paul DELAHAYE - LIFL, USTL, France * Jacques FERBER - LIRMM, Universite' de Montpellier II, France * Bernard FORGUES - CLAREE, USTL, France * Wander JAGER - University of Groningen, The Netherlands * Marco JANSSEN - CIPEC, Indiana University, USA * Philippe LAMARRE - LINA, Universite' de Nantes, France * Luigi MARENGO - DSGSS, Universita` di Teramo, Italy * Philippe MATHIEU - LIFL, USTL, France * Denis PHAN - Universite' de Rennes I, France * Juliette ROUCHIER - GREQAM, France * Elpida TZAFESTAS - National Technical University of Athens, Greece * Nicolaas VRIEND - Queen Mary University of London, United Kingdom * Bernard WALLISER - CERAS, ENPC, France * Murat YILDIZOGLU - IFREDE-E3I, Universite' Montesquieu Bordeaux IV, France ---------------------------------------------------------------------- CONTACT ---------------------------------------------------------------------- Pr Philippe MATHIEU email : philippe.mathieu(a)lifl.fr www : http://cisco.univ-lille1.fr/ae2005 ----------------------------------------------------------------------

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[VFN] Public Lecture E. Rossi di Montelera November 9th
by Gutmann Center-D. Grimm 06 Nov '04

06 Nov '04

GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna http://www.gutmann-center.at is pleased to invite to the following PUBLIC LECTURE: - Apologies for any cross-postings!! - Date: November 9th 2004, 4.30 p.m. - LOCATION: Bank Gutmann AG (http://www.gutmann.at), Schwarzenbergplatz 16, A - 1010 Vienna, Austria Speaker: ERNESTO ROSSI DI MONTELERA, Observatoire de la Finance http://www.obsfin.ch/ Title: "PROFIT AND ETHICS: ENEMIES, PARTNERS, OR UNCONCERNED?" Abstract: Why should we talk about ethics in the context of financial activities, a field that would appear to be highly and exclusively technical ? Anyway, we must face the fact that the topic of ethics is more and more widely addressed (but also feared) in the economic and financial communities. It looks as if ethics were simultaneously perceived as an obstacle to the competition for profit but also as a profitable sales proposition ! Do we have in fact a clear idea of what ethics are and what is the meaning of the word ? It certainly has something to do with the idea of trust and of shared rules (and values) as a necessary condition for a smooth establishment and functioning of financial relations. So the question arises : are ethics a cost that should be born in the superior interest of the civil society, or a condition for better performances ? Should one expect from "ethical funds" a better return or a better conscience ? The obvious need for trust leads to the question of Common Good, a notion of respectable antiquity, but very difficult to define and to implement. Basical questions should than be raised : how do we take into consideration the complexity of any reality ? How can we define its various levels and bring them to bear in our decisions ? What help can we find in certain traditional doctrines, as for instance the doctrine of virtues (of which maybe the virtue of liberalitas is a good example in our case) ? Are we not sometime (or too often) the victims of utopian illusions, as in the case of the quest for a risk-free (zero risk !) society ? What could we say of such trends as "responsible investment" or "microfinance" ? The primary problem of ethics is not the definition of the correct behaviours or the drafting of codes of deontology, but the search for the ends and means to be discovered in the reality of things, in the nature of man and in the meaning of his actions : before the questions about how things should be comes the question of what things are and to what ends we should direct them. In our case the primary question could be, for instance : what is money ? Please REGISTER: brigitte.juchelka(a)gutmann.at phone: +43-1-50220-357 Further information about the Gutmann Center: Mag. Dorothea Grimm Gutmann Center for Portfolio Management University of Vienna phone: +43-1-4277-38186 mail: dorothea.grimm(a)univie.ac.at web: www.gutmann-center.at

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[VFN] Reminder: Corporate Governance Conference
by Randl Otto iskwien 02 Nov '04

02 Nov '04

BSI Gamma, ISK Wien and Universität Wien invite to a CONFERENCE and PANEL DISCUSSION on CORPORATE GOVERNANCE November 11, 2004 Palais Coburg ----------------------------------------------------- Please register by November 4, 2004 at isk(a)iskwien.at ----------------------------------------------------- Programme: www.iskwien.at/upload/invito_vienna_04.pdf 13.15 Welcome Prof. Josef Zechner, Prof. Rene Stulz 13.30 - 15.00 Session 1 Predicting Firms' Corporate Governance Choices: Evidence from Korea Bernard Black, Hasung Jang, Woochan Kim Discussant: Rene Stulz Watching the Stop from the Front Seat: Determinant of Venture Capitalists' Representation on the Board Eli Talmor, Reddi Kotha Discussant: Thomas Dangl 15.30 - 17.00 Session 2 The Valuation Effect of Corporate Governance Changes: Evidence from Cross-Border Mergers Arturo Bris, Christos Cabolis Discussant: Klaus Gugler Corporate Governance and Earnings Management: International Evidence Francois Degeorge, Yuan Ding, Thomas Jeanjean, Herve STolowy Discussant: Alex Stomper 17.30 - 19.15 Session 3 The Corporate Governance Role of the Media: Clinical Evidence from Russia Luigi Zingales, Alexander Dyck Discussant: Ernst Maug PANEL DISCUSSION: Can corporate insiders be tamed? Alexander Dyck, Harvard Business School Michael Eberhartinger, Austrian Corporate Governance Committee Ernst Maug, University of Berlin Stefan Zapotocky, CEO Vienna Stock Exchange 19.15 Cocktails ----------------------------------------------------- Further information: Dr. Otto Randl Institut für strategische Kapitalmarktforschung Coburgbastei 4/1 1010 Wien T: +43-1-51818-900 T: +43-1-51818-920 E: otto.randl(a)iskwien.at

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[VFN] CCEFM/IHS workshop
by Alfred Lehar 30 Oct '04

30 Oct '04

CCEFM/IHS Workshop Rick Green, Carnegie Mellon University Financial Intermediation and the Costs of Trading in an Opaque Market The paper will by downloadable from http://www2.wu-wien.ac.at/ccefm/activities/workshops.htm within the next few days. (!) Wednesday (!), Nov 3rd, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien ---------------------- The next workshop is by Ernst Maug, Humboldt University Do Shareholders Vote Strategically? Evidence on the Advisory Role of Annual General Meetings Friday, November 12th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien ---------------------- Alfred Lehar University of Vienna Bruenner Strasse 72 A-1210 Wien Austria / Europe Tel: +43 1 4277 38077 Fax: +43 1 4277 38074

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[VFN] 10. November, Financial Engineering & Quantitative Research: Experiences at JPMorgan
by Christopher Summer 28 Oct '04

28 Oct '04

We would like to invite you to the following presentation at the Institut für Kreditwirtschaft, WU Wien: Financial Engineering and Quantitative Research: Experiences at JPMorgan Wednesday, November 10, 2004 at 18:00 h Hörsaal D205 (UZA4) Abstract: The aim of this talk is to give an insight into everyday life of JPMorgan's derivatives business across asset classes. On the one hand, we will point out areas of responsibilities of structurers, traders and quants as well as the interplay between these three teams. On the other hand, we will give a number of examples showing typical challenges (in terms of product development, model requirements and implementation issues) and how we solved them. In this regard, we will discuss equity specific and credit specific products, as well as some ideas concerning the interplay of equity and credit. Finally, we conclude by describing typical job profiles for a marketer, trader or quant and how to prepare successfully for interviews. Speaker & Discussant: Dr Eva Strasser, Associate with JPMorgan London, working in Equity Derivatives Research and specializing on the development of equity-specific models and products as well as on equity-credit related topics Johannes Sommer, Associate with JPMorgan London, working in Investment Banking Advisory, specializing on M&A, equity and debt transactions for listed real estate companies -- |dr christopher summer ||wu wien, institut fuer kreditwirtschaft |tel +43 1 31336 5006 ||www.wu-wien.ac.at/usr/kredit/csummer |fax +43 1 3100580 ||christopher.summer(a)wu-wien.ac.at

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[VFN] Call for papers for CIEF'2005 (fwd)
by VFN-L admin * Andreas Schamanek 26 Oct '04

26 Oct '04

(...) > The 4th International Workshop on Computational Intelligence > in Economics and Finance (CIEF'2005) Marriott City Center, Salt Lake City, Utah, USA July 21-26, 2005 http://www.jcis.org/pages/subconference/cief/cief.aspx http://www.aiecon.org/cief2005/index.html (...)

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[VFN] Gutmann Center Public Lecture Nov.9th - Ernesto Rossi di Montelera
by Gutmann Center-D. Grimm 21 Oct '04

21 Oct '04

GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna http://www.gutmann-center.at is pleased to invite to the following PUBLIC LECTURE: - Apologies for any cross-postings!! - Date: November 9th 2004, 4.30 p.m. - Speaker: Ernesto Rossi di Montelera, Observatoire de la Finance http://www.obsfin.ch/ Title: "PROFIT AND ETHICS: ENEMIES, PARTNERS, OR UNCONCERNED?" Abstract: Why should we talk about ethics in the context of financial activities, a field that would appear to be highly and exclusively technical ? Anyway, we must face the fact that the topic of ethics is more and more widely addressed (but also feared) in the economic and financial communities. It looks as if ethics were simultaneously perceived as an obstacle to the competition for profit but also as a profitable sales proposition ! Do we have in fact a clear idea of what ethics are and what is the meaning of the word ? It certainly has something to do with the idea of trust and of shared rules (and values) as a necessary condition for a smooth establishment and functioning of financial relations. So the question arises : are ethics a cost that should be born in the superior interest of the civil society, or a condition for better performances ? Should one expect from "ethical funds" a better return or a better conscience ? The obvious need for trust leads to the question of Common Good, a notion of respectable antiquity, but very difficult to define and to implement. Basical questions should than be raised : how do we take into consideration the complexity of any reality ? How can we define its various levels and bring them to bear in our decisions ? What help can we find in certain traditional doctrines, as for instance the doctrine of virtues (of which maybe the virtue of liberalitas is a good example in our case) ? Are we not sometime (or too often) the victims of utopian illusions, as in the case of the quest for a risk-free (zero risk !) society ? What could we say of such trends as "responsible investment" or "microfinance" ? The primary problem of ethics is not the definition of the correct behaviours or the drafting of codes of deontology, but the search for the ends and means to be discovered in the reality of things, in the nature of man and in the meaning of his actions : before the questions about how things should be comes the question of what things are and to what ends we should direct them. In our case the primary question could be, for instance : what is money ? Location: Bank Gutmann AG (http://www.gutmann.at), Schwarzenbergplatz 16, A - 1010 Vienna, Austria Participation is free, but REGISTRATION required: brigitte.juchelka(a)gutmann.at phone: +43-1-50220-357 Further information about the Gutmann Center: Mag. Dorothea Grimm Gutmann Center for Portfolio Management University of Vienna phone: +43-1-4277-38186 mail: dorothea.grimm(a)univie.ac.at web: www.gutmann-center.at

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[VFN] 19. Workshop der AWG on Banking and Finance
by Stefan Pichler 21 Oct '04

21 Oct '04

***** LAST CALL FOR PAPERS ***** Der 19. Workshop der Austrian Working Group on Banking and Finance findet am 26. und 27. November 2004 an der Wirtschaftsuniversität Wien statt. Angesprochen sind sowohl Forscher/inn/en an allen österreichischen Universitäten und verwandten Institutionen als auch Praktiker/innen, die wissenschaftliche Arbeiten im Bereich Banken und Finanzwirtschaft einem kritischen Fachpublikum vorstellen möchten. Bei der Auswahl der Vorträge wird besonders auf die Förderung des wissenschaftlichen Nachwuchses Wert gelegt. Alle Interessent/inn/en sind herzlich eingeladen Papers oder Extended Abstracts bis 31. Oktober 2004 an Prof. Stefan Bogner (stefan.bogner(a)wu-wien.ac.at) oder Prof. Stefan Pichler (stefan.pichler(a)wu-wien.ac.at) zu senden. Mit freundlichen Grüßen Stefan Pichler ******************************************* Univ.-Prof. Mag. Dr. Stefan Pichler Wirtschaftsuniversität Wien Institut für Kreditwirtschaft UZA 4, 6. Stock Kern B Nordbergstraße 15 A-1090 Wien Tel: ++43 1 31336 4691 Fax: ++43 1 3100580 E-mail: <mailto:stefan.pichler@wu-wien.ac.at> stefan.pichler(a)wu-wien.ac.at Web: <http://www.wu-wien.ac.at/wwwu/institute/ikw/> http://www.wu-wien.ac.at/wwwu/institute/ikw/ *******************************************

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