Items where Division is "06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Computational Economics and Finance (Maringer)"

Article

Maringer, Dietmar and Deininger, Sebastian H. M.. (2016) Selecting and estimating interest rate models with evolutionary methods. Evolutionary Intelligence, 9 (4). pp. 137-151.

Oesch, Christian and Maringer, Dietmar. (2016) Low-latency liquidity inefficiency strategies. Quantitative finance, 17 (5). pp. 717-727.

James, Jessica and Maringer, Dietmar and Palada, Vasile and Serguieva, Antoanetta. (2015) Special Issue of Quantitative Finance on "Financial Data Analytics". Quantitative finance, 15 (10). p. 1617.

Zhang, Jin and Maringer, Dietmar. (2015) Using a Genetic Algorithm to Improve Recurrent Reinforcement Learning for Equity Trading. Computational Economics, 47 (4). pp. 551-567.

Maringer, Dietmar and Paterlini, Sandra and Winker, Peter. (2012) Editorial: The 3rd Special Issue on Optimization Heuristics in Estimation. Computational statistics & data analysis, Vol. 56, H. 10. pp. 2963-2964.

Maringer, Dietmar and Ramtohul, Tikesh. (2012) Regime-switching recurrent reinforcement learning for investment decision making. Computational Management Science, Vol. 9, H. 1. pp. 89-107.

Chen, XiaoHua and Maringer, Dietmar. (2011) Detecting time-variation in corporate bond index returns. Journal of Banking and Finance, Vol. 35, H. 1. pp. 95-103.

Zhang, Jin and Maringer, Dietmar. (2011) Selecting pair-copulas with downside risk minimisation. Journal of Financial Markets and Derivatives, 2 (1-2). pp. 121-148.

Maringer, Dietmar and Parpas, Panos. (2009) Global optimization of higher moments in portfolio selection. Journal for Global Optimization, Vol. 23. pp. 219-230.

Maringer, Dietmar and Winker, Peter. (2009) The convergence of estimators based on heuristics : theory and application to a GARCH model. Computational statistics, Vol. 24. pp. 533-550.

Maringer, Dietmar. (2008) Heuristic optimization for portfolio management. IEEE Computational Intelligence Magazine, Vol. 3, H. 4. pp. 31-34.

Book

Gilli, Manfred and Maringer, Dietmar and Schumann, Enrico. (2019) Numerical Methods and Optimization in Finance. London.

Gilli, Manfred and Maringer, Dietmar and Schumann, Enrico. (2011) Numerical Methods and Optimization in Finance. Amsterdam.

Maringer, Dietmar. (2005) Portfolio Management With Heuristic Optimization. Advances in Computational Management Science , 8. Dordrecht, Netherlands.

Brabazon, Anthony and O'Neill, Michael and Maringer, Dietmar, eds. Natural Computing in Computational Finance (Vol. 1 (2008) ; Vol. 2 (2009) ; Vol. 3 (2010) ; Vol. 4 (2012)). Studies in Computational Intelligence, Vol. 100 ; Vol. 185 ; Vol. 293 ; Vol. 380. Berlin.

Book Section

Gilli, Manfred and Schumann, Enrico. (2021) Risk–Reward Ratio Optimisation (Revisited). In: Dynamic Analysis in Complex Economic Environments: Essays in Honor of Christophe Deissenberg. Springer Nature Switzerland AG, pp. 29-57.

Maringer, Dietmar and Kriete-Dodds, Susan. (2015) Overconfidence in the Credit Card Market. In: Analyzing the Economics of Financial Market Infrastructures. Hershey, PA, USA, pp. 150-168.

Oesch, Christian and Maringer, Dietmar. (2015) A Neutral Mutation Operator in Grammatical Evolution. In: Intelligent System'2014, 322. Cham, Heidelberg, New York, Dordrecht, London, pp. 439-449.

Maringer, Dietmar and Ramtohul, Tikesh. (2012) Regime-switching recurrent reinforcement learning in automated trading. In: Natural Computing in Computational Finance , 4. Berlin , pp. 93-121.

Maringer, Dietmar and Zhang, Jin. (2010) A clustering application in portfolio management. In: Electronic engineering and computing technology. Dordrecht, pp. 309-321.

Saks, Philip and Maringer, Dietmar. (2010) Evolutionary money management. In: Natural Computing in Computational Finance, 3. New York, pp. 169-190.

Zhang, Jin and Maringer, Dietmar. (2010) Index Mutual Fund Replication. In: Natural Computing in Computational Finance, 3. New York, pp. 109-130.

Maringer, Dietmar. (2009) Constrained index tracking under loss aversion using differential evolution. In: Natural Computing in Computational Finance, Vol. 1. Dordrecht, pp. 7-24.

Saks, Philip and Maringer, Dietmar. (2009) Statistical Arbitrage with Genetic Programming. In: Natural Computing in Computational Finance, Vol. 2. Berlin, pp. 9-29.

di Tollo, Giacomo and Maringer, Dietmar. (2009) Metaheuristics for index tracking. In: Metaheuristics in the service industry. Berlin, pp. 127-154.

Gilli, Manfred and Maringer, Dietmar and Winker, Peter. (2008) Applications of Heuristics in Finance. In: Handbook on information technology in finance. Berlin, pp. 635-654.

Maringer, Dietmar. (2008) Risk preferences and loss aversion in portfolio optimization. In: Computational Methods in Financial Engineering. Heidelberg, pp. 27-46.

Conference or Workshop Item

Deininger, Sebastian and Maringer, Dietmar. (2016) Channels of Sovereign Risk Spillovers and Investment in the Manufacturing Sector. In: IFABS Barcelona Conference 2016: Risk in Financial Markets and Institutions: New challenges, New solutions.

Maringer, Dietmar and Deininger, Sebastian. (2014) Estimating time series models with heuristic methods: the case of economic parity conditions. In: Book of Abstracts: COMPSTAT 2014 - 21st International Conference on Computational Statistics. Geneva, p. 61.

Maringer, Dietmar and Zhang, Jin. (2014) Transition Variable Selection for Regime Switching Recurrent Reinforcement Learning. In: Proceedings of the 2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics. London, UK, pp. 407-413.

Oesch, Christian. (2014) An agent-based model for market impact. In: Computational Intelligence for Financial Engineering & Economics (CIFEr), 2104 IEEE Conference on. London, UK , pp. 17-24.

Zhang, Jin. (2014) Automating transition functions: a way to improve trading profits with recurrent reinforcement learning. In: Artificial Intelligence Applications and Innovations, 436. Heidelberg, pp. 39-49.

Zhang, Jin and Maringer, Dietmar. (2014) Two Parameter Update Schemes for Recurrent Reinforcement Learning. In: 2014 IEEE Congress on Evolutionary Computation (CEC). Beijing, China , pp. 1449-1453.

Zhang, Jin and Maringer, Dietmar. (2013) Indicator selection for daily equity trading with recurrent reinforcement learning. In: GECCO'13. Proceedings of the Genetic and Evolutionary Computation Conference. New York, pp. 1757-1758.

Deininger, Sebastian and Mohler, Lukas and Müller, Daniel. (2013) Estimating factor substitution elasticities in Swiss manufacturing. In: Book of Abstracts: IAEE Conference 2013.

Oesch, Christian and Maringer, Dietmar. (2013) Portfolio optimization under market impact costs. In: 2013 IEEE Congress on Evolutionary Computation (CEC 2013). Cancun, Mexico, 20-23 June 2013, pp. 1-7.

Kriete-Dodds, Susan and Maringer, Dietmar. (2012) Subscription markets: an agent-based approach. In: Proceedings of the 8th European Social Simulation Association Conference. Salzburg, pp. 179-190.

Maringer, Dietmar and Ramtohul, Tikesh. (2011) GP-based rebalancing triggers for the CPPI. In: Computational Intelligence for Financial Engineering and Economics (CIFEr), 2011 IEEE Symposium on. Paris.

Maringer, Dietmar and Ramtohul, Tikesh. (2010) Threshold recurrent reinforcement learning model for automated trading. In: Applications of Evolutionary Computation. Berlin, pp. 212-221.

Zhang, Qingfu and Li, Hui and Maringer, Dietmar and Tsang, Edward. (2010) MOEA/D with NBI-like Tchebycheff approach for Portfolio Management. In: 2010 IEEE Congress on Evolutionary Computation (CEC), CEC 2010, 8 S.. Piscataway.

Saks, Philip and Maringer, Dietmar. (2009) Evolutionary Money Management. In: Applications of Evolutionary Computing. Berlin, pp. 162-171.

Zhang, Jin and Maringer, Dietmar. (2009) Improving Sharpe Ratios and Stability of Portfolios by Using a Clustering Technique. In: World Congress on Engineering, WCE 2009 : 1 - 3 July, 2009, Imperial College London, London, U.K,, Vol. 1. Hong Kong, pp. 1-6.

Saks, Philip and Maringer, Dietmar. (2008) Genetic Programming in Statistical Arbitrage. In: Applications of Evolutionary Computation : EvoWorkshops 2008. Berlin, pp. 73-82.

Working Paper

Maringer, Dietmar and Craig, Ben R. and Paterlini, Sandra. (2019) Recreating Banking Networks under Decreasing Fixed Costs. RDB of Cleveland Working Paper, 19 (21).

Aussenegg, Wolfgang and Chen, Louisa and Jelic, Ranko and Maringer, Dietmar. (2019) Time Varying Factors in the Performance of Corporate Bond Indices.

Deininger, Sebastian and Maringer, Dietmar. (2017) Channels of Sovereign Risk Spillovers and Investment in the Manufacturing Sector. WWZ Working Papers, 2017 (07).

Maringer, Dietmar and Pohl, Walter and Vanini, Paolo. (2015) Structured products: performance, costs, and investments. White Paper. Zürich.

Lengwiler, Yvan and Maringer, Dietmar. (2011) Autonomously Interacting Banks. WWZ Discussion Papers, 2011 (07). Basel.

Khuman, Anil and Maringer, Dietmar and Constantinou, Nick. (2008) Constant Proportion Portfolio Insurance (CPPI) : Statistical Properties and Practical Implications. [Essex].

Newspaper or Magazine Article

Maringer, Dietmar. (2009) Kontroverse um das Datamining.

Other

Mohler, Lukas and Deininger, Sebastian and Müller, Daniel. (2016) Energy Elasticities and the Rebound Effect: A Comprehensive Empirical Analysis. Bern.