[ fields of interest | background | publications | further activities ]

Fields of interest

research areas

• heuristic optimisation
• computational and financial econometrics
• high frequency trading and algo trading
• computational finance
• financial and economic modelling
• estimation and model selection
• experimental design and uniform design
• agent-based computational economics

special interest groups

• Financial Mathematics and Computing Cluster (member of the scientific advisory board)
• IEEE Computational Economics and Finance TC
  • member of the technical committee
  • chair of the Task Force on portfolio management
• Computational Optimisation Methods in Statistics, Econometrics and Finance (COMISEF)
• European Research Consortium for Informatics and Mathematics (ERCIM); special interest in estimation and model selection

Background

Education

• PD (habilitation) at the University of Erfurt, Germany
• M.Phil. University of Cambridge, UK
• PhD University of Vienna
• MA University of Vienna and University of Technology of Vienna
• visiting student at the Universities of Exeter and at the London School of Economics (LSE)

current and previous affiliations

• 2008 - date: full professor for computational management science; Faculty for Economics and Management (WWZ), University of Basel, Switzerland
• 2009 - date: visiting professor, econometrics department, University of Geneva
• 2005 - 2008: Director of PhD programmes, Centre Deputy Director; Centre for Computational Finance and Economic Agents (CCFEA), University of Essex, UK
• 2002 - 2005: assistant professor, Department of Econometrics, University of Erfurt, Germany
• 1993 - 2002: assistant professor, Department of Business Administration, Finance Unit (now: Department of Finance), University of Vienna, Austria

Selected Publications

Recent Books

Selected Refereed Journal Articles

• Regime-switching recurrent reinforcement learning for investment decision making, with Tikesh Ramtohul, Computational Management Science, 2012, Volume 9, Number 1, pp 89-107.
• Detecting time-variation in corporate bond index returns: A smooth transition regression model", with XiaoHua Chen, Journal of Banking and Finance, 2011, 35(1): 95-103.
• Jin Zhang and Dietmar Maringer, "Selecting Pair-Copulas with Downside Risk Minimization," International Journal of Financial Markets and Derivatives, 2:121-148 (2011).
• Jin Zhang and Dietmar Maringer, "Distributing Weights under Hierarchical Clustering: A Way in Reducing Performance Breakdown," Expert Systems With Applications, 38(12): 14952-14959 (2011).
• "Global Optimization of Higher Order Moments in Portfolio Selection," with Panos Parpas, Journal of Global Optimization, 2009, 23:2-3, p. 219-230.
• "The Convergence of Estimators based on Heuristics: Theory and Application to a GARCH model", with P. Winker, Computational Statistics 24, 2009, 533-550.
• "Heuristic Optimization for Portfolio Management," IEEE Computational Intelligence Magazine, November 2008, 31-34.
• "The Hidden Risks of Optimizing Bond Portfolios under Value at Risk," with Peter Winker, Journal of Risk, 9(4), 1-19, 2007.
• "Smooth Transition Autoregressive Models: New Approaches to the Model Selection Problem," with Mark Meyer, Studies in Nonlinear Dynamics & Econometrics 12 (1/5).
• "Index Tracking with Constrained Portfolios," with Olufemi Oyewumi, Intelligent Systems in Accounting, Finance and Management, 15, 2007, 57-71.
• "Lower Bounds and Stochastic Optimization for Uniform Design with Three and Four Levels," with Kai-tai Fang, Yu Tang und Peter Winker, Mathematics of Computation, 75, 2006, 859-878.
• "Distribution Assumptions and Risk Constraints in Portfolio Optimization,"
  Computational Management Science, 2(2), 2005, 139-153.
• "Finding the Relevant Risk Factors in Asset Pricing,"
  Computational Statistics and Data Analysis, 47(2), 2004, 339-352.
• "Optimization of Cardinality Constrained Portfolios with a Hybrid Local Search Algorithm," with Hans Kellerer,
  OR Spectrum, October 2003, 481-495.
• "Anfang gut, alles gut? Eine empirische Untersuchung über den Fünftageindikator zur Frühprognose auf Aktienmärkten"
  ("All's well that starts well? An empirical investigation on the five-day-indicator for early forecasting in stock markets"),
  with Edwin O. Fischer and Christian Keber,
  Journal of Financial Markets and Portfolio Management, 16(4), 2002, 487-496.
• "Wertpapierselektion mittels Ant Systems"
  ("Asset selection with Ant Systems"), Zeitschrift für Betriebswirtschaft, 72(12), Dec. 2002, 1221-1240.
• "Portfolioselektion bei Transaktionskosten und Ganzzahligkeitsbeschränkungen" ("Portfolio selection under transaction costs and integer constraints"), Zeitschrift für Betriebswirtschaft, 72(11), Nov. 2002, 1155-1176.
• "Optimizing Portfolios with Ant Systems," International ICSC Congress on Computational Intelligence: Methods and Applications (CIMA '2001), University of Wales at Bangor (UK), ICSC Academic Press, Canada and The Netherlands 2001, 288-294.
• "Die Bewertung von Kreditgarantien mittels Hyperoptionen"("The valuation of credit guarantees by compound options"), with Edwin O. Fischer and Christian Keber, OR Spektrum, Dez. 2000, 461-489.

Books and Book Chapters

• Dietmar Maringer and Tikesh Ramtohul, "Regime-Switching Reccurent Reinforcement Learning in Automated Trading," in Brabazon, A., et al. (eds.), Natural Computing in Computational Finance, Studies in Computational Finance, Volume 4, Studies in Computational Intelligence series, 93-121, Springer 2011
• Jin Zhang and Dietmar Maringer, Index Mutual Fund Replication, in Brabazon, A., et al. (eds.), Natural Computing in Computational Finance, Volume 3, Studies in Computational Intelligence series, 109-130, Springer 2010.
• Jin Zhang and Dietmar Maringer, A Clustering Application in Portfolio Management, in Ao, S.I. and Gelman, L. (eds.), Electronic Engineering and Computing Technology, Lecture Notes in Electrical Engineering, Volume 60, 309-321, 2010, Springer.
• "Statistical Arbitrage with Genetic Programming", in: A. Brabazon, M. O'Neill (eds.), Natural Computing in Computational Economics and Finance, Springer, 9-29, 2009.
• "Metaheuristics for the Index Tracking Problem", with Giacomo di Tollo, in: Martin Geiger, Walter Habenicht, Marc Sevaux, Kenneth Sörensen (eds), Metaheuristics in the Service Industry, Springer, 127-154, 2009.
• "Constrained Index Tracking under Loss Aversion using Differential Evolution," A. Brabazon, M. O'Neill (eds.), Natural Computing in Computational Economics and Finance, Springer, 9-29, 2009.
• "Risk Preferences and Loss Aversion in Portfolio Optimization," in: E. Kontoghiorghes, B. Rustem, P. Winker (eds.), Computational Methods in Financial Engineering, Springer, 27-45, 2008.
• "Applications of Heuristics in Finance," with Manfred Gilli and Peter Winker, in: Schlottmann, F. and Seese, D. (eds.), Handbook on IT in Finance, Springer, forthcoming.
• "The Threshold Accepting Optimization Algorithm in Economics and Statistics," with Peter Winker, in: Kontoghiorges, E.J., Gatu, Chr. (eds.), Optimisation, Econometric and Financial Analysis, Springer, 2007.
• "Convergence of Optimization Based GARCH Parameters: Theory and Applications," Alfredo Rizzi, Maurizio Vichi (eds): Proceedings in Computation Statistics (CompStat 2006),Physica-Verlag 2006, 483-494
• "Optimal Lag Structure Selection in VEC-Models," with Peter Winker, in: Welfe, A. (ed.), New Directions in Macromodelling, Elsevier, Amsterdam, 2005.

Working Papers

• "Smooth Transition Autoregressive Models - New Approaches to the Model Selection Problem," with Mark Meyer, CCFEA Working Paper Series,WP010-06, University of Essex.
• "The Threshold Acceptance Optimization Heuristic in Economics and Statistics," with Peter Winker, CCFEA Working Paper Series,WP009-06, University of Essex.
• "Small is Beautiful. Diversification with a limited number of assets," CCFEA Working Paper SeriesWP005-06, University of Essex 2006.
• "The Convergence of Optimization Based Estimators: Theory and Application to a GARCH-Model," with Peter Winker, discussion paper 2006-004E, University of Erfurt, 2005.
• "The Hidden Risks of Optimising Bond Portfolios under Value at Risk," with Peter Winker, Deutsche Bank Research Notes, 13, 2004.
• "Portfolio Optimization and Different Risk Constraints with Modified Memetic Algorithms", with Peter Winker,discussion paper 2003-005E, University of Erfurt 2003.

Conference Abstracts

• "Genetic Programming in Statistical Arbitrage," with Philip Saks, Intelligent Systems in Accounting, Finance and Management, Cambridge, 2007.
• "Global optimization of higher order moments in portfolio selection," with Panos Parpas,
  Conference on Advances in Global optimization, Greece 2007.
• "Index Tracking with constrained Portfolios: A Heuristic Approach," with Olufemi Oyewumi,
  Computational Management Science Conference, Geneva 2007.
• "Extreme value theory for VaR: The problem of sample size choice," with Evdoxia Pliota,
  Computational Management Science Conference, Geneva 2007.
• "Convergence of Optimization Based GARCH Parameters: Theory and Applications", with Peter Winker, invited to present at:
  (a) Computational Intelligence in Economics and Finance (CIEF'2006);
  (b) 17^th Conf. of IASC-ERS (CompStat 2006, Rome);
  (c) Conference on Computational Management Science, Amsterdam
• "Return Distribution and Risk Estimation: Some Empirical Evidence",
  invited talk, International Conference on Statistics, Hong Kong, 2005.
• "Smooth Transition Autoregressive Models - New Approaches to the Model Selection Problem,"
  (a) Computational Management Science Conference Geneva 2007;
  (b) Computational Economics and Finance Conference,Cyprus 2006.
• "The Hidden Risks of Optimizing Bond Portfolios under Value at Risk," with Peter Winker,
  Computational Management Science Conference, Neuchâtel (Switzerland), 2004.
• "Optimal lag structure selection in VEC models", with Peter Winker,
  Workshop on Computational Econometrics and Statistics, Neuchâtel (Switzerland), 2004.
• "The Hidden Risks of Optimizing Bond Portfolios under Value at Risk", with Peter Winker,
  16th Australasian Finance and Banking Conference, Sydney (Australia), 2003.
• "Great Expectations and Broken Promises: Risk Constraints and Assumed Distribution in Portfolio Optimization",
  International Workshop on Computational Management Science, Economics, Finance and Engineering, Limassol (Cyprus) 2003.
• "Selecting Relevant Risk Factors for Stress Testing Scenarios", with Thomas Breuer and Filip Pistovcak,
  International Conference on Operations Research, Klagenfurt (Austria) 2002.
• "APT at Work: Finding the Relevant Risk Factors for Asset Pricing",
  8th International Conference of the Society of Computational Economics, Aix-en-Provence (France) 2002.

Further Activities

Selected Invited Presentations

• Pompeu Fabra, Barcelona
• University of Zurich
• British Society for the History of Mathematics
• Universidad Nacional Autónoma de México (UNAM)
• Banco de México
• Tecnologico de Monterrey (ITESM; Campus Monterrey and Campus Mexico)
• University of Basel
• City University London
• Birbeck College, London
• University of Modena
• University of Mannheim
• Universidad Carlos III, Madrid
• University of Graz
• University College Dublin
• Cass Business School, University of London
• Loughborough University
• University of Geneva

Ad-hoc Refereeing

• Applied Intelligence
• Annals of Operations Research
• Austrian Central Bank
• Central European Journal of Operations Research
• Computational Management Science
• Computational Statistics and Data Analysis
• Computers & Operations Research
• Constraints
• Decision Support Systems
• EPSRC
• European Journal of Law and Economics
• European Journal of Operations Research
• IEEE Transactions on Evolutionary Computation
• Journal of Global Optimization
• Journal of Pension Economics and Finance
• New Mathematics and Natural Computation
• OR Spectrum
• Quantitative Finance
• Zeitschrift für Betriebswirtschaft