Prof. Dr. Dietmar Maringer

Professor of Computational Economics and Finance
dietmar.maringer-at-unibas.ch

Büro 5.56
Wirtschaftswissenschaftliche Fakultät
Professur Computational Economics and Finance
Peter Merian-Weg 6
Schweiz - 4002 Basel

Tel.
+41 61 207 32 52

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Ausgewählte Publikationen:

  • Lengwiler, Yvan, and Dietmar Maringer. 2013. "Regulation and Contagion of Banks." Journal of Banking Regulation, 16:64-71.
  • Maringer, Dietmar, and XiaoHua Chen. 2011. "Detecting time-variation in corporate bond index returns: A smooth transition regression model." Journal of Banking and Finance, 35: 95–103.
  • Maringer, Dietmar, and Panos Parpas. 2009. "Global Optimization of Higher Moments in Portfolio Selection." Journal of Global Optimization, 23(2-3):219-230.
  • Maringer, Dietmar. 2008. "Heuristic Optimization for Portfolio Management." IEEE Computational Intelligence Magazine 3(4):31-34.
  • Winker, Peter, and Dietmar Maringer. 2007. "The Hidden Risks of Optimizing Bond Portfolios under Value at Risk"  Journal of Risk, 9(4): 1–19.
  • Maringer, Dietmar, and Olufemi Oyewumi. 2007. "Index Tracking with Constrained Portfolios, Intelligent Systems in Finance." Intelligent Systems in Finance, Accounting and Management, 15: 57–71.
  • Fang, Kai-tai, Dietmar Maringer, Yu Tang, and Peter Winker. 2006. "Lower Bounds and Stochastic Optimization for Uniform Design with Three and Four Levels."  Mathematics of Computation, 75(254): 859-878.

 

 

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

 

Fields of interest

research areas

special interest groups

Background

Education

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

current and previous affiliations

  • 2008 - date: full professor, University of Basel, Switzerland
  • 2009 - date: visiting, 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

M Gilli, D Maringer,
E Schumann,
Numerical Methods and
Optimization in Finance,

Academic Press 2011.

A Brabazon, M O'Neill,
D Maringer (eds.)
Natural Computing in
Computational Finance, vol. 4
(Series in Computational Intelligence)
Springer 2011.

A Brabazon, M O'Neill,
D Maringer (eds.)
Natural Computing in
Computational Finance, vol. 3
(Series in Computational Intelligence)
Springer 2010.

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) 17th 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

 

 

 

Aktuelle Publikationen

Oesch, Christian und Dietmar Maringer. 2015. ”A Neutral Mutation Operator in Grammatical Evolution” In Intelligent System'2014, herausgegeben von P. Angelov, K. T. Atanassov, L. Doukovska, M. Hadjiski und V. Jotsov, S. 439-449. Cham, Heidelberg, New York, Dordrecht, London: Springer International Publishing. edoc
Maringer, Dietmar und Susan Kriete-Dodds. 2015. ”Overconfidence in the Credit Card Market” In Analyzing the Economics of Financial Market Infrastructures, herausgegeben von Marting Diehl, Biliana Alexandrova-Kabadjova, Richard Heuver und Serafín Martínez-Jaramillo, S. 150-168. Hershey, PA, USA: IGI Global. edoc
Lengwiler, Yvan und Dietmar Maringer. 2015 ”Regulation and contagion of banks”. Journal of Banking Regulation 16 (1): S. 64-71. edoc

> Alle Publikationen

Letzte Änderung: 21.03.2016



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