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

Sprechstunden:

nach Vereinbarung

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, S. 439-449. Cham, Heidelberg, New York, Dordrecht, London: Springer International Publishing.
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
James, Jessica, Dietmar Maringer, Vasile Palade und Antoaneta Serguieva. 2015. ”Special Issue of Quantitative Finance on "Financial Data Analytics"” Quantitative finance 15 (10): S. 1617-1617. edoc

> Alle Publikationen

Letzte Änderung: 21.03.2016



« zurück