Publikationen - Prof. Dr. Dietmar Maringer

Monographien

Gilli, Manfred, Dietmar Maringer und Enrico Schumann. 2011. Numerical Methods and Optimization in Finance. Amsterdam: Elsevier. edoc

Zeitschriftenaufsätze

Maringer, Dietmar und Sebastian Deininger. 2016 ”Selecting and estimating interest rate models with evolutionary methods”. Evolutionary Intelligence 9 (4): S. 1-15. URL
Oesch, Christian und Dietmar Maringer. 2016 ”Low-latency liquidity inefficiency strategies”. Quantitative Finance: S. 1-11. URL
Lengwiler, Yvan und Dietmar Maringer. 2015 ”Regulation and contagion of banks”. Journal of Banking Regulation 16 (1): S. 64-71. edoc
Zhang, Jin und Dietmar Maringer. 2015 ”Using a Genetic Algorithm to Improve Recurrent Reinforcement Learning for Equity Trading”. Computational Economics 47 (4): S. 551-567. edoc, URL
Maringer, Dietmar und Tikesh Ramtohul. 2012 ”Regime-switching recurrent reinforcement learning for investment decision making”. Computational Management Science 9 (1): S. 89-107. edoc, URL
Chen, XiaoHua und Dietmar Maringer. 2011 ”Detecting time-variation in corporate bond index returns”. Journal of Banking and Finance 35 (1): S. 95-103. edoc
Maringer, Dietmar und Tikesh Ramtohul. 2011 ”Regime-Switching Recurrent Reinforcement Learning in Automated Trading”: S. 93-121.
Maringer, Dietmar und Jin Zhang. 2011 ”Selecting Pair-Copulas with Downside Risk Minimisation”. Journal of Financial Markets and Derivatives 2: S. 121-148.
Maringer, Dietmar und Jin Zhang. 2010 ”A clustering application in portfolio management”: S. 309-321. edoc
Maringer, Dietmar und Jin Zhang. 2010 ”Index Mutual Fund Replication”. Studies in computational intelligence Vol. 3: S. 109-130. edoc
Saks, Philip und Dietmar Maringer. 2010 ”Evolutionary money management”. Studies in computational intelligence Vol. 3: S. 169-190. edoc
Maringer, Dietmar und Panos Parpas. 2009 ”Global optimization of higher moments in portfolio selection”. Journal for Global Optimization 43 (2-3): S. 219-230. edoc
Winker, Peter und Dietmar Maringer. 2009 ”The convergence of estimators based on heuristics : theory and application to a GARCH model”. Computational statistics 24 (3): S. 533-550. edoc
Maringer, Dietmar. 2008 ”Heuristic optimization for portfolio management”. IEEE Computational Intelligence Magazine 3 (4): S. 31-34. edoc

Beiträge in Tagungsbänden

Maringer, Dietmar und Sebastian Deininger. 2014. ”Estimating time series models with heuristic methods: the case of economic parity conditions”: Book of Abstracts: COMPSTAT 2014 - 21st International Conference on Computational Statistics, Geneva, Switzerland: International Association for Statistical Computing.
Maringer, Dietmar und Jin Zhang. 2014. ”Transition Variable Selection for Regime Switching Recurrent Reinforcement Learning”: Proceedings of the 2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, London: IEEE.
Zhang, Jin und Dietmar Maringer. 2014. ”Two Parameter Update Schemes for Recurrent Reinforcement Learning”: Proceedings of the 2014 IEEE Congress on Evolutionary Computation, London, UK: IEEE.
Oesch, Christian und Dietmar Maringer. 2013. ”Portfolio optimization under market impact costs” IEEE, (Hg): 2013 IEEE Congress on Evolutionary Computation (CEC), Cancun, Mexico: IEEE.
Zhang, Jin und Dietmar Maringer. 2013. ”Indicator selection for daily equity trading with recurrent reinforcement learning”: Proceedings of the Genetic and Evolutionary Computation Conference, GECCO'13, Amsterdam, The Netherlands: GECCO.
Kriete-Dodds, Susan und Dietmar Maringer. 2012. ”Subscription markets: an agent-based approach”: Proceedings of the 8th European Social Simulation Association Conference, Salzburg, Austria: Selbstverl. des Fachbereichs Geographie und Geologie der Univ. Salzburg. edoc
Maringer, Dietmar und Ramtohul Tikesh. 2011. ”GP-based rebalancing triggers for the CPPI”: Computational Intelligence for Financial Engineering and Economics (CIFEr), 2011 IEEE Symposium on, Paris: IEEE.
Maringer, Dietmar und Tikesh Ramtohul. 2010. ”Threshold recurrent reinforcement learning model for automated trading” DiChio, C, A Brabazon, GA DiCaro, M Ebner, M Farooq, A Fink, J Grahl, G Greenfield, P Machado, M ONeill, E Tarantino und N Urquhart (Hg): Applications of Evolutionary Computation, Istanbul: Springer. edoc
Zhang, Qingfu, Hui Li, Dietmar Maringer und Edward Tsang. 2010. ”MOEA/D with NBI-like Tchebycheff approach for Portfolio Management”: 2010 IEEE Congress on Evolutionary Computation (CEC), Barcelona: IEEE. edoc
Saks, Philip und Dietmar Maringer. 2009. ”Evolutionary Money Management” Giacobini, M. et al. (Hg): Applications of Evolutionary Computing, Tübingen, Germany: Springer. edoc
Zhang, Jin und Dietmar Maringer. 2009. ”Improving Sharpe Ratios and Stability of Portfolios by Using a Clustering Technique” World Congress on Engineering, (Hg): World Congress on Engineering, WCE 2009 : 1 - 3 July, 2009, Imperial College London, London, U.K,, London: IAENG. edoc, URL
Saks, Philip und Dietmar Maringer. 2008. ”Genetic Programming in Statistical Arbitrage” Giacobini, M et al. (Hg): Applications of Evolutionary Computation : EvoWorkshops 2008, Naples, Italy: Springer. edoc

Beiträge in Sammelbänden

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
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
di Tollo, Giacomo und Dietmar Maringer. 2009. ”Metaheuristics for index tracking” In Metaheuristics in the service industry, herausgegeben von Martin J. Geiger, Walter Habenicht, Marc Sevaux und Kenneth Sörensen, S. 127-154. Berlin: Springer. edoc
Maringer, Dietmar. 2009. ”Constrained index tracking under loss aversion using differential evolution” In Natural Computing in Computational Finance, herausgegeben von Anthony Brabazon und Michael O'Neill, S. 7-24. Dordrecht: Springer. edoc
Saks, Philip und Dietmar Maringer. 2009. ”Statistical Arbitrage with Genetic Programming” In Natural Computing in Computational Finance, herausgegeben von Anthony Brabazon und Michael O'Neill, S. 9-29. Berlin: Springer. edoc
Gilli, Manfred, Dietmar Maringer und Peter Winker. 2008. ”Applications of Heuristics in Finance” In Handbook on information technology in finance, herausgegeben von D Schlottmann, C Weinhardt und F Schlottmann, S. 635-654. Berlin: Springer. edoc
Maringer, Dietmar. 2008. ”Risk preferences and loss aversion in portfolio optimization” In Computational Methods in Financial Engineering, herausgegeben von Erricos John Kontoghiorghes, Berc Rustem und Peter Winker, S. 27-46. Heidelberg: Springer. edoc

Rezensionen, Überblicksartikel

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

Veröffentlichungen in der Presse

Maringer, Dietmar. 2009. ”Kontroverse um das Datamining” ICT in Finance , November. edoc

Discussion/Working Papers

Lengwiler, Yvan und Dietmar Maringer. 2011/07. ”Autonomously Interacting Banks”.
[ Abstract ][ Download ]

Letzte Änderung: 19.09.2013