Intelligent Systems in Finance
It is the goal of this research to investigate intelligent systems and their applications in the area of finance. Here we concentrate on Evolutionary learning of trading rules for the stock market, agent-based analysis of stock markets, Agents and electronic markets and on risik management.
Selected publications
A. Mathias, F. Grond, R. Guardans, M. Canela, H. H. Diebner, D. Seese: Algorithms for spectral anaylsis of irregularly sampled time series; eingereicht für Journal for Statistical Software, Volume 11, Issue 2 (2004), http://www.jstatsoft.org, (submitted: 2003-07-21, accepted: 2004-05-19, ISSN 1548-7660), pp. 1 - 30, 2003.
Özkan Cetinkaya, Ralf Spöth, Th. Stümpert, D. Seese: EASE - A software agent that axtracts financial data from the SECs EDGAR database; 2003 (abstract), Proceedings of the Fourth International ICSC Symposium on Engineering of Intelligent Systems EIS2004, University of Madeira, Funchal, Portugal, February 29th - March 2, 2004, http://www.icsc-naiso.org, pp. 128; full paper in the electronic proceedings, pp. 1 - 7
F. Schlottmann, M. Lesko, S. Vorgrimler, D. Seese: Risk-return analysis of credit portfolios. In M. Gundlach and M.F. Lehrbass (Eds.), CreditRisk+ in the banking industry; Springer, Heidelberg, 2004, pp. 259 - 278.
F. Schlottmann, D. Seese: Modern heuristics for finance problems: A survey of selected methods and applications. In Svetlozar T. Rachev (Eds.), Handbook of Computational and Numerical Methods in Finance; Birkhäuser Boston, 2004, pp. 331 - 359.
F. Schlottmann, D. Seese: Finding constrained downside risk-return efficient credit portfolio structures using hybrid multi-objective evolutionary computation; in Proceedings of 8. Karlsruher Ökonometrie Workshop "Credit Risk: Measuring, Evaluation and Management / Kreditrisiko: Messung, Bewertung und Management", Karlsruhe, March 13 - 15, 2002, edited by G. Bol, G. Nakhaeizadeh, S. T. Rachev, T. Ridder, K.-H. Vollmer, 2003, pp. 231 - 265, Physica-Verlag A Springer-Verlag Company, 2003.
F. Schlottmann, D. Seese: A hybrid genetic-quantitative method for risk-return-optimization of credit portfolios, (Abstract in Quantitative methods in finance 2001 Conference Proceedings (abstracts), University of Technology, Sydney, 2001, Australia, p. 55; full paper under URL: http://www.business.uts.edu.au/finance/ resources/qmf2001/Schlottmann_F.pdf ) [PDF] [PS]
F. Schlottmann, D. Seese: The building blocks of complexity: a unified criterion and selected applications in economics and finance, April 2002, Material for a series of lectures at the School of Finance and Economics of the University of Technology in Sydney, at the School of Mathematics and Statistics of the University of Sydney and at the Sydney Financial Mathematics Workshop. http://www.qgroup.org.au/SFMW/ [PDF] [PS]
F. Schlottmann, D. Seese: Hybrid multi-objective evolutionary computation of constrained downside risk-return efficient sets for credit portfolios, accepted for 8th International Conference of the Society for Computational Economics "Computing in Economics and Finance" Aix en Provence, France, June 27-28-29, 2002, http://www.cepremap.cnrs.fr/sce2002.html [PDF] [PS]
Ch. Leinemann, F. Schlottmann, D. Seese, Th. Stümpert: Automatic Extraction and Analysis of Financial Data from the EDGAR-database; Web Applications 2000, Johannesburg; South African Journal of Information Management, Vol 3 No. 2, 2001. Online version: Journal homepage
F. Schlottmann, D. Seese: Scaling of price fluctuations at a virtual capital market with probabilistic and trend-chasing agents. (in German), in Angewandte Informatik und Formale Beschreibungsverfahren, Festschrift in occasion of the 60th birthday of Wolffried Stucky, (G. Lausen, A. Oberweis, G. Schlageter Eds.), Teubner-Texte zur Informatik, Band 29, B. G. Teubner, Stuttgart, pp. 212 - 222, 1999 [PDF] [PS]
A. Frick, R. Herrmann, M. Kreidler, A. Narr, D. Seese: Genetic Based Trading Rules: A New Tool to Beat the Market With?, in Aktuarielle Ansätze für Finanz-Risiken, Proceedings of 6th International AFIR Colloquium, Nürnberg, 1.-3. Oktober 1996, (Editor Peter Albrecht) Verlag Versicherungswirtschaft e.V. Karlsruhe, Volume I/II, pp. 997 - 1018.
R. Herrmann, M. Kreidler, D. Seese, K. Zabel: A Fuzzy-Hybrid Approach to Stock Trading, in Proceedings of ICONIP98 -Kitakyushu, The Fifth International Conference on Neural Information Processing, Kitakyushu, Japan, October 21 - 23, 1998, Shiro Usui, Takashi Omori (Eds.), ISO Press, Amsterdam pp. 1028- 1032.
R. Herrmann, M. Kreidler, D. Seese, K. Zabel: Fuzzy Genetic Trading Systems - A New Approach, Abstract in Quantitative Methods in Finance 1998 Conference Proceedings (abstracts), Sydney, Australia, 14-17 December 1998 p. 64.
A. Frick, R. Herrmann, M. Kreidler, A. Narr, D. Seese: A Genetic-Based Approach for the Derivation of Trading Strategies on the German Stock Market, Proceedings of the 3rd International Conference on Neural Information Processing, Hong Kong. September 24-27, 1996, (Editors: Shun-ichi Amari, Lei Xu, Lai-Wan Chan, Irwin King and Kwong-Sak Leung), Springer-Verlag Singapore, 1996, pp. 766-770.