Prof. Dr. Dietmar Maringer

Dietmar Maringer is Professor of Computational Economics and Finance at the Faculty of Economics and Business (Wirtschaftswissenschaftliches Zentrum, WWZ) at the University of Basel, Switzerland. His research interests combine finance and computational methods from artificial intelligence and data analysis. These include risk management, portfolio optimization, algorithmic trading, high-frequency markets, financial networks, complex adaptive systems, machine learning, computational intelligence and simulation-based techniques. He studied computer science and business, and finance in Vienna, AT, and Cambridge, UK, and he earned his PostDoc qualification at the University of Erfurt’s econometrics department.

Prior to his current position, he was Director of Research and PhD Programmes at the Centre for Computational Finance and Economics Agents (University of Essex, UK). He has published numerous journal articles, books, and conference papers and has won several best-paper awards. Amongst other commitments, he chaired the Portfolio Optimization Task Force in IEEE’s Computational Economics and Finance Technical Committee 2008-2018, and is a frequent member of organization and program committees of international conferences.

maringer

Prof. Dr. Dietmar Maringer
Professor
Peter Merian-Weg 6
4002 Basel
Switzerland

Tel. +41 (0)61 207 32 52

Selected Publications

[1] Ben Craig, Dietmar Maringer, and Sandra Paterlini. “Creating (Parsimonious) Banking Networks”. In: 11th Conference on Computational and Financial Econometrics (CFE 2017) and 10th International Conference of the ERCIM (European Research Consortium for Informatics and Mathematics) Working Group on Computational and Methodological Statistics (CMStatistics 2017). 2017.

[2] Sebastian Deininger and Dietmar Maringer. Channels of Sovereign Risk Spillovers and Investment in the Manufacturing Sector. Tech. rep. 2017/07, WWZ, University of Basel, 2017.

[3] Christian Oesch and Dietmar Maringer. “Low-Latency Liquidity Inefficiency Strategies”. In: Quantitative Finance 17.5 (2017), pp. 717–727.

[4] Wolfgang Aussenegg, Louisa Chen, Ranko Jelic, and Dietmar Maringer. Does Market Liquidity Risk Affect Euro Corporate Bond Returns More Seriously in Stress Periods? Bank Underground. Bank of England, 2016.

[5] Wolfgang Aussenegg, Louisa Chen, Ranko Jelic, and Dietmar Maringer. “Time Varying Illiquidity of European Corporate Bonds”. In: 20th European Financial Management Association (EFMA) Annual Meeting 2016. Basel, 2016.

[6] Dietmar Maringer and Sebastian H. M. Deininger. “Selecting and Estimating Interest Rate Models with Evolutionary Methods”. In: Evolutionary Intelligence 9.4 (2016), pp. 137–151.

[7] Dietmar Maringer and Susan Kriete-Dodds. “Overconfidence in the Credit Card Market”. In: Analyzing the Economics of Financial Market Infrastructures. Ed. by Martin Diehl, Biliana Alexandrova-Kabadjova, Richard Heuver, and Seraf´ın Mart´ınez-Jaramillo. IGI Global, 2016, pp. 150–168.

[8] Jin Zhang and Dietmar Maringer. “Using a Genetic Algorithm to Improve Recurrent Reinforcement Learning for Equity Trading”. In: Computational Economics 47.4 (2016), pp. 551–567.

[9] Jessica James, Dietmar Maringer, Vasile Palade, and Antoaneta Serguieva. “Special Issue of Qyantitative Finance on ’Financial Data Analytics’”. In: Quantitative Finance 15.10 (2015), pp. 1617–1617.

[10] Yvan Lengwiler and Dietmar Maringer. “Regulation and Contagion of Banks”. In: Journal of Banking Regulation 16.1 (2015), pp. 64–71. 

[11] Christian Oesch and Dietmar Maringer. “A Neutral Mutation Operator in Grammatical Evolution”. In: Intelligent Systems’2014. Ed. by P. Angelov, K.T. Atanassov, L. Doukovska, M. Hadjiski, V. Jotsov, J. Kacprzyk, N. Kasabov, S. Sotirov, E. Szmidt, and S. Zadroz˙ny. Cham: Springer International Publishing, 2015, pp. 439–449. 

[12] Dietmar Maringer and Jin Zhang. “Transition Variable Selection for Regime Switching Recurrent Reinforcement Learning”. In: 2014 IEEE Conference on Computational Intelligence for Financial Engineering Economics (CIFEr). 2014, pp. 407–413. 

[13] Jin Zhang and Dietmar Maringer. “Two Parameter Update Schemes for Recurrent Reinforcement Learning”. In: 2014 IEEE Congress on Evolutionary Computation (CEC). 2014, pp. 1449–1453. 

[14] Dietmar Maringer. “Heuristic Optimization for Time Series Analysis”. In: 7th International Workshop on Simulation. University of Bologna, 2013.

[15] Dietmar Maringer and Sebastian Deininger. “Estimating Time Series Models with Heuristic Methods: Tue Case of Economic Parity Conditions”. In: 6th International Conference of the ERCIM WG on Computational and Methodological Statistics. London, 2013.

[16] Christian Oesch and Dietmar Maringer. “Portfolio Optimization under Market Impact Costs”. In: 2013 IEEE Congress on Evolutionary Computation. 2013, pp. 1–7.

[17] Jin Zhang and Dietmar Maringer. “Indicator Selection for Daily Equity Trading with Recurrent Reinforcement Learning”. In: GECCO 2013. 2013, pp. 1757–1758.

[18] Anthony Brabazon, Michael O’Neill, and Dietmar Maringer. “Natural Computing in Computational Finance (Volume 4): Introduction”. In: Natural Computing in Computational Finance: Volume 4. Ed. by Anthony Brabazon, Michael O’Neill, and Dietmar Maringer. Berlin, Heidelberg: Springer Berlin Heidelberg, 2012, pp. 1–8.

[19] Anthony Brabazon, Michael O’Neill, and Dietmar Maringer, eds. Natural Computing in Computational Finance. Vol. 4. Studies in Computational Intelligence. Berlin, Heidelberg: Springer Berlin Heidelberg, 2012.

[20] Dietmar Maringer and Susan Kriete-Dodds. “Subscription Markets: An Agent-Based Approach”. In: Proceedings of the 8th European Social Simulation Association Conference. 2012, pp. 179–190.

[21] Dietmar Maringer, Sandra Paterlini, and Peter Winker. “The 3rd Special Issue on Optimization Heuristics in Estimation and Modelling Problems”. In: Computational Statistics & Data Analysis 56.10 (2012). Tue 3rd Special Issue on Optimization Heuristics in Estimation and Modelling Problems, pp. 2963–2964.

[22] Dietmar Maringer and Tikesh Ramtohul. “Regime-Switching Recurrent Reinforcement Learning for investment Decision Making”. In: Computational Management Science 9.1 (2012), pp. 89–107.

[23] Dietmar Maringer and Tikesh Ramtohul. “Regime-Switching Recurrent Reinforcement Learning in Automated Trading”. In: Natural Computing in Computational Finance: Volume 4. Ed. by Anthony Brabazon, Michael O’Neill, and Dietmar Maringer. Berlin, Heidelberg: Springer Berlin Heidelberg, 2012,

pp. 93–121.

[24] XiaoHua Chen and Dietmar Maringer. “Detecting Time-Variation in Corporate Bond Index Returns: A Smooth Transition Regression Model”. In: Journal of Banking & Finance 35.1 (2011), pp. 95–103.

[25] Manfred Gilli, Dietmar Maringer, and Enrico Schumann. Numerical Methods and Optimization in Finance. Academic Press, 2011.

[26] Yvan Lengwiler and Dietmar Maringer. Autonomously Interacting Banks. Tech. rep. 2011/07, WWZ, University of Basel, 2011. 

[27] Dietmar Maringer and Tikesh Ramtohul. “GP-Based Rebalancing Triggers for the CPPI”. In: 2011 IEEE Symposium on Computational Intelligence for Financial Engineering and Economics (CIFEr). 2011, pp. 1–8.

[28] Jin Zhang and Dietmar Maringer. “Distributing Weights under Hierarchical Clustering: A Way in Reducing Performance Breakdown”. In: Expert Systems with Applications 38.12 (2011), pp. 14952–14959.

[29] Jin Zhang and Dietmar Maringer. “Selecting Pair-Copulas with Downside Risk Minimisation”. In: Int. Journal of Financial Markets and Derivatives 2 (Jan. 2011), pp. 121–148.

[30] Anthony Brabazon, Michael O’Neill, and Dietmar Maringer. “Natural Computing in Computational Finance (Volume 3): Introduction”. In: Natural Computing in Computational Finance. Ed. by Anthony Brabazon, Michael O’Neill, and

Dietmar Maringer. Berlin, Heidelberg: Springer Berlin Heidelberg, 2010, pp. 1–6.

[31] Anthony Brabazon, Michael O’Neill, and Dietmar Maringer, eds. Natural Computing in Computational Finance. Vol. 3. Studies in Computational Intelligence. Springer Berlin Heidelberg, 2010.

[32] Dietmar Maringer and Tikesh Ramtohul. “Threshold Recurrent Reinforcement Learning Model for Automated Trading”. In: Applications of Evolutionary Computation. Ed. by Cecilia Di Chio et al. Berlin, Heidelberg: Springer Berlin Heidelberg, 2010, pp. 212–221.

[33] Philip Saks and Dietmar Maringer. “Evolutionary Money Management”. In: Natural Computing in Computational Finance. Ed. by Anthony Brabazon, Michael O’Neill, and Dietmar Maringer. Berlin, Heidelberg: Springer Berlin Heidelberg, 2010, pp. 169–190.

[34] Jin Zhang and Dietmar Maringer. “A Clustering Application in Portfolio Management”. In: Electronic Engineering and Computing Technology. Ed. By Sio-Iong Ao and Len Gelman. Dordrecht: Springer Netherlands, 2010, pp. 309–321.

[35] Jin Zhang and Dietmar Maringer. “Index Mutual Fund Replication”. In: Natural Computing in Computational Finance. Ed. by Anthony Brabazon, Michael O’Neill, and Dietmar Maringer. Berlin, Heidelberg: Springer Berlin Heidelberg, 2010, pp. 109–130.

[36] Qingfu Zhang, Hui Li, Dietmar Maringer, and Edward Tsang. “MOEA/D with NBI-style Tchebycheff Approach for Portfolio Management”. In: IEEE Congress on Evolutionary Computation. 2010, pp. 1–8.

[37] Dietmar Maringer and Panos Parpas. “Global Optimization of Higher Order Moments in Portfolio Selection”. In: Journal of Global Optimization 43.2 (2009), pp. 219–230.

[38] Philip Saks and Dietmar Maringer. “Statistical Arbitrage with Genetic Programming”. In: Natural Computing in Computational Finance: Volume 2. Ed. by Anthony Brabazon and Michael O’Neill. Berlin, Heidelberg: Springer Berlin Heidelberg, 2009, pp. 9–29.

[39] Giacomo di Tollo and Dietmar Maringer. “Metaheuristics for the Index Tracking Problem”. In: Metaheuristics in the Service Industry. Ed. by Kenneth Sörensen, Marc Sevaux, Walter Habenicht, and Martin Josef Geiger. Berlin, Heidelberg: Springer Berlin Heidelberg, 2009, pp. 127–154.

[40] Peter Winker and Dietmar Maringer. “Model Selection and Rank Estimation in Vector Error Correction Models”. In: Computational and Financial Econometrics Conference. 2009.

[41] Peter Winker and Dietmar Maringer. “The Convergence of Estimators Based on Heuristics: Theory and Application to a GARCH Model”. In: Computational Statistics 24.3 (2009), pp. 533–550.

[42] Jin Zhang and Dietmar Maringer. “Improving Sharpe Ratios and Stability of Portfolios by Using a Clustering Technique”. In: Proceedings of the World Congress on Engineering (WCE 2009). Vol. I. 2009, pp. 1–6.

[43] Manfred Gilli, Dietmar Maringer, and Peter Winker. “Applications of Heuristics in Finance”. In: Handbook on Information Technology in Finance. Ed. by Detlef Seese, Christof Weinhardt, and Frank Schlottmann. Berlin, Heidelberg: Springer Berlin Heidelberg, 2008, pp. 635–653.

[44] Anil Khuman, Nick Constantinou, and Dietmar Maringer. “Constant Proportion Portfolio Insurance: Statistical Properties and Practical Implications”. In: Computational Management Science Conference. London, 2008.

[45] Dietmar Maringer and Mark Meyer. “Smooth Transition Autoregressive Models – New Approaches to the Model Selection Problem”. In: Studies in Nonlinear Dynamics and Econometrics 12 (Mar. 2008).

[46] Dietmar Maringer. “Constrained Index Tracking under Loss Aversion Using Differential Evolution”. In: Natural Computing in Computational Finance. Ed. by Anthony Brabazon and Michael O’Neill. Berlin, Heidelberg: Springer Berlin Heidelberg, 2008, pp. 7–24.

[47] Dietmar Maringer. “Heuristic Optimization for Portfolio Management [Application Notes]”. In: IEEE Computational Intelligence Magazine 3.4 (2008), pp. 31–34.

[48] Dietmar Maringer. “Risk Preferences and Loss Aversion in Portfolio Optimization”. In: Computational Methods in Financial Engineering: Essays in Honour of Manfred Gilli. Ed. by Erricos J. Kontoghiorghes, Ber¸c Rustem, and Peter Winker. Berlin, Heidelberg: Springer Berlin Heidelberg, 2008, pp. 27–45.

[49] Dietmar Maringer and Evdoxia Pliota. “Clustering of Extreme Events: Application of a Time-Varying Threshold”. In: Computational Management Science Conference. London, 2008.

[50] Philip Saks and Dietmar Maringer. “Genetic Programming in Statistical Arbitrage”. In: Applications of Evolutionary Computing. Ed. by Mario Giacobini et al. Berlin, Heidelberg: Springer Berlin Heidelberg, 2008, pp. 73–82.

[51] Philip Saks and Dietmar Maringer. Single versus Dual Tree Genetic Programming for Dynamic Binary Decision Making. CCFEA Working Paper Series WP019-08. University of Essex, 2008.

[52] Dietmar Maringer and Olufemi Oyewumi. “Index Tracking with Constrained Portfolios”. In: Intelligent Systems in Accounting, Finance and Management 15 (June 2007), pp. 57–71.

[53] Dietmar Maringer and Evdoxia Pliota. “Extreme Value Theory for VaR: Tue Problem of Sample Size Choice”. In: Computational Management Science Conference. Geneva, 2007.

[54] Peter Winker and Dietmar Maringer. “The Threshold Accepting Optimisation Algorithm in Economics and Statistics”. In: Optimisation, Econometric and Financial Analysis. Ed. by Erricos John Kontoghiorghes and Cristian Gatu. Berlin, Heidelberg: Springer Berlin Heidelberg, 2007, pp. 107–125.

[55] Kai-Tai Fang, Dietmar Maringer, Yu Tang, and Peter Winker. “Lower Bounds and Stochastic Optimization Algorithms for Uniform Designs with Three or Four Levels”. In: Mathematics of Computation 75 (Apr. 2006), pp. 859–878.

[56] Dietmar Maringer. Small is Beautiful. Diversification with a Limited Number of Assets. CCFEA Working Paper Series WP005-06. University of Essex, 2006.

[57] Dietmar Maringer. “Distribution Assumptions and Risk Constraints in Portfolio Optimization”. In: Computational Management Science 2.2 (2005), pp. 139–153.

[58] Dietmar Maringer. Portfolio Management with Heuristic Optimization. Advances in Computational Management Science. Springer, Boston, MA, 2005.

[59] Peter Winker and Dietmar Maringer. “The Hidden Risks of Optimizing Bond Portfolios under VaR”. In: Journal of Risk 9.4 (July 2005), pp. 1–19.

[60] Dietmar Maringer. “Finding the Relevant Risk Factors for Asset Pricing”. In: Computational Statistics & Data Analysis 47.2 (2004). Applications of Optimization Heuristics to Estimation and Modelling Problems, pp. 339–352.

[61] Peter Winker and Dietmar Maringer. “Optimal Lag Structure Selection in VEC-Models”. In: New Directions in Macromodelling. Vol. 269. Contributions to Economic Analysis. Elsevier, 2004, pp. 213–234.

[62] Dietmar Maringer and Hans Kellerer. “Optimization of Cardinality Constrained Portfolios with a Hybrid Local Search Algorithm”. In: OR Spectrum 25.4 (2003), pp. 481–495.

[63] Peter Winker and Dietmar Maringer. Portfolio Optimization and Different Risk Constraints with Modified Memetic Algorithms. Working Paper 2003-005E. University of Erfurt, 2003.

[64] Thomas Breuer, Dietmar Maringer, and Filip Pistovcak. “Selecting Relevant Risk Factors for Stress Testing Scenarios”. In: International Conference on Operations Research. Klagenfurt, 2002.

[65] Edwin O. Fischer, Christian Keber, and Dietmar Maringer. “Anfang gut, alles gut? Eine Empirische Untersuchung über den Fünftageindikator zur Frühprognose auf Aktienmärkten”. In: Financial Markets and Portfolio Management 16.4 (2002),

pp. 487–496.

[66] Dietmar Maringer. “Portfolioselektion bei Transaktionskosten und Ganzzahligkeitsbeschränkungen”. In: Zeitschrift für Betriebswirtschaft 72.11 (2002), pp. 1155–1176.

[67] Dietmar Maringer. “Wertpapierselektion mittels Ant Systems”. In: Zeitschrift für Betriebswirtschaft 72.12 (2002), pp. 1221–1240.

[68] Christian Keber and Dietmar Maringer. “On Genes, Crystals and Ants: Determining Marginal Diversification Effects with Nature Based Algorithms”. In: 7th International Conference of the Society of Computational Economics. Yale University, 2001.

[69] Dietmar Maringer. “Optimizing Portfolios with Ant Systems”. In: International ICSC Congress on Computational Intelligence: Methods and Applications (CIMA ‘2001). University of Wales at Bangor: ICSC Academic Press, Canada and The Netherlands, 2001, pp. 288–294.

[70] Edwin O. Fischer, Christian Keber, and Dietmar Maringer. “Die Bewertung von Kreditgarantien mittels Hyperoptionen”. In: OR-Spektrum 22.4 (2000), pp. 461–489.

[71] Edwin O. Fischer, Christian Keber, and Dietmar Maringer. Arbeitsbuch zur Finanzwirtschaft für Anfänger. Oldenbourg, 1999 (reprint 2014).

[72] Edwin O. Fischer, Christian Keber, and Dietmar Maringer. Arbeitsbuch zur Finanzwirtschaft für Fortgeschrittene. Oldenbourg, 1998.