EINLADUNG
zum Gastvortrag
Ten Major Microstructure Misconceptions
Robert A. Schwartz
Professor and Yamaichi Faculty Fellow
New York University
Zeit: Montag, 24. Juni 1996,
14.00-16.00 Uhr
Ort: Wiener Boerse
Warenboersesaal, 2.OG
Wipplingerstra=DFe 34
1010 Wien
____________________________________________________________
Mag. Roland Dipplinger, Institut fuer Finanzierung und Finanzmaerkte
Wirtschaftsuniversitaet Wien, Althanstrasse 39-45, A-1090 WIEN
Tel.: ++431-31336-4173, Fax: -761, @: Roland.Dipplinger(a)wu-wien.ac.at
"Sorry - Nick" -- Nick Leeson, Barings, 23/2/95
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OEKONOMETRISCHES FORSCHUNGSSEMINAR
(M. Deistler, R. Alt, R. Kunst)
Donnerstag, 20. Juni 1996
"Forecasting Stock Market Averages
to Enhance Profitable Trading Strategies"
Christian HAEFKE and Christian HELMENSTEIN
(IHS)
Abstract:
In this paper we formulate a trading strategy
for stocks that exploits the informational
difference implied by different stock market
index construction principles. In order to gain
a competitive advantage over other market participants,
we forecast the indexes one day ahead and subsequently
generate buy and sell signals through the trading rule.
To illustrate how the system works, we apply it to select
stocks from those constituting the ATX index sample.
The forecasting of the indexes is done applying standard
financial econometric techniques and feedforward neural
networks. Drawing upon various model selection criteria,
such as AIC, HQ and SIC, we discuss their potential for
rendering parsimonious neural network architectures.
Keywords:
Artificial Neural Networks, Model Selection,
Stock Market Indexes, Trading Systems.
Ort: HS II
Zeit: 9.00 Uhr c. t.
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Einladung zu nachstehenden Vortr=E4gen von
Thomas Mayer, Univ. of California:
Donnerstag, 13.6., 15.00 Uhr, SE-Raum 2, Hohenstaufengasse 9
"The Dark Side of Economic Modelling"
Freitag, 14.6., 15.30 Uhr, OeNB, Generalratssitzungssaal, 5.
Stock
"Monetarists and Keynesians on Central Banking: A Case Study of A
Failed Debate"
Marvin Goodfriend, Federal Research Bank of Richmond
Montag, 17.6., 15.00 Uhr, SE-Raum 1, Hohenstaufengasse 9
"A Framework for the Analysis of Moderate Inflation"
Mittwoch,19.6., 15.00 Uhr, OeNB, Generalratssitzungssaal, 5.
Stock
"Foreign Exchange Operations and the Federal Reserve"
-------------------------------------------------------
Veronika Moser
Department of Economics
University of Vienna
Hohenstaufengasse 9
A-1010 Vienna, Austria
Phone: +43-1-40103-3367
Fax: +43-1-532 14 98
e-mail: veronika.moser(a)univie.ac.at
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VSX WORKSHOP
Einladung zum
Vortrag
von
Prof. S. Eduardo Schwartz,
UCLA
ueber
''Asset Allocation''
am Freitag, 21. Juni 1996, 15.30 Uhr
im Roten Saal der Wiener Boerse, 2. Stock,
Wipplingerstrasse 34, 1011 Wien.
Eduardo S. Schwartz is the California Professor of Real Estate and
Professor of Finance, Anderson Graduate School of Management at the
University of California, Los Angeles. His wide-ranging research has
focused on different dimensions in asset and securities pricing.
Topics in recent years range from interest rate volatility to asset
allocation issues to evaluating natural resource investments. His
collected works include more than seventy articles in finance and
economic journals, two monographs, and a large number of monograph
chapters, conference proceedings, and special reports. He is the
winner of a number of awards for both teaching excellence and for
the quality of his published work. He is associate editor for least
a dozen journals, including the Journal of Finance, the Journal of
Financial Economics and the Journal of Financial and Quantitative
Analysis. He is past president of the Western Finance Association
and is now president of the American Finance Association. He has
also been a consultant to governmental agencies, banks, investment
banks and industrial corporations.
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EINLADUNG
zum
Betriebswirtschaftlichen Forschungsseminar
des Instituts fuer Betriebswirtschaftslehre
der Universitaet Wien
Bruenner Strasse 72, 1210 Wien
Freitag, 14.06.1996; 15.30 Uhr; HS 8 des BWZ
DR. HERIBERT REISINGER (Universitaet Wien)
"DER EINFLUSS DES FORSCHUNGSDESIGNS AUF DIE HOEHE VON
BESTIMMTHEITSMASSEN IN LINEAREN REGRESSIONSMODELLEN"
Abstract:
The classical linear regression model is the standard procedure for
analyzing dependencies between variables that are measured on a
metric scale. In the course of model estimation it is common practice to
assess the appropriateness of a single descriptive model for the
problem under study with the help of coefficients of determination (R^2
and ADJ. R^2 ). When considering the advantages of calculating these
measures in empirical studies the question arises whether it makes
sense to evaluate a model by means of a single descriptive measure at
all. For example, from a statistical point of view the analyzed data set
is irrelevant when deciding on the appropriateness of the model under
consideration. However, a market researcher clearly distinguishes
whether he studies time series or cross sectional data. A well known
fact says that on the average one may expect larger coefficients of
determination for time series data than for cross sectional data.
Starting from this known phenomenon it is tried to identify various
impacts on R^2 and ADJ. R^2 that originate in the research designs of
empirical studies rather than in the research subjects within the
framework of a meta-analysis. One important result claims a strong
negative correlation between the sample size and the values of R^2
and ADJ. R^2 .
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