Welcome to the COMISEF-Wiki

What is COMISEF? COMISEF is a Research and Training Network, co-ordinated by Peter Winker, University of Giessen. The scope of quantitative research in economics and finance broadens due to the increasing availability of data sets. In order to extract relevant information from these data new statistical procedures are developed often resulting in highly complex optimization problems. Novel optimization procedures are required to tackle these problems without imposing unrealistic assumptions. COMISEF will contribute to the development of these methods, their statistical analysis and their application to problems in statistics, econometrics and finance by concentrating on heuristic optimization methods. In this context, COMISEF will conduct individual and joint research and training activities exploiting the specific expertise of all partners. For more information on COMISEF, please visit www.comisef.eu; a recent nontechnical account of the research programme can be found here.

Objectives of the COMISEF Wiki Provide practical guidance into implementing solutions for optimisation problems (in particular heuristic methods) and related issues. To this end, we hope that we can create a quality, highly professional knowledge base that is actively used by a researchers and practitioners alike. Enable dynamic knowledge sharing amongst COMISEF members and provide an area for members to communicate the scope and nature of their research. Ensure the theorectical correctness of content by an editing and peer review process. A logical thematic structure to the way internal pages are linked together, so that a user can easily navigate between problem description, the theorectical ideas behind a problem, and specific problem resolution details.

COMISEF Wiki Feedback At present all content in the Wiki is generated by COMISEF members. However, we actively encourage those external to the project to contact us on any aspect of the Wiki. We are especially keen to learn if any ideas described in the Wiki have been used as a source of reference, or directly and successfully applied to a problem. All feedback is gratefully received. Please click ‘Contact’ on the Topics bar to the left of this page. Alternately, Click here>>. On this page there are instructions on how to contact us here at COMISEF.

COMISEF News December 2008 There are several items of content under review, which shall be added to the Wiki over the coming weeks - most likely in the New Year. This includes a piece by Senior COMISEF Research Fellow Dr. Victor Bystrov on Eigen Value and Singular Value Inequalities; and an introduction to optimising Matlab code with examples in Finance by Benoit Guilleminot. For all archive news, Click Here>>. November 2008 As promised last month, members are beginning to add content to the Wiki. Here is listed new content and significant changes to existing content. New Concepts: Enrico Schumann at Université de Genève added descriptions of two common trajectory methods in heuristics, Simulated Annealing and Tabu Search. New Articles: Marianna Lyra at Justus-Liebig University, Giessen, writes on Optimization Heuristics for Determining Internal Rating Grading Scales. Jin Zhang at CCFEA, Essex University, writes on Improving Portfolio Performance with Clustering. New Tutorials: Mattheos Protopapas at Università degli Studi di Roma “La Sapienza” writes a review on three applications for Dynamic online Collaboration. Alper Odabasioglu at the Swiss Banking Institute, University of Zürich, describes how to implement a useful Matlab interface to access real time and historic (open source) tick feeds, Accessing (Open)Tick-by-Tick Data Using Matlab. Updated Articles: Marianna Lyra adds a new section to Least Median of Squares Estimation by Optimization Heuristics with an Application to CAPM with details on an extension to the original experiment using the French/Fama Factor Model.