COMISEF News Archive

2009 April 2009 New Concepts: Raquel Fonseca at Imperial College, London, builds on earlier work on Currency Derivatives, and adds a further concept describing Currency Options. March 2009 General Wiki Updates: The Tab View that contains all the information on Internal and External Links will be changed for templates and existing content. It shall be removed and the information incorporated into the content page - although the Tab View is tidier, it was thought was that important information was somewhat buried within the tabs. New Member Profiles: Fuyu Yang at Humboldt University, Berlin, has added her profile to the Wiki. She works at the Institute for Statistics and Econometrics and is involved in research for 'nowcasting' and forecasting of macro variables and evaluating the forecasting capacities of statistical models. New Tutorials: Now included is a Tutorial on Using C/C++ under Matlab (Part 1) (of 5) , which looks at optimising Matlab code with an example in Finance. It is authored by Benoit Guilleminot, who is a researcher at Birbeck College, London. This introductory piece highlights the reasons why and when it is appropriate to do this. February 2009 General Wiki Updates: Wiki Authors: please have a quick read through the general guidelines for adding a new reference to the Library page. There is now additional information on how to link references made in the library to source material. Wiki Reviewers: as some of you have been requested to review content, please refer to the Etiquette Guide for reviewing and editing other people's work, and Peer Review Process for an overview on the stages of peer review. New Member Profiles: We welcome Ali Rais Shaghaghi who is at CCFEA, University of Essex, UK, and has recently added his profile to the Wiki. He lists his research interests as Agent Based Modelling, Complex Adaptive Systems, and Risk Management. New Articles: Viktoria Blüschke-Nikolaeva at Klagenfurt University, Austria, reports current research into deriving an algorithm to obtain an approximate solution in control optimum problems in OPTCON5: An algorithm for the optimal control of nonlinear stochastic models. This research is relevant and has a practical application in many areas - economics and engineering, for example - , wherever we want to attain the optimal control of a dynamic system. New Concepts: Raquel Fonseca at Imperial College, London, has written a high level overview of Currency Derivatives, and describes related concepts in two further items: Currency Futures, and Forward Contracts. Enrico Schumann at Université de Genève added algorithm descriptions for two population-based heuristic techniques, Differential Evolution and Particle Swarm. Mattheos Protopapas at Università degli Studi di Roma “La Sapienza” also added an algorithm description for Genetic Algorithms. January 2009 New Concepts: Victor Bystrov at Lodz University, Poland, has added a short report on Eigenvalue and Singular Value Inequalities.

2008 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. 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. October 2008 The COMISEF Wiki is now officially open. Over the next few weeks the Wiki shall ‘fatten up’ as members begin to add content – more specifically, they shall provide an overview of the research work they are undertaking at their respective institutions. September 2008 The official COMISEF Wiki shall be ‘Go Live’ in mid October to coincide with the Convergence Analysis Tutorial, organised by Justus Liebig University, Giessen, Germany. This News area shall list new content added to the Wiki over the previous month and communicate any other research activities carried out by the wider community involved in the COMISEF project. An archive News page shall be added in due course and linked from this page.