COMISEF News Archive

2009

December 2009

Articles

Raquel Fonseca, at Imperial College, London, has written an article on Robust Optimization of a Currency Portfolio, which describes the application of robust optimization techniques to maximize the return on the portfolio for the worst-case foreign exchange rate scenario.

November 2009

New Tip

Katja Specht, formerly at University of Giessen, provides an implementation on How to pass functions in MATLAB function fminsearch with an example on minimising a sum of squares.

August 2009

Articles

Chris Sharpe at University of Giessen has written a piece on Optimised U-Type Designs on Flexible Regions. This is in the field of Experimental Design and applies a new discrepancy measure for differently shaped regions, and implements Threshold Accepting to optimise several design configurations.

New Tutorials

Enrico Schumann at Université de Genève written a detailed tutorial on Robust regression with Particle Swarm Optimisation in R with the two examples with code for robust regression, namely LTS and LMS. Included are steps to test that any implementation works correctly.

New Tip

Enrico Schumann has added a code for implementing Vectorised computation of sums of squares in R and Matlab.

July 2009

General Wiki Updates:

We are now replacing the Tab View at the bottom of content pages with a simple table for reference information. This enables all the information to be shown when printed out.

New Member Profiles:

The COMISEF member profiles are now complete with the inclusion of Mateusz Gątkowski at CCFEA, University of Essex, UK. He is involved in the field of Agent-Based Modelling applied to Economics and Finance and his main research work is in Contagion in Finance, and Complex Adaptive Systems.

Also added this month is the profile of COMISEF fellow Dmitri Blueschke, a researcher based at Klagenfurt University, Austria. The focus of his work is in dynamic game theory; more specifically dynamic tracking games, its theory, and application to real economic models.

New Tutorials

Enrico Schumann at Université de Genève added two tutorials related to portfolio optimisation, providing implementation solutions in 'R': one is for Tangency Portfolio computation (ie, maximising the Sharpe ratio); and the other demonstrates how to compute the Global Minimum-Variance Portfolio.

New Tips

Chris Sharpe at University of Giessen provides example Matlab code to render a 3D objective function as a nice, clear monochrome graph.

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:

New Articles:

New Tutorials:

Updated Articles:

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.

Unless otherwise stated, the content of this page is licensed under Creative Commons Attribution-ShareAlike 3.0 License