Welcome to the COMISEF-Wiki

What is COMISEF?

From the project description: 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, please visit the COMISEF homepage.

External Articles

The COMISEF project ended in December 2010. The COMISEF homepage and this wiki will remain available (in particular, the working paper collection and the code examples); but the sites will only be irregularly maintained (at best).

In June 2011 Wikidot changed the way how mathematical expressions are rendered. As a result, a number of sites now display errors where they should (and did) display equations. We will try to correct these errors if possible; in any case, most sites have links to related working papers or articles.

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

For all archive news, Click Here>>.

February 2010

New Member Profiles:

Two new team member profiles have been added, both of the University of Giessen: Bjoern Fastrich,
who list his reserach interests as, Heuristics, Portfolio Optimization, Statistical Regularization Methods, and Robust Optimizatio; and Ivan Savin who list his research interests as Heuristic Optimization, Model Selection, Economic Integration and Trade Forecasting
and Economic Growth and Technological Change.

Articles

Jin Zhang, at Essex University, has written two articles - one on Index Mutual Fund Replication with Two Rebalance Strategies, and another on An EML Estimator for Multivariate t Copulas.

Enrico Schumann, at Université de Genève written an article on Calibrating Option Pricing Models with Heuristics.

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