Spezialforschungsbereich

Adaptive Information Systems and Modelling in Economics and Management Science

Artificial Financial Markets and Investment Decisions

Working Papers

• Robert Heinkel, Alan Kraus, Josef Zechner, The Effect of Green Investment of Corporate Behavior, WP #8, May 1998.
• Neal M. Stoughton, Kit Pong Wong, Josef Zechner, IPOs and Product Quality, WP #9, May 1998.
• Vojislav Maksimovic, Alex Stomper, Josef Zechner, Capital Structure, Information Acquisition and Investment Decisions in Industry Equilibrium, WP #10, May 1998.
• Christian Schittenkopf, Georg Dorffner, Engelbert J. Dockner, Identifying Stochastic Processes with Mixture Density Networks, WP #11, May 1998 (jointly with Ini 1).
• Peter Tino, Christian Schittenkopf, Georg Dorffner, Engelbert J. Dockner, A Symbolic Dynamics Approach to Volatility Prediction, WP #18, September 1998 (jointly with Ini 1).
• Leopold Sögner, Johann Mitlöhner, Consistent Expectations Equilibria and Learning in a Stock Market, WP #30, March 1999.
• Jesus Crespo-Cuaresma, Gerhard Sorger, a-Consistent Expectations Equilibria, WP #33, May 1999.
• Engelbert Dockner, Peter Harold, Die Bedeutung von Volatilitätsprognosen, Verteilungsschätzungen und Portfoliobewertung im Rahmen von Value at Risk-Modellen, WP #34, May 1999.
• Suresh P. Sethi, Gerhard Sorger, Xun Yu Zhou, Stability of Real-Time Lot-Scheduling and Machine Replacement Policies with Quality Levels, WP #36, May 1999.
• Thomas Dangl, Engelbert Dockner, Andrea Gaunersdorfer, Alexander Pfister, Leopold Sögner, Günter Strobl, Adaptive Erwartungsbildung und Finanzmarktdynamik, WP #39, May 1999.
• Dockner E.J, Strobl G., Volatility Forecasts and the Enhancement of Risk/Return Profiles through Automated Trading Strategies, WP #44, September 1999.
• Häfke Christian, Leopold Sögner, Asset Pricing under Asymmetric Information, WP #54, August 1999.
• K. Pötzelberger, L. Sögner, Sample Autocorrelation Learning in a Capital Market Model, WP #57, October 1999 (jointly with Ini 2).
• L. Sögner, Okun's Law: Does the Austrian Unemployment -- GDP relationship exhibit Structural Breaks?, WP #61, January 2000.
• A. Gaunersdorfer, C.H. Hommes, A Nonlinear Structural Model for Volatility Clustering, Working Paper #63, revised: August 2000.
• K. Pötzelberger, L. Sögner, Stochastic Equilibrium: Learning by Exponential Smoothing, Working Paper #67, May 2000 (jointly with Ini 2).
• L. Sögner, Selection of the Number of States by Birth-Death Processes, Working Paper #69, May 2000
• A. Gaunersdorfer, C.H. Hommes, F.O.O. Wagener, Bifurcation Routes to Volatility Clustering, Working Paper #73, September 2000
• A. Gaunersdorfer, Adaptive Beliefs an the Volatility of Asset Prices, Working Paper #74, September 2000

Report Series

• Neal M. Stoughton, Josef Zechner, IPO-Mechanisms, Monitoring and Ownership Strucutre, Report #14, May 1998.
• Christian Schittenkopf, Georg Dorffner, Engelbert J. Dockner, Volatility Prediction with Mixture Density Networks, Report #15, May 1998 (jointly with Ini 1).
• Andrea Gaunersdorfer, Endogenous Fluctuations in a Simple Asset Pricing Model with Heterogenous Agents, Report #22, October 1998.
• Thomas Dangl, Investment and capacity choice under uncertain demand, Report #32, April 1999.
• Franz Wirl, Thomas Dangl, Was Dixit und Pindyck bei der Analyse von Managementproblemen unter Unsicherheit verschweigen an Hand des Beispiels der optimalen Wartung und Ausmusterung einer Maschine, Report #34, July 1999.
• Christian Schittenkopf, Georg Dorffner, Engelbert J. Dockner, Forecasting Time-dependent Conditional Densities: A Neural Network Approach, Report #36, September 1999 (jointly with Ini 1).
• Artur Baldauf, Engelbert J. Dockner, Heribert Reisinger, The Effects of Long-term Debt on a Firm's New Product Pricing Ploicy in Duopolistic Markets, Report #37, September 1999.
• Schittenkopf, Dorffner, Dockner, Non-linear versus non-gaussian volatility models, Report #39, September 1999 (jointly with Ini 1).
• Schittenkopf, Dorffner, Dockner, On non-linear, stochastic dynamics in economic and financial time series, Report #40, September 1999 (jointly with Ini 1).
• Alfred Lehar, Martin Scheicher, Christian Schittenkopf, GARCH vs Stochastic Volatility: Option Pricing and Risk Management, Report #52, March 2001 (jointly with Ini 1).