List of publications

 

Journal Articles

1.      Coherent Risk Measurement: An Introduction, Balance Sheet 10(4), 2002, 13-17 Link

2.      Exploring the Limitations of Value at Risk: How Good is it in Practice?, Journal of Risk Finance 4(2), 2003, 19-28 Link

3.      Inventory Effects on Daily Returns in Financial Markets, International Journal of Theoretical and Applied Finance 6(7), 2003, pp. 739-765 Link

4.      Crashes in Bond Markets: The Importance of Hedging Mortgage-Backed Securities, Journal of Fixed Income 13(3), 2003, pp. 19-32 Link

5.      The independence of financial analysts: evaluation of an alternative proposal, Journal of Investment Compliance 4(3), 2003, pp. 52-57 Link

6.      Predicting Crashes in a Model of Evolving Networks, Complexity 9(4), 2004, pp. 24-30 Link

7.      Optimal Stock Allocation in Specialist Markets, Research in Economics  59(1), 2005, pp. 23-39 Link

8.   Fat Tails and Multi-Scaling in a Simple Model of Limit Order Markets, Physica A 368(1), 2006, pp. 183-190 Link

9.      Risk, Capital Requirements, and the Asset Structure of Companies, Managerial Finance, 32 (9), 2006, pp. 774-785 Link

10.  Learning and Herding using Case-Based Decision Theory, IEEE Transactions on Systems, Man, and Cybernetics, Part A 39(3), 2009, pp. 662-669

 

Book Chapters

1.      Herding Behavior of Financial Analysts: A Model of Self-Organized Criticality, in: M Galegatti, A Kirman and M Marsili (eds.): The Complex Dynamics of Economic Interaction: Essays in Economics and Econophysics, Springer Verlag, Berlin Heidelberg New York, 2004, pp. 257-267 Link

2.      Herding without Following the Herd: The Dynamics of Case-based Decisions with Local Interactions, in: A Namatame, T Kaizouji and Y Aruka (eds.): Economics and Heterogeneous Interacting Agents, Springer Verlag, Berlin Heidelberg New York, 2006, pp. 178-190 Link

3.      An Agent-Based Model of Interactions in the Payment Card Market. In: H. Yin et al (eds.): Intelligent Data Engineering and Automated Learning, Lecture Notes in Computer Science, Springer Verlag, Berlin Heidelberg New York, 2007, pp. 1063-1072 (with B Alexandrova-Kabadjova and E Tsang) Link

4.      Evolutionary learning of the optimal pricing strategy in an artificial payment card market, in: A Brabazon and M OíNeill (eds.): Natural Computing in Computational Economics and Finance, Studies in Computational Intelligence Springer Verlag, Berlin Heidelberg New York, 2008, pp. 233-252 (with B Alexandrova-Kabadjovaand E Tsang)

5.      Evaluating the performance of adapting trading strategies with different memory lengths, in: E Corchado and H Yin (eds.): Intelligent Data Engineering and Automated Learning 2009, Lecture Notes in Computer Science, Springer Verlag, Berlin Heidelberg New York, 2009, pp. 711-718

6.      A Comparison of Market Structures with Near-Zero-Intelligence Traders, in: E Corchado and H Yin (eds.): Intelligent Data Engineering and Automated Learning 2009, Lecture Notes in Computer Science, Springer Verlag, Berlin Heidelberg New York, 2009, pp. 703-710 (with X Li)

7.      Beyond VaR: Expected Shortfall and other Coherent Risk Measures, in Greg N. Gregoriou (ed.): Model Risk Evaluation, McGraw-Hill, 2010, forthcoming

 

Books

1.      Die Rolle der Industriepolitik in der wirtschaftlichen Entwicklung Japans [The role of industrial policy for the economic development of Japan, in German], Tectum Verlag, Marburg, 1997 [published Masterís thesis]

2.      Market Microstructure Theory and Strategic Behavior of Market Makers, Bath 2000 [PhD thesis]

 

Other

1.      Developments in Forecast Combination and Portfolio Choice (Book Review), International Journal of Forecasting 18(3), 2002, pp. 462-463

2.      Predicting Crashes in a Model of Self-Organized Criticality, in: A Namatame, D Green, Y Aruka and H Sato (eds.): Complex Systems 2002: Complexity with Agent-based Modeling, Proceedings of the 6th International Conference on Complex Systems, Chuo University, Tokyo 2002, pp. 278-283

3.      Risk, Capital Requirements, and the Asset Structure of Companies, in: Proceedings of Annual Meeting of American Academy of Accounting and Finance, 2003

4.      Generating networks with realistic properties: The topology of locally evolving random graphs, in: T. Kovacs and J. A. R. Marshall (eds): Adaptation in Artificial and Biological Systems, Vol. 3, Bristol 2006, pp. 145-149

 

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