List of publications
1. Andreas Krause, Coherent Risk Measurement: An Introduction, Balance Sheet 10(4), 2002, pp. 13-17
2. Andreas Krause, Developments in Forecast Combination and Portfolio Choice, International Journal of Forecasting 18(3), 2002, pp. 462-463
3. Andreas Krause, Inventory Effects on Daily Returns in Financial Markets, International Journal of Theoretical and Applied Finance 6(7), 2003, pp. 739-765
4. Andreas Krause, Crashes in Bond Markets: The Importance of Hedging Mortgage-Backed Securities, Journal of Fixed Income 13(3), 2003, pp. 19-32
5. Andreas Krause, The independence of financial analysts: evaluation of an alternative proposal, Journal of Investment Compliance 4(3), 2003, pp. 52-57
6. Andreas Krause, Exploring the Limitations of Value at Risk: How Good is it in Practice?, Journal of Risk Finance 4(2), 2003, pp. 19-28
7. Andreas Krause, 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, Lecture Notes in Economics and Mathematical Systems 531, Springer Verlag, 2004, pp. 257-267
8. Andreas Krause, Predicting Crashes in a Model of Evolving Networks, Complexity 9(4), 2004, pp. 24-30
9. Andreas Krause, Optimal Stock Allocation in Specialist Markets, Research in Economics 59(1), 2005, pp. 23-39
10. Andreas Krause, 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, Lecture Notes in Economics and Mathematical Systems 567, Springer Verlag, 2006, pp. 178-190
11. Andreas Krause, Risk, Capital Requirements, and the Asset Structure of Companies, Managerial Finance, 32 (9), 2006, pp. 774-785
13. Andreas Krause, 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
14. Damien Challet and Andreas Krause, What questions to ask in order to validate an agent-based model, in: Report of the 56th European Study Group with Industry, Validation of Agent-Based Models, 2006, J1-J9
15. Biliana Alexandrova-Kabadjova, Andreas Krause and Edward Tsang, An Agent-Based Model of Interactions in the Payment Card Market, in: H Yin, P Tino, E Corchado W Byrne and X Yao (eds.): Intelligent Data Engineering and Automated Learning, Lecture Notes in Computer Science 4881, Springer Verlag, 2007, pp. 1063-1072
16. Biliana Alexandrova-Kabadjova, Edward Tsang and Andreas Krause, Evolutionary learning of the optimal pricing strategy in an artificial payment card market, in: A Brabazon and M ONeill (eds.): Natural Computing in Computational Economics and Finance, Studies in Computational Intelligence 100, Springer Verlag, 2008, pp. 233-252
19. Andreas Krause, Learning and Herding using Case-Based Decision Theory, IEEE Transactions on Systems, Man, and Cybernetics, Part A 39(3), 2009, pp. 662-669
20. Xinyang Li and Andreas Krause, An evolutionary multi-objective optimization of market structures using PBIL, in: C Fyfe, P Tino, D Charles, C Garcia-Osorio and H Yin (eds.): Intelligent Data Engineering and Automated Learning 2010, Lecture Notes in Computer Science 6283, Springer Verlag, 2010, pp. 77-84
21. Andreas Krause, Beyond VaR: Expected
Shortfall and other Coherent Risk Measures, in Greg N. Gregoriou (ed.): The Risk Modeling Evaluation Handbook,
McGraw-Hill, 2010, pp. 289-303
22. Xinyang Li and Andreas Krause, Determining the Optimal Market Structure Using Near-Zero Intelligence Traders, Journal of Economic Interaction and Coordination 5(2), 2010, pp. 155-167
23. Ahmad Ismail and Andreas Krause, Determinants of the method of payment in mergers and acquisitions, Quarterly Review of Economics and Finance 50(4), 2010, pp. 471-484
24. Xinyang Li and Andreas Krause, An evolutionary multi-objective optimization of trading rules in call markets, Intelligent Systems in Accounting, Finance and Management 18(1), 2011, pp. 1-14
25. Biliana Alexandrova-Kabadjova, Edward Tsang and Andreas Krause, Market Structure and Information in Payment Card Markets, International Journal of Automation and Computing 8(3), 2011, pp. 364-370
26. Biliana Alexandrova-Kabadjova, Edward Tsang and Andreas Krause, Competition is bad for consumers: Analysis of an Artificial Payment Card Market, Journal of Advanced Computational Intelligence and Intelligent Informatics 15(2), 2011, pp. 188-196
27. Biliana Alexandrova-Kabadjova, Edward Tsang and Andreas Krause, Profit-Maximizing Strategies for an Artificial Payment Card Market. Is learning possible?, Journal of Intelligent Learning Systems and Applications 3(2), 2011, pp. 70-81
28. Andreas Krause, Performance of evolving trading strategies with different discount factors, in: Alice E. Smith (ed.): Proceedings of the 2011 IEEE Congress on Evolutionary Computation, IEEE Computational Intelligence Society, New Orleans, 2011, pp. 186-191
29. Andreas Krause and Simone Giansante, Interbank lending and the spread of bank failures: A network model of systemic risk, Journal of Economic Behavior & Organization 83(3), 2012, pp. 583-608
30. Andreas Krause, Systemic Risk, in: H. Kent Baker and Greg Filbeck (eds.): Investment Risk Management, Oxford University Press, 2015, pp. 179-196
31. Chih-Chen Hsu & Andreas Krause, The Optimal Timing of Open Market Stock Repurchases, Emerging Markets Finance and Trade 52(4), 2016, pp. 776-785
32. Di Xiao and Andreas Krause, Equilibrium interbank lending networks, in: 2016 IEEE Congress on Evolutionary Computation (CEC), 2016, pp. 4543-4550
33. Andreas Krause & Simone Giansante, Network-Based computational techniques to determine the risk drivers of bank failures during a systemic banking crisis, IEEE Transactions on Emerging Topics in Computational Intelligence 2(3), 2018, pp. 174-184
34. Andreas Krause and Michael Fairbank, Baseline win rates for neural-network based trading algorithms, 2020 International Joint Conference on Neural Networks (IJCNN), 2020, pp. 1-6
35. Di Xiao and Andreas Krause, Bank Demand for Central Bank Liquidity and its impact on Interbank Markets, Journal of Economic Interaction and Coordination 17(3), 2022, pp. 639-679
36. Andreas Krause, The optimal exclusion length of borrowers after default. Economics Letters 220, 2022, 110881
37. Andreas Krause, Strategic default and optimal audit resources with costly state verification, Research in Economics 76, 2022, pp. 413-421
38. Di Xiao and Andreas Krause, Balancing liquidity and returns through interbank markets: Endogenous interest rates and network structures, Journal of Financial Research 46, 2023, pp. 131-149