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Monographs 1.
Andreas
Krause, Theoretical Foundations of Investment Banking, Springer Verlag, 2024 Journal articles
and book chapters 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 12.
Andreas
Krause, Fat Tails and Multi-Scaling in a Simple Model of Limit Order Markets,
Physica A 368(1), 2006, pp. 183-190 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 17.
Xinyang
Li and Andreas Krause, 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 5788,
Springer Verlag, 2009, pp. 703-710 18.
Andreas
Krause, 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 5788,
2009, pp. 711-718 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 39.
Andreas
Krause, Group lending as a mechanism for self-insuring default risk, Annals
of Finance, forthcoming, 2024 |