Prof. Dr. Dietmar Maringer

Maringer, Dietmar, & Stähli, Philipp. (2025). Start-to-Low Drawdown as a Risk Measure and its Application to Portfolio Optimization for Levered Investors under Solvency Regimes. In WWZ Workingpapers, Faculty of Business and Economics (ed.), WWZ Working Paper (Vol. 2025). WWZ.

Balaneji, Farshid, Maringer, Dietmar, & Spasić, ‪Irena. (2024). The Power of Words: Predicting Stock Market Returns with Fine-Grained Sentiment Analysis and XGBoost. In Kohei Arai (Ed.), & Kohei Arai (Trans.), Lecture Notes in Networks and Systems (Vol. 822, pp. 577–596). Springer Science and Business Media Deutschland GmbH. https://doi.org/10.1007/978-3-031-47721-8_39

Sulas, A., Maringer, D., & Paterlini, S. (2024). Systemic Risk from Overlapping Portfolios: A Multi-Objective Optimization Framework [Posted-content]. Elsevier BV. https://doi.org/10.2139/ssrn.4837176

Balaneji, Farshid, & Maringer, Dietmar. (2022, January 1). Applying Sentiment Analysis, Topic Modeling, and XGBoost to Classify Implied Volatility. 2022 IEEE Symposium on Computational Intelligence for Financial Engineering and Economics, CIFEr 2022 - Proceedings. https://doi.org/10.1109/CIFEr52523.2022.9776196

Lenhard, Gregor, & Maringer, Dietmar. (2022, January 1). State-ANFIS: A Generalized Regime-Switching Model for Financial Modeling. 2022 IEEE Symposium on Computational Intelligence for Financial Engineering and Economics, CIFEr 2022 - Proceedings. https://doi.org/10.1109/CIFEr52523.2022.9776208

Maringer, D., Craig, B., & Paterlini, S. (2022). Constructing banking networks under decreasing costs of link formation. Computational Management Science, 19(1), 41–64. https://doi.org/10.1007/s10287-021-00393-w

Ates, Caner, & Maringer, Dietmar. (2021). A Parsimonious Macroeconomic ABM for Labor Market Regulations. In LEM Working Papers. Laboratory of Economics and Management, Pisa. http://www.lem.sssup.it/WPLem/2021-46.html

Aussenegg, Wolfgang, Chen, Louisa, Jelic, Ranko, & Maringer, Dietmar. (2019). Time Varying Factors in the Performance of Corporate Bond Indices. SSRN. https://doi.org/10.2139/ssrn.3303160

Gilli, Manfred, Maringer, Dietmar, & Schumann, Enrico. (2019). Numerical Methods and Optimization in Finance (2nd (revised and extended)). Academic Press, Elsevier. https://doi.org/10.1016/c2017-0-01621-x

Maringer, Dietmar, Craig, Ben R., & Paterlini, Sandra. (2019). Recreating Banking Networks under Decreasing Fixed Costs. In RDB of Cleveland Working Paper (Vol. 19). Federal Reserve Bank of Cleveland. https://doi.org/10.2139/ssrn.3485745

Deininger, Sebastian, & Maringer, Dietmar. (2017). Channels of Sovereign Risk Spillovers and Investment in the Manufacturing Sector. In WWZ Workingpapers Faculty of Business and Economics (ed.), WWZ Working Papers (Vol. 2017). WWZ, University of Basel.

Maringer, Dietmar, & Deininger, Sebastian H. M. (2016). Selecting and estimating interest rate models with evolutionary methods. Evolutionary Intelligence, 9(4), 137–151. https://doi.org/10.1007/s12065-016-0145-2

Oesch, Christian, & Maringer, Dietmar. (2016). Low-latency liquidity inefficiency strategies. Quantitative Finance, 17(5), 717–727. https://doi.org/10.1080/14697688.2016.1242765

Maringer, Dietmar, & Kriete-Dodds, Susan. (2015). Overconfidence in the Credit Card Market. In Diehl, Marting; Alexandrova-Kabadjova, Biliana; Heuver, Richard; Martínez-Jaramillo, Serafín (Ed.), Analyzing the Economics of Financial Market Infrastructures (pp. 150–168). IGI Global.

Oesch, Christian, & Maringer, Dietmar. (2015). A Neutral Mutation Operator in Grammatical Evolution. In Angelov, P.; Atanassov, K. T.; Doukovska, L.; Hadjiski, M.; Jotsov, V.; Kacprzyk, J.; Kasabov, N.; Sotirov, S.; Szmidt, E.; Zadrożny, S. (Ed.), Intelligent System′2014 (Vol. 322, pp. 439–449). Springer International Publishing. https://doi.org/10.1007/978-3-319-11313-5_39

James, Jessica, Maringer, Dietmar, Palade, Vasile, & Serguieva, Antoaneta. (2015). Special Issue of Quantitative Finance on “Financial Data Analytics” [Review of Special Issue of Quantitative Finance on “Financial Data Analytics”]. Quantitative Finance, 15, Article 10. https://doi.org/10.1080/14697688.2015.1075707

Lengwiler, Yvan, & Maringer, Dietmar. (2015). Regulation and contagion of banks. Journal of Banking Regulation, 16(1), 64–71. https://doi.org/10.1057/jbr.2013.20

Maringer, Dietmar, Pohl, Walter, & Vanini, Paolo. (2015). Structured products: performance, costs, and investments. In White Paper. Swiss Finance Institute. https://doi.org/10.2139/ssrn.2620300

Zhang, Jin, & Maringer, Dietmar. (2015). Using a Genetic Algorithm to Improve Recurrent Reinforcement Learning for Equity Trading. Computational Economics, 47(4), 551–567. https://doi.org/10.1007/s10614-015-9490-y

Maringer, Dietmar, & Deininger, Sebastian. (2014, January 1). Estimating time series models with heuristic methods: the case of economic parity conditions. http://web.tecnico.ulisboa.pt/mcasquilho/ist/public/2014compstatBook-of-Abstracts.pdf

Maringer, Dietmar, & Zhang, Jin. (2014, January 1). Transition Variable Selection for Regime Switching Recurrent Reinforcement Learning. IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr). https://doi.org/10.1109/cifer.2014.6924102

Zhang, Jin, & Maringer, Dietmar. (2014, January 1). Two Parameter Update Schemes for Recurrent Reinforcement Learning. IEEE Congress on Evolutionary Computation (CEC). https://doi.org/10.1109/cec.2014.6900330

Oesch, Christian, & Maringer, Dietmar. (2013, January 1). Portfolio optimization under market impact costs. https://doi.org/10.1109/cec.2013.6557546

Zhang, Jin, & Maringer, Dietmar. (2013, January 1). Indicator selection for daily equity trading with recurrent reinforcement learning. https://doi.org/10.1145/2464576.2480773

Brabazon, Anthony, O’Neill, Michael, & Maringer, Dietmar. (2012). Natural Computing in Computational Finance (Vol. 1 (2008) ; Vol. 2 (2009) ; Vol. 3 (2010) ; Vol. 4 (2012)). In Studies in Computational Intelligence: Vol. Vol. 100 ; Vol. 185 ; Vol. 293 ; Vol. 380. Springer. https://doi.org/10.1007/978-3-540-77477-8

Kriete-Dodds, Susan, & Maringer, Dietmar. (2012, January 1). Subscription markets: an agent-based approach.

Maringer, Dietmar, Paterlini, Sandra, & Winker, Peter. (2012). Editorial: The 3rd Special Issue on Optimization Heuristics in Estimation [Review of Editorial: The 3rd Special Issue on Optimization Heuristics in Estimation]. Computational Statistics & Data Analysis, 56, Article 10. https://doi.org/10.1016/j.csda.2012.05.006

Maringer, Dietmar, & Ramtohul, Tikesh. (2012). Regime-switching recurrent reinforcement learning for investment decision making. Computational Management Science, 9(1), 89–107. https://doi.org/10.1007/s10287-011-0131-1

Maringer, Dietmar, & Ramtohul, Tikesh. (2011). Regime-switching recurrent reinforcement learning in automated trading. In Brabazon, Anthony; O’Neill, Michael; Maringer, Dietmar (Ed.), Natural Computing in Computational Finance (Vol. 4, pp. 93–121). Springer-Verlag. https://doi.org/10.1007/978-3-642-23336-4_6

Zhang, J., & Maringer, D. (2011). Distributing weights under hierarchical clustering: A way in reducing performance breakdown. Expert Systems with Applications, 38(12), 14952–14959. https://doi.org/10.1016/j.eswa.2011.05.052

Chen, XiaoHua, & Maringer, Dietmar. (2011). Detecting time-variation in corporate bond index returns. Journal of Banking and Finance, 35(1), 95–103. https://doi.org/10.1016/j.jbankfin.2010.07.023

Gilli, Manfred, Maringer, Dietmar, & Schumann, Enrico. (2011). Numerical Methods and Optimization in Finance. Elsevier.

Lengwiler, Yvan, & Maringer, Dietmar. (2011). Autonomously Interacting Banks. In WWZ Workingpapers Faculty of Business and Economics (ed.), WWZ Discussion Papers (Vol. 2011). WWZ. http://wwz.unibas.ch/uploads/tx_x4epublication/Interacting-Banks_01.pdf

Maringer, Dietmar, & Ramtohul, Tikesh. (2011, January 1). GP-based rebalancing triggers for the CPPI. Symposium Series on Computational Intelligence. https://doi.org/10.1109/cifer.2011.5953561

Zhang, Jin, & Maringer, Dietmar. (2011). Selecting pair-copulas with downside risk minimisation. Journal of Financial Markets and Derivatives, 2(1-2), 48–121. https://doi.org/10.1504/ijfmd.2011.038532

Maringer, Dietmar, & Zhang, Jin. (2010). A clustering application in portfolio management. In Ao, S.-I.; Geman, L. (Ed.), Electronic engineering and computing technology (p. S. 309–321). Springer. https://doi.org/10.1007/978-90-481-8776-8_27

Saks, Philip, & Maringer, Dietmar. (2010). Evolutionary money management. In Natural Computing in Computational Finance (Vol. 3, pp. 169–190). Springer. https://doi.org/10.1007/978-3-642-13950-5_10

Zhang, Jin, & Maringer, Dietmar. (2010). Index Mutual Fund Replication. In Natural Computing in Computational Finance (Vol. 3, pp. 109–130). Springer. https://doi.org/10.1007/978-3-642-13950-5_7

Maringer, Dietmar, & Ramtohul, Tikesh. (2010). Threshold recurrent reinforcement learning model for automated trading. In DiChio, C; Brabazon, A; DiCaro, GA; Ebner, M; Farooq, M; Fink, A; Grahl, J; Greenfield, G; Machado, P; ONeill, M; Tarantino, E; Urquhart, N (Ed.), Lecture Notes in Computer Science (Vol. 6025). Springer. https://doi.org/10.1007/978-3-642-12242-2_22

Zhang, Qingfu, Li, Hui, Maringer, Dietmar, & Tsang, Edward. (2010). MOEA/D with NBI-like Tchebycheff approach for Portfolio Management (IEEE, Ed.). IEEE. https://doi.org/10.1109/cec.2010.5586185

di Tollo, Giacomo, & Maringer, Dietmar. (2009). Metaheuristics for index tracking. In Geiger, MJ; Habenicht, W; Sevaux, M; Sorensen, K (Ed.), Metaheuristics in the service industry (p. S. 127–154). Springer. https://doi.org/10.1007/978-3-642-00939-6

Maringer, Dietmar. (2009). Constrained index tracking under loss aversion using differential evolution. In Natural Computing in Computational Finance: Vol. Vol. 1 (p. S. 7–24). Springer.

Saks, Philip, & Maringer, Dietmar. (2009). Statistical Arbitrage with Genetic Programming. In Natural Computing in Computational Finance: Vol. Vol. 2 (p. S. 9–29). Springer. https://doi.org/10.1007/978-3-540-95974-8_2

di Tollo, G., & Maringer, D. (2009). Metaheuristics for the Index Tracking Problem. Lecture Notes in Economics and Mathematical Systems, 624, 127–154. https://doi.org/10.1007/978-3-642-00939-6_8

Maringer, Dietmar. (2009, January 1). Kontroverse um das Datamining. ICT in Finance, 40–42.

Maringer, Dietmar, & Parpas, Panos. (2009). Global optimization of higher moments in portfolio selection. Journal for Global Optimization, 43(2-3), 219–230. https://doi.org/10.1007/s10898-007-9224-3

Saks, Philip, & Maringer, Dietmar. (2009). Evolutionary Money Management. In Giacobini, M. et al. (Ed.), Lecture Notes in Computer Science. Springer. https://doi.org/10.1007/978-3-642-01129-0_20

Winker, Peter, & Maringer, Dietmar. (2009). The convergence of estimators based on heuristics : theory and application to a GARCH model. Computational Statistics, 24(3), 533–550. https://doi.org/10.1007/s00180-008-0145-5

Zhang, Jin, & Maringer, Dietmar. (2009). Improving Sharpe Ratios and Stability of Portfolios by Using a Clustering Technique: Vol. Vol. 1 (World Congress on Engineering, Ed.). IAENG. http://www.iaeng.org/publication/WCE2009/WCE2009_pp1-6.pdf

Gilli, Manfred, Maringer, Dietmar, & Winker, Peter. (2008). Applications of Heuristics in Finance. In Handbook on information technology in finance (p. S. 635–654). Springer. https://doi.org/10.1007/978-3-540-49487-4

Maringer, Dietmar. (2008). Risk preferences and loss aversion in portfolio optimization. In Computational Methods in Financial Engineering (p. S. 27–46). Springer. https://doi.org/10.1007/978-3-540-77958-2

Maringer, D. (2008). Constrained index tracking under loss aversion using differential evolution. Studies in Computational Intelligence, 100, 7–24. https://doi.org/10.1007/978-3-540-77477-8_2

Maringer, D. G., & Meyer, M. (2008). Smooth transition autoregressive models - New approaches to the model selection problem. Studies in Nonlinear Dynamics and Econometrics, 12(1). https://doi.org/10.2202/1558-3708.1469

Khuman, Anil, Maringer, Dietmar, & Constantinou, Nick. (2008). Constant Proportion Portfolio Insurance (CPPI) : Statistical Properties and Practical Implications. [University of Essex]. http://www.essex.ac.uk/ccfea/research/WorkingPapers/2008/23-08_KhumanMaringerConstantinou_CPPI.pdf

Maringer, Dietmar. (2008). Heuristic optimization for portfolio management. IEEE Computational Intelligence Magazine, 3(4), 31–34. https://doi.org/10.1109/mci.2008.929847

Saks, Philip, & Maringer, Dietmar. (2008). Genetic Programming in Statistical Arbitrage. In Giacobini, M et al. (Ed.), Lecture Notes in Computer Science (Vol. 4974). Springer. https://doi.org/10.1007/978-3-540-78761-7_8

Winker, P., & Maringer, D. (2006). Convergence of GARCH estimators: Theory and empirical evidence. Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006, 2006. https://doi.org/10.2991/jcis.2006.94

Fang, K.-T., Maringer, D., Tang, Y., & Winker, P. (2006). Lower bounds and stochastic optimization algorithms for uniform designs with three or four levels. Mathematics of Computation, 75(254), 859–878. https://doi.org/10.1090/s0025-5718-05-01806-5

Maringer, D. G. (2005). Distribution assumptions and risk constraints in portfolio optimization. Computational Management Science, 2(2), 139–153. https://doi.org/10.1007/s10287-004-0031-8

Maringer, Dietmar. (2005). Portfolio Management With Heuristic Optimization. In Advances in Computational Management Science (Vol. 8). Springer. https://doi.org/10.1007/b136219

Winker, P., & Maringer, D. (2005). Optimal lag structure selection in VEC-models. IFAC Proceedings Volumes (IFAC-PapersOnline), 16, 89–94. https://doi.org/10.3182/20050703-6-cz-1902.02250

Winker, P., & Maringer, D. (2005). The hidden risks of optimizing bond portfolios under var. IFAC Proceedings Volumes (IFAC-PapersOnline), 16, 6–11. https://doi.org/10.3182/20050703-6-cz-1902.02237

Maringer, D. G. (2004). Finding the relevant risk factors for asset pricing. Computational Statistics and Data Analysis, 47(2 SPEC. ISS.), 339–352. https://doi.org/10.1016/j.csda.2003.11.007

Maringer, D., & Kellerer, H. (2003). Optimization of cardinality constrained portfolios with a hybrid local search algorithm. OR Spectrum, 25(4), 481–495. https://doi.org/10.1007/s00291-003-0139-1

Fischer, E. O., Keber, C., & Maringer, D. G. (2000). The valuation of credit guarantees by compound options Die Bewertung von Kreditgarantien mittels Hyperoptionen. OR Spektrum, 22(4), 461–489. https://doi.org/10.1007/s002910000037