UNIverse - Public Research Portal
Profile Photo

Prof. Dr. Dietmar Maringer

Faculty of Business and Economics
Profiles & Affiliations

Publications

64 found
Show per page

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

URLs
URLs

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

URLs
URLs

Balaneji, Farshid, & Maringer, Dietmar. (2022, January 1). Applying Sentiment Analysis, Topic Modeling, and XGBoost to Classify Implied Volatility. https://doi.org/10.1109/CIFEr52523.2022.9776196

URLs
URLs

Lenhard, Gregor, & Maringer, Dietmar. (2022, January 1). State-ANFIS: A Generalized Regime-Switching Model for Financial Modeling. https://doi.org/10.1109/CIFEr52523.2022.9776208

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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.

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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.

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

Zhang, Jin, & Maringer, Dietmar. (2011). Selecting pair-copulas with downside risk minimisation. Journal of Financial Markets and Derivatives, 2(1-2), 121–148. https://doi.org/10.1504/ijfmd.2011.038532

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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.

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

Winker, P., & Maringer, D. (2006). Convergence of GARCH estimators: Theory and empirical evidence. 2006. https://doi.org/10.2991/jcis.2006.94

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs

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

URLs
URLs