Prof. Dr. Dietmar Maringer

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.), Intelligent Systems and Applications (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. 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. 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 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

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, & 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

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

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 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), 121–148. https://doi.org/10.1504/ijfmd.2011.038532

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

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

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

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

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

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

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

Winker, P., & Maringer, D. (2006). Convergence of GARCH estimators: Theory and empirical evidence. 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. 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. 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