Ramazan Gençay, Option pricing with modular neural networks, In: 61st European Meeting of the Econometric Society. 2006. (Conference Presentation)
This paper applies a non-parametric modular neural network (MNN) model to price the S&P500 European call options. The modules are defined based on time to maturity and moneyness of the options. The option price function of interest is homogenous of degree one with respect to the underlying index price and the strike price. We find that modularity improves the generalization properties of standard feedforward neural network option pricing models (with and without the homogeneity hint), relative to the Black-Scholes model. This improvement is found to be an increasing function of the number of modules used in an MNN. |
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Martin Waldburger, Burkhard Stiller, Regulatory issues for mobile grid computing in the European Union, In: 17th European Regional ITS Conference, 2006-08-22. (Conference or Workshop Paper)
While regulatory issues on telecommunications and data handling have been established in a generic and service-neutral manner, typically independent of detailed technical applications or application domains, the uprise of new technology and new systems requires always a revisiting of those regulations. Thus, since the new trend of mobile grids — including an integrated traditional grid computing, knowledge handling, and multi-domain dynamics — has started most recently, a careful analysis of regulatory effects within the European Union (EU) is highly essential for potential new stakeholders. Therefore, this paper summarizes the most relevant regulatory aspects for mobile grid systems on a EU level, such as contractual agreements, security, and data protection. In this respect, the eCommunications framework serves as the starting point to assess relevance of existing EU regulations. In turn, mobile grid characteristics and respective roles are depicted. This is followed by presenting the eCommunications framework. Finally, those existing regulations are evaluated on how well they reflect relevant aspects of service provisioning in a mobile grid. |
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Enrico De Giorgi, János Mayer, Thorsten Hens, A Behavioral Foundation of Reward-Risk Portfolio Selection and the Asset Allocation Puzzle, In: European Finance Association 2006. 2006. (Conference Presentation)
In this paper we suggest a behavioral foundation for the reward-risk approach to portfolio selection based on prospect theory. We identify sufficient conditions for two-fund separation in reward-risk models in general, and for the behavioral reward-risk model in particular. It is shown that a prospect theory investor with piecewise-power function satisfies two-fund separation if the reference point is the risk-free rate, while two-fund separation fails if the reference point is higher than the risk-free rate. We derive a multiple-account version of the behavioral reward-risk model and we perform an empirical analysis on U.S. data to show that this model explains the asset allocation puzzle. |
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Helmut Max Dietl, Egon Franck, Das Dilemma der Stadionfinanzierung, In: Neue Zürcher Zeitung, p. 59, 18 August 2006. (Newspaper Article)
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Guido Palazzo, Andreas Scherer, Corporate Legitimacy as Deliberation: A Political Framework, In: Academy of Management Meeting 2006. 2006. (Conference Presentation)
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David Seidl, Paula Jarzabkowski, Meetings as Strategizing Episodes in the Social Practice of Strategy, In: Academy of Management (AoM) Annual Meeting. 2006. (Conference Presentation)
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David Seidl, R MacIntosh, D MacLean, Strategy workshops and strategic change: Toward a theory of endogenous strategic change, In: Academy of Management (AoM) Annual Meeting. 2006. (Conference Presentation)
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Jimmy Huang, Daniel Fasnacht, Ken Starkey, Sue Tempest, The Development of Architectural Ambidexterity: Information Technology in an Age of Hypercompetition, Academy of Management. Proceedings, Vol. 2006 (1), 2006. (Journal Article)
How does an organization, operating in what has been historically a relatively stable environment such as banking, use IT to transform itself as that environment changes to one of hypercompetition? We argue that a key contribution of IT in this context is its potential role in the development of architectural ambidexterity which we define as the capacity to manage complex and apparently conflicting task demands ' such as efficiency and innovation, commoditization and customization, control and entrepreneurship - through the dynamic reconfiguration of resources and capabilities. The concept of architectural ambidexterity is developed building upon organization design and dynamic capabilities literature. Architectural ambidexterity is a collective ability that enables an organization to integrate know-how and processes and systems to enact forms of connectivity that ensure endurance and accommodation to an unpredictable future by building an overarching basis for stability, requisite uniformity, facilitatory flexibility and anticipative connectivity. |
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Y Zhang, Renato Pajarola, GPU-Accelerated Transparent Point-Based Rendering, In: ACM SIGGRAPH, 2006-07-30. (Conference or Workshop Paper published in Proceedings)
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Y Zhang, Renato Pajarola, Single-pass point rendering and transparent shading, In: Eurographics/IEEE VGTC Symposium on Point-Based Graphics, 2006-07-29. (Conference or Workshop Paper published in Proceedings)
Hardware accelerated point-based rendering (PBR) algorithms have suffered in the past from multiple rendering
passes; possibly a performance limiting factor. Two passes over the point geometry have been necessary because
a first visibility-splatting pass has been necessary for conservative e-z-buffer visibility culling in the following
point-interpolation rendering pass. This separation into visibility-splatting and point-blending, hence processing
the point geometry twice, is a fundamental drawback of current GPU-based PBR algorithms. In this paper we introduce
a new framework for GPU accelerated PBR algorithm whose basic idea is deferred blending. In contrast to
prior algorithms, we formulate the smooth point interpolation problem as an image compositing post-processing
task. This is achieved by separating the input point data in a pre-process into not self-overlapping minimal independent
groups of points. As an extension of this concept, we can for the first time render transparent point
surfaces as well on the GPU. For simple transparency effects, our novel algorithm only needs a single geometry
rendering pass. For high-quality transparent image synthesis an extra rendering pass is sufficient. Furthermore,
per-fragment reflective and refractive multilayer effects are supported in our algorithm. |
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Helmut Max Dietl, Egon Franck, Der «muscle drain» im Fussball, In: Neue Zürcher Zeitung, 167, p. 51, 21 July 2006. (Newspaper Article)
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T Kuhn, L Royer, N E Fuchs, M Schroeder, Improving text mining with controlled natural language: a case study for protein interactions, In: 3rd International Workshop on Data Integration in the Life Sciences (DILS 2006), Springer, Berlin, 2006-07-20. (Conference or Workshop Paper published in Proceedings)
Linking the biomedical literature to other data resources is notoriously difficult and requires text mining. Text mining aims to automatically extract facts from literature. Since authors write in natural language, text mining is a great natural language processing challenge, which is far from being solved. We propose an alternative: If authors and editors summarize the main facts in a controlled natural language, text mining will become easier and more powerful. To demonstrate this approach, we use the language Attempto Controlled English (ACE). We define a simple model to capture the main aspects of protein interactions. To evaluate our approach, we collected a dataset of 459 paragraph headings about protein interaction from literature. 56% of these headings can be represented exactly in ACE and another 23% partially. These results indicate that our approach is feasible. |
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Ramazan Gençay, Faruk Selçuk, Intraday dynamics of stock market returns and volatility, Physica A: Statistical Mechanics and its Applications, Vol. 367, 2006. (Journal Article)
This paper provides new empirical evidence for intraday scaling behavior of stock market returns utilizing a 5 min stock market index (the Dow Jones Industrial Average) from the New York Stock Exchange. It is shown that the return series has a multifractal nature during the day. In addition, we show that after a financial “earthquake”, aftershocks in the market follow a power law, analogous to Omori's law. Our findings indicate that the moments of the return distribution scale nonlinearly across time scales and accordingly, volatility scaling is nonlinear under such a data generating mechanism. |
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Lorenz Hilty, Patrick Wäger, Peter Arnfalk, Lorenz Erdmann, James Goodman, Experience with a System Dynamics model in a prospective study on the future impact of ICT on environmental sustainability, In: Proceedings of the iEMSs Third Biennial Meeting, Summit on Environmental Modelling and Software, International Environmental Modelling and Software Society, Burlington, USA, 2006. (Conference or Workshop Paper published in Proceedings)
To assess the potential impact of ICT on environmental sustainability in the European Union within a time horizon until 2020, we developed a System Dynamics model. In our contribution we make a critical, retrospective evaluation of the model with regard to the requirements and expectations of the project commissioners and of experts involved in the modeling and simulation process. The issues addressed are problem adequacy, validity, transparency, communicability and receptivity of the model. We conclude that modeling approaches that better support a modular model design than System Dynamics does would lead to better results regarding these requirements, and that a modeling language based on a more domain-specific ontology than System Dynamics would be needed to create models that are communicable and have an adequate epistemic connectivity to the scientific and political discourse. |
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Andreas Scherer, Guido Palazzo, Towards a New Political Role of Business in a Globalized World – A Review and Research Agenda, In: 22nd EGOS Colloquium 2006. 2006. (Conference Presentation)
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Andrea Schenker-Wicki, Do controls improve performance?, In: Workshop of the Committee on Budgetary Control of the EU parliament, Brussels, 2006-07-01. (Conference or Workshop Paper)
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Egon Franck, A K Jacobsson, T Pudack, Unternehmensberatungen als Filter im Arbeitsmarkt, Betriebswirtschaftliche Forschung und Praxis (BFuP), Vol. 58 (3), 2006. (Journal Article)
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Gerhard Schwabe, Dirk Frohberg, Facilitating mobile groups - experiences and requirements, In: Conference Proceedings Group Decision and Negotiation 2006, Universitätsverlag Karlsruhe, 2006-06-25. (Conference or Workshop Paper published in Proceedings)
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Helmut Max Dietl, Egon Franck, Die Unvollkommenheit von Regeln, In: Neue Zürcher Zeitung, p. 59, 23 June 2006. (Newspaper Article)
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Dennis Schoeneborn, Steffen Blaschke, The organization that never sleeps. A metaphorical pathology of organizational insomnia, In: International Communication Association (ICA) Annual Conference. 2006. (Conference Presentation)
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