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Intelligent Systems in Finance

Contact: n.a.


Project Status: completed


It is the goal of this project to investigate complex problems in the area of finance, to study their structure with respect to parameterized complexity and to investigate possibilities to develop intelligent systems for their solution. Especially we study risk management (credit risk, market risk, value-at-risk, cash-flow-at risk, operational risk), support of the development of hedge fund strategies, artificial stock markets, automatic generation of trading strategies, software agents for information retrieval, and the structure of electronic markets (auctions and electricity market).

Involved Persons
Detlef Seese, Andreas Mitschele, Amir Safari, Jörn Janning, Thomas Stümpert, Christian Max Ullrich




DFGPartially supported by cirquent GmbHPartially supported by BMW AGPartially supported by GILLARDON AG financial software

Research Group

Complexity Management

Area of Research

Stockexchange Simulation, Agent Systems, Electronic Markets, Data Mining, Decision Support Systems, Portfolio Management, Risk Management, Stock Value Analysis, Extraction Of Financial Data From Www, Generation Of Trading Strategies, Computational Finance, Softcomputing, Fuzzy Logic, Genetic Algorithms, Machine Learning

Publications Belonging to the Project
 - book
 - booklet
 - proceedings
 - phdthesis
 - techreport
 - deliverable
 - manual
 - misc
 - unpublished


A. Mathias, F. Grond, R. Guardans, M. Canela, H.H. Diebner, Detlef Seese
Algorithms for spectral analysis of irregularly sampled time series
Journal for Statistical Software, Volume 11, (Issue 2), pages 1 - 26, 2004

Frank Schlottmann, Detlef Seese
A hybrid heuristic approach to discrete multi-objective optimization of credit portfolios
Computational Statistics Data Analysis, 47, pages 373 - 399, 2004

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Frank Schlottmann, Detlef Seese
Discovery of risk-return efficient structures in middle-market portfolios
In D. Baier, K. Wernecke, Innovations in Classification, Data Science, and Information Systems. Proc. 27th. Annual GfKI Conference, University of cottbus, March 12 - 14, 2003, pages: 506 - 514, Springer-Verlag, Heidelberg

Thomas Stümpert, Detlef Seese, Malte Sunderkötter
Time Series Properties from an Artificial Stock Market with a Walrasian Auctioneer
In Philippe Mathieu, Bruno Beaufils, Olivier Brandouy, Artificial Economics, Agent-Based Methods in Finance, Game Theory and Their Applications, pages: 3--14, Springer, Lecture Notes in Economics and Mathematical Systems, 564

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Detlef Seese, Christof Weinhardt, Frank Schlottmann
Handbook on Information Technology in Finance
Springer-Verlag, Berlin, Heidelberg, 2008

Detlef Seese, Christof Weinhardt, Frank Schlottmann
Handbook on Information Technology in Finance
Springer, August, 2008

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Frank Schlottmann, Detlef Seese
Financial applications of multi-objective evolutionary algorithms: recent development and future research directions
In C. Coello-Coello, G. Lamont, Applications of Multi-Objective Evolutionary Algorithms, pages 627 - 652, World Scientific Singapore, 2004

Frank Schlottmann, Detlef Seese
Finding constrained downside risk-return efficient credit portfolio structures using hybrid multi-objective evolutionary computation
In G. Bol; G. Nakhaeizadeh; S. Rachev; T. Ridder; K.-H. Vollmer, Credit risk: measurement, evaluation and management, pages 231-266, Physica, Heidelberg, 2003

Christian Max Ullrich, J. Henkel
Process-Oriented Systems in Corporate Treasuries: A Case Study from BMW Group
In D. Seese, Ch. Weinhardt, F. Schlottmann, Handbook on Information Technology in Finance, pages 95-122, Springer, Berlin, International Handbooks on Information Systems, August, 2008

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Thomas Stümpert, Detlef Seese, Malte Sunderkötter, Jörn Janning
Wealth Dynamics and Price Fluctuations under Taxation
10th Annual Workshop on Economic Heterogeneous Interacting Agents (WEHIA 2005), Juni, 2005

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