Matthias J. Feiler

Welcome to my website...! You will find a list of recent publications and research questions. These questions come from the areas of applied finance, dynamical systems and control theory. I would like to share them with you. Enjoy!


I. Financial Market Dynamics: My interest is in building a mathematical model of some behavioral features of the price dynamics occurring far from equilibrium. The model treats trading as a form of social learning in which agents collectively search for the best performing asset. The decision to buy or sell is based on a) own research, b) imitation of others, and c) rejection of the majority. My latest paper proposes a way of linking linguistic, non-numeric information to prices.

II. Dynamic Asset Allocation: My interest is in creating models for identifying risk and return characteristics of financial assets in a time-varying environment. We use learning automata to predict the most likely transition in a Markov-chain model of the time-variation. Below is a recent paper presented by my colleague P. Kotyczka at the 2009 ECC in Budapest.

III. Constantly Rebalanced Portfolios: We are collecting empirical evidence for the applicability and characteristics of universal portfolios, developed by Th. Cover using an information theoretic approach. Check out a recent Semesterarbeit by Efe Aksüyek at ETH Zürich (> pdf) that I had the pleasure of supervising.

IV. Global analysis: Many concepts of linear control theory can be extended to the nonlinear domain provided one restricts oneself to a neighborhood of the equilibrium. But what happens beyond that neighborhood? The paper below addresses this question for the special case of a system defined on a compact boundaryless manifold.

Publications & Talks


In 2006 and 2007, I have been involved in the preparation (mainly of the accompanying exercise sessions) of two courses at ETH Zurich: Systems, Dynamics and Complexity (introductory course on systems theory with applications in the management sciences) and Complex Adaptive Systems (advanced-level course on nonlinear phenomena and self-organization).

From 2004-2005, I developed and taught a two-semester course on nonlinear systems theory at TU Munich: