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!
Financial Market Dynamics:
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.
Dynamic Asset Allocation:
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.
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 (>
that I had the pleasure of supervising.
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.
A model of the financial news flow,
Proc. of the 15th Yale Workshop on Adaptive and Learning Systems, Yale
Univ., June 2011. >
Stability of financial networks,
Guest Lecture at the University of Zurich, May 2010. > pdf
search in an uncertain environment, Proc.
of the 1st IFAC Workshop on Estimation and Control
of Networked Systems, Venice, Italy, Sept 2009. > pdf
Models applied to financial markets, first author: P. Kotyczka,
Proc. Of the 2009 ECC, Budapest, August 2009.
Nonlinear Control: A new geometric aspect, Proc. of the 2008
American Control Conference, Seattle WA, U.S.A., June 2008. > pdf
and Control Using Multiple Models, Proc. of the 14th Yale Workshop
on Adaptive and Learning Systems, Yale Univ., June 2008. > pdf
of Complex Systems Using Neural Networks, Modeling and Control of
Complex Systems, A. Pitsillides ed. 2008.
Identification and Control of Time-varying systems, Proc. of the
45th Control and Decision Conference, San Diego CA, U.S.A., Dec.
2006. > pdf
in a Time-Varying Environment, Seminar Talk at Microsoft Research,
Cambridge U.K., March 2006.
Control of Rapidly Time-Varying Systems, Tutorial Talk at the 2005
American Control Conference (with K.S. Narendra, R. Shorten),
Portland OR, U.S.A, June 2005.
Motion Control. In: Proc. of the International Power Electronic
Conference, Niigata, Japan, 2005.
Control in the Presence of Disturbances. Doctoral Thesis, TU Munich,
Germany, Sept. 2004. > pdf
Identification and Control of Linear Time–Varying Plants using
Multiple Models. Technical Report No. 0401, Center for Systems
Science, Yale University, New Haven, CT, USA, March 2004.
Control Using Multiple Models, Switching and Tuning. International
Journal of Adaptive Control and Signal Processing, vol. 17,
pp.87-102, 2003. > pdf
Control of Rapidly Time-Varying Systems. In: Proceedings of the 12th
Yale Workshop on Adaptive and Learning Systems, p. 33-42, Yale
University, New Haven, CT, USA, 2003.
Regelung mit Modellen reduzierter Ordnung. In: GMA-Workshop 2003
Neuere Verfahren der Regelungstechnik, CH- Interlaken, VDIVerlag,
Speed Control of a Two–Mass System. In: Proceedings of the
2003 IEEE International Conference on Control Applications p.
1112-1117, Istanbul, Turkey, 2003.
Control in the Presence of Disturbances. Technical Report No. 0101,
Center for Systems Science, Yale University, New Haven, CT, USA,
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
2004-2005, I developed and taught a two-semester course on nonlinear
systems theory at TU Munich:
Systems I: Dynamical Systems, Lyapunov Stability, and (some) chaos
theory. > Lecture Notes (pdf)
Systems II: Differential geometric methods in control theory. >
Lecture Notes (pdf)