The Rhythms and Noises in Financial Markets

Market participants, in particular speculators, often aim to find patterns in the way the prices of financial assets develop. They analyze new information that might be relevant, but also look at behavior and developments in the past. And they use graphical inspection or mathematical methods—based on these patterns, they place buy and sell orders. Ideally they detect these patterns before their competitors do: once, these patterns are universally known, they are no longer good enough to outperform competitors. In other words, they want to find regularities where others only perceive noise. More recently, computer programs contribute increasingly to the traded volume. Many of these computer programs do the same as their human counterparts: spot patterns and trade on them. Obviously, the underlying assumption behind this is that such patterns exist and persist. However, sometimes humans and computers alike fall for spurious relationships and coincidental patterns. Even more importantly, trading on (assumed) patterns will generate its own rhythm.

Dietmar Maringer currently holds the Chair for Computational Management Science at the Economics Faculty, University of Basel. Prior to that, he was director of research and Ph.D. programs at the Centre for Computational Finance and Economic Agents at the University of Essex. Dietmar Maringer studied computer science (emphasis on artificial intelligence), economics and finance at the University of Vienna, the Technical University of Vienna, and the University of Cambridge. His main research interests combine problems in (financial) economics with complexity theory, nature-based computational methods, optimization, and simulation. Applications include pricing, stability analysis, automated trading, and risk management. His recent publications include, amongst others, Numerical Methods and Optimization in Finance (author together with M. Gilli, E. Schumann, 2011); Natural Computing in Computational Finance (editor, together with A. Brabazon, M. O’Neill, 2011).

The symposium “Rhythmanalysis” is initated by Shintaro Miyazaki in collaboration with the art, science & business program of the Akademie Schloss Solitude. It is funded by Andrea von Braun Stiftung and the cogito foundation.

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