KTP with Yorkshire Bank rated `outstanding'
- The Knowledge Transfer Partnership (KTP) between Leeds University Business School and Yorkshire Bank, led jointly by Dr Barbara Summers and me, has been awarded the highest grade of `outstanding' by the KTP Grading Panel in 2010.
Stability of Financial Markets: An Evolutionary Approach
This joint project with Terje Lensberg (NHH, Bergen, Norway) is funded by the Norwegian Finance Market Fund (2008-2010). The research output comprises:
- An Evolutionary Financial Market Model With a Risk-free Asset (Igor V. Evstigneev, Thorsten Hens and Klaus Reiner Schenk-Hoppé), NCCR FinRisk Working Paper No. 656 (August 2010), submitted.
- Asset Market Games of Survival: A Synthesis of Evolutionary and Dynamic Games (Rabah Amir, Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé), NCCR FinRisk Working Paper No. 505 (August 2010), submitted.
- Linearization and Local Stability of Random Dynamical Systems (Igor V. Evstigneev, Sergey A. Pirogov and Klaus Reiner Schenk-Hoppé). Proceedings of the American Mathematical Society, forthcoming.
- An Evolutionary Explanation of the Value Premium Puzzle (Thorsten Hens, Terje Lensberg, Klaus Reiner Schenk-Hoppé and Peter Woehrmann). Journal of Evolutionary Economics, forthcoming.
- From Discrete to Continuous Time Evolutionary Finance (Jan Palczewski and Klaus Reiner Schenk-Hoppé). Journal of Economic Dynamics and Control, 34, 913–931, 2010.
- Market Selection of Constant Proportions Investment Strategies in Continuous Time (Jan Palczewski and Klaus Reiner Schenk-Hoppé). Journal of Mathematical Economics, 46, 248–266, 2010.
- Survival and Evolutionary Stability of the Kelly Rule
(Igor V. Evstigneev, Thorsten Hens and Klaus Reiner Schenk-Hoppé).
In The Kelly Capital Growth Investment Criterion: Theory and Practice, (Leonard C. MacLean, Edward O. Thorp and William T. Ziemba, eds.), World Scientific, forthcoming.
- Growing Wealth with Fixed-mix Strategies
(Michael A.H. Dempster, Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé).
In The Kelly Capital Growth Investment Criterion: Theory and Practice (Leonard C. MacLean, Edward O. Thorp and William T. Ziemba, eds.), World Scientific, forthcoming.
- Do Stylised Facts of Order Book Markets need Strategic Behaviour? (Dan Ladley and Klaus Reiner Schenk-Hoppé). Journal of Economic Dynamics and Control, 33, 817-831, 2009.
- Evolutionary Finance
(Igor V. Evstigneev, Thorsten Hens and Klaus Reiner Schenk-Hoppé) Chapter 9 in
"Handbook of Financial Markets: Dynamics and Evolution" (Thorsten Hens and Klaus Reiner Schenk-Hoppé, eds.), pp. 507-566, North-Holland, 2009.
Darwin and Finance
Financial market research celebrates Charles Darwin's 200th birthday with the publication of the Handbook of Financial Markets: Dynamics and Evolution. This volume in the Handbooks in Finance series presents contributions of leading researchers to the evolutionary dynamics in financial markets. Darwin's insights on natural selection continue to inspire 150 years after their publication!
HANDBOOK OF FINANCIAL MARKETS: Dynamics and Evolution, edited by Thorsten Hens and Klaus Reiner Schenk-Hoppé, North-Holland, 2009. 608 pages. Volume of the Handbooks in Finance edited by William T. Ziemba
Andrei Shleifer (Harvard University)
"Mathematical analysis of evolutionary dynamics in financial markets has made significant strides in the last 20 years. The chapters in this Handbook present some of the most important contributions to this expanding literature."
William A. Brock (University of Wisconsin at Madison)
"The research frontier of finance is moving in an ecological direction where trading strategies compete for profits like species in an ecosystem. This volume, written by leaders in the field, does an excellent job of bringing the reader up to date in this novel, important, and fascinating research area."
Hersh Shefrin (Santa Clara University)
"Hens and Schenk-Hoppé's edited collection provides deep and important insights about the impact of investor heterogeneity on market dynamics. Focused research on this topic is long overdue, making this book a welcome advance."
CONTENTS
PREFACE "Introduction"
Thorsten Hens and Klaus Reiner Schenk-Hoppé
CHAPTER 1. "Thought and Behavior Contagion in Capital Markets"
David Hirshleifer and Siew Hong Teoh
CHAPTER 2. "How Markets Slowly Digest Changes in Supply and Demand"
Jean-Philippe Bouchaud, J. Doyne Farmer, and Fabrizio Lillo
CHAPTER 3. "Stochastic Behavioral Asset-Pricing Models and the Stylized Facts"
Thomas Lux
CHAPTER 4. "Complex Evolutionary Systems in Behavioral Finance"
Cars Hommes and Florian Wagener
CHAPTER 5. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics"
Carl Chiarella, Xue-Zhong He and Roberto Dieci
CHAPTER 6. "Perfect Forecasting, Behavioral Heterogeneities, and Asset Prices"
Jan Wenzelburger
CHAPTER 7. "Market Selection and Asset Pricing"
Lawrence Blume and David Easley
CHAPTER 8. "Rational Diverse Beliefs and Market Volatility"
Mordecai Kurz
CHAPTER 9. "Evolutionary Finance"
Igor V. Evstigneev, Thorsten Hens, Klaus Reiner Schenk-Hoppé
`Managing Demand' for Peer Reviews
Parking: Unwanted Insights from Economics
MSc in Financial Mathematics
- The next entry date is September 2011. Detailed information is provided on the MSc web page. Please contact me if you have any queries.
- There are a few places available for visiting graduate students next year. Please contact me if you want to learn more about this opportunity.
- Some current information and good news about our students' success is provided on my teaching page
PhD students
- Alena Audzeyeva (completed in 2007) has joined the University of Keele as Lecturer in Finance.
- Dan Ladley (completed in 2008) is Lecturer in Finance at the University of Leicester.
- I am currently supervising (with Jan Palczewski) Martin Anastasov's PhD on investment fund management and payment guarantees, Huamao Wang's PhD on optimal portfolio choice, and Zhidi Du's PhD on optimal investment under liquidity costs.
- Please contact me if you are interested in pursuing PhD studies at my chair at the University of Leeds.
Centenary Chair
- I joined the University of Leeds, United Kingdom, as the Centenary Chair in Financial Mathematics in January 2005. This post is joint between Leeds University Business School and the School of Mathematics.
