Published Work

1. Local Stability Analysis of a Stochastic Evolutionary Financial Market Model With a Risk-free Asset (with Igor V. Evstigneev and Thorsten Hens). Mathematics and Financial Economics, forthcoming (DOI: 10.1007/s11579-011-0056-z).
2. Forecasting Customer Behaviour in a Multi-service Financial Organisation: A Profitability Perspective (with Alena Audzeyeva and Barbara Summers). International Journal of Forecasting, forthcoming (DOI:10.1016/j.ijforecast.2011.05.005).
3. An Evolutionary Explanation of the Value Premium Puzzle (with Thorsten Hens, Terje Lensberg and Peter Woehrmann). Journal of Evolutionary Economics, 21, 803-815, 2011.
4. Consumption Paths under Prospect Utility in an Optimal Growth Model (with Reto Foellmi and Rina Rosenblatt-Wisch). Journal of Economic Dynamics and Control, 35, 273-281, 2011.
5. Linearization and Local Stability of Random Dynamical Systems (with Igor V. Evstigneev and Sergey A. Pirogov). Proceedings of the American Mathematical Society, 139, 1061-1072, 2011.
6. Survival and Evolutionary Stability of the Kelly Rule (with Igor V. Evstigneev and Thorsten Hens). In The Kelly Capital Growth Investment Criterion: Theory and Practice, (Leonard C. MacLean, Edward O. Thorp and William T. Ziemba, eds.), Chapter 20, pp. 273-284, World Scientific, 2011.
7. Growing Wealth with Fixed-mix Strategies (with Michael A.H. Dempster and Igor V. Evstigneev). In The Kelly Capital Growth Investment Criterion: Theory and Practice, (Leonard C. MacLean, Edward O. Thorp and William T. Ziemba, eds.), Chapter 29, pp. 427-455, World Scientific, 2011.
8. The Role of Country, Regional and Global Market Risks in the Dynamics of Latin American Yield Spreads (with Alena Audzeyeva). Journal of International Financial Markets, Institutions & Money, 20, 404-422, 2010.
9. From Discrete to Continuous Time Evolutionary Finance (with Jan Palczewski). Journal of Economic Dynamics and Control, 34, 913-931, 2010.
10. Market Selection of Constant Proportions Investment Strategies in Continuous Time (with Jan Palczewski). Journal of Mathematical Economics, 46, 248-266, 2010.
11. Risk Minimization in Stochastic Volatility Models: Model Risk and Empirical Performance (with Rolf Poulsen and C. Ewald). Quantitative Finance, 9, 693-704, 2009.
12. Do Stylised Facts of Order Book Markets need Strategic Behaviour? (with Dan Ladley). Journal of Economic Dynamics and Control, 33, 817-831, 2009.
13. (Un)anticipated Technological Change in an Endogenous Growth Model (with Bruce A. Conway and Rina Rosenblatt-Wisch). Studies in Nonlinear Dynamics and Econometrics, 13(1), Article 3, 2009.
14. Evolutionary Finance (with Igor V. Evstigneev and Thorsten Hens). In Handbook of Financial Markets: Dynamics and Evolution (Thorsten Hens and Klaus R. Schenk-Hoppé, eds.), Chapter 9, pp. 507-566, North-Holland, 2009.
15. Handbook of Financial Markets: Dynamics and Evolution, editor (with Thorsten Hens), volume in the Handbooks in Finance series (edited by William T. Ziemba), North-Holland, 2009.
16. Globally Evolutionarily Stable Portfolio Rules (with Igor V. Evstigneev and Thorsten Hens). Journal of Economic Theory, 140, 197-228, 2008.
17. Stochastic Equilibria in von Neumann-Gale Dynamical Systems (with Igor V. Evstigneev). Transactions of the American Mathematical Society, 360, 3345-3364, 2008.
18. The Joy of Volatility (with Michael A.H. Dempster and Igor V. Evstigneev). Quantitative Finance, 8, 1-3, 2008.
19. Pure and Randomized Equilibria in the Stochastic von Neumann-Gale Model (with Igor V. Evstigneev). Journal of Mathematical Economics, 43, 871-887, 2007.
20. The Great Capitol Hill Baby Sitting Co-op: Anecdote or Evidence for the Optimum Quantity of Money? (with Thorsten Hens and Bodo Vogt). Journal of Money, Credit and Banking, 39, 1305-1333, 2007.
21. Volatility-induced Financial Growth (with Michael A.H. Dempster and Igor V. Evstigneev). Quantitative Finance, 7, 151-160, 2007.
22. On the Evolution of Investment Strategies and the Kelly Rule - A Darwinian Approach (with Terje Lensberg). Review of Finance, 11, 25-50, 2007.
23. The von Neumann-Gale Model and its Stochastic Generalizations (with Igor V. Evstigneev). In Handbook on Optimal Growth 1. Discrete Time (Rose-Anne Dana, Cuong Le Van, Tapan Mitra and Kazuo Nishimura, eds.), Chapter 12, pp. 337-379, Springer, 2006.
24. Evolutionary Stable Stock Markets (with Igor V. Evstigneev and Thorsten Hens). Economic Theory, 27, 449-468, 2006.
25. Markets Do Not Select For a Liquidity Preference as Behavior Towards Risk (with Thorsten Hens). Journal of Economic Dynamics and Control, 30, 279-292, 2006.
26. Market Selection and Survival of Investment Strategies (with Rabah Amir, Igor V. Evstigneev and Thorsten Hens). Journal of Mathematical Economics, 41, 105-122, 2005.
27. Evolutionary Stability of Portfolio Rules in Incomplete Markets (with Thorsten Hens). Journal of Mathematical Economics, 41, 43-66, 2005.
28. Evolutionary Finance: Introduction to the Special Issue (with Thorsten Hens). Journal of Mathematical Economics, 41, 1-5, 2005.
29. Poverty Traps and Business Cycles in a Stochastic Overlapping Generations Economy with S-shaped Law of Motion. Journal of Macroeconomics, 27, 275-288, 2005.
30. The Evolutionary Virtue of Diversification. Finance Letters, 2(6), 2004.
31. Resuscitating the Cobweb Cycle. Journal of Forecasting, 23, 621-624, 2004.
32. Survival of the Fittest on Wall Street (with Thorsten Hens). In Institutioneller Wandel, Marktprozesse und dynamische Wirtschaftspolitik (Proceedings of the VI. Buchenbach Workshop) (M. Lehmann-Waffenschmidt et al., eds.), Metropolis, Marburg, 339-367, 2004.
33. Financial Markets and Stochastic Growth (with Leonard J. Mirman). Review of International Economics 11, 219-236, 2003.
34. Exponential Growth of Fixed-Mix Strategies in Stationary Asset Markets (with Michael A.H. Dempster and Igor V. Evstigneev). Finance and Stochastics 7, 263-276, 2003.
35. An Application of Evolutionary Finance to Firms Listed in the Swiss Market Index (with Thorsten Hens and Martin Stalder). Swiss Journal of Economics and Statistics 138, 465-488, 2002.
36. Sample-Path Stability of Non-Stationary Dynamic Economic Systems. Annals of Operations Research 114, 263-280, 2002.
37. From Rags to Riches: On Constant Proportions Investment Strategies (with Igor V. Evstigneev). International Journal of Theoretical and Applied Finance 5, 563-574, 2002.
38. Market Selection of Financial Trading Strategies: Global Stability (with Igor V. Evstigneev and Thorsten Hens). Mathematical Finance 12, 329-339, 2002.
39. Is There a Golden Rule for the Stochastic Solow Growth Model? Macroeconomic Dynamics 6, 457-475, 2002.
40. Economic Growth and Business Cycles: A Critical Comment on Detrending Time Series. Studies in Nonlinear Dynamics and Econometrics 5, 75-86, 2001.
41. Random Fixed Points in a Stochastic Solow Growth Model (with Björn Schmalfuss). Journal of Mathematical Economics 36, 19-30, 2001.
42. Random Dynamical Systems in Economics. Stochastics and Dynamics 1, 63-83, 2001.
43. An Evolutionary Model of Bertrand Oligopoly (with Carlos Alós-Ferrer and Ana B. Ania). Games and Economic Behavior 33, 1-19, 2000.
44. The Evolution of Walrasian Behavior in Oligopolies. Journal of Mathematical Economics 33, 35-55, 2000.
45. Bounds on Sample Paths of Stochastic Nonlinear Systems - A Lyapunov Function Approach. In IUTAM Symposium on Nonlinearity and Stochastic Structural Dynamics (Chennai 1999) (R. N. Iyengar and S. Narayanan, eds.), pages 249-260, Kluwer Academic Publishers, Dordrecht, 2001.
46. Random Attractors - A Brief Introduction and Some Applications. ZAMM - Journal of Applied Mathematics and Mechanics 79 Suppl. 3, S831-S834, 1999.
47. The Stochastic Brusselator: Parametric Noise Destroys Hopf Bifurcation (with Ludwig Arnold and Gabriele Bleckert). In Stochastic Dynamics (H. Crauel and V. M. Gundlach, eds.), Chapter 4, pages 71-92, Springer-Verlag, New York, 1999.
48. Random Attractors - General Properties, Existence and Applications to Stochastic Bifurcation Theory. Discrete and Continuous Dynamical Systems 4, 99-130, 1998.
49. Toward an understanding of stochastic Hopf bifurcation: A case study (with Ludwig Arnold and N. Sri Namachchivaya) International Journal of Bifurcation and Chaos in Applied Science and Engineering 6, 1947-1975, 1996.
50. Deterministic and stochastic Duffing-van der Pol oscillators are non-explosive. ZAMP - Journal of Applied Mathematics and Physics 47, 740-759, 1996.
51. Stochastic bifurcation: Concept and examples (with Volker M. Gundlach) Proceedings of the International Conference on Nonlinearity, Bifurcation, and Chaos: The Doors to the Future (J. Awrejcewicz and C.-H. Lamarque, eds.), 28-33, 1996.
52. Stochastic Hopf bifurcation: an example. International Journal of Non-linear Mechanics 31, 685-692, 1996.
53. Bifurcation scenarios of the noisy Duffing-van der Pol oscillator. Nonlinear Dynamics 11, 255-274, 1996.

Qualification Work

1. The stochastic Duffing-van der Pol equation. PhD. thesis, Department of Mathematics, University of Bremen, 1996.
2. Bifurkations-Szenarien des stochastischen Duffing-van der Pol Oszillators (German). MSc dissertation, Department of Mathematics, University of Bremen, 1993.