6) Université de Genève
Scientific Staff
Prof. Dr. Manfred Gilli (work package coordinator)
Prof. Dr. Jaya Krishnakumar
Ilir Roko
Gerda Cabej
Jonela Lula
Enrico Schumann
Giacomo di Tollo
Manfred Gilli holds a doctoral degree in econometrics and statistics from the University of Geneva. Since 1993 he is professor in computational methods in economics and finance at the University of Geneva. From 2006 to 2007 he served as President of the Society for Computational Economics.
Expertise of the Team
At the department of econometrics in the Université de Genève, work has been done in the development and application of optimization heuristics. Particular emphasis is on numerical and implementation issues such as parallel and distributed computing. The main contributions are in the domain of portfolio selection minimizing downside risk, estimation of default probabilities in the frame of credit risk modelling, high breakdown point regression estimation, model selection and simulation based inference for the estimation of agent based financial models. Research on portfolio optimization and asset allocation has been done in co-operation with an industry partner (Mirabaud & Cie, Geneva).
References:
- M. Gilli, E. Këllezi and H. Hysi: „A Data-Driven Optimization Heuristic for Downside Risk Minimization”, Journal of Risk, forthcoming 2006.
- M. Gilli and P. Winker: “A Global Optimization Heuristic for Estimating Agent Based Models”, Computational Statistics and Data Analysis, 2003.
- M. Gilli and E. Këllezi: “The Threshold Accepting Heuristic for Index Tracking”, in: P. Pardalos and V. K. Tsitsiringos (eds.): “Financial Engineering, E-Commerce, and Supply Chain”, Kluwer Applied Optimization Series, 2002.
Expertise in Training Young Scientists
Five students accomplished their Ph.D. in the last five years under the supervision of Krishnakumar and Gilli. At present, eight students are writing their Ph.D. on applied numerical topics and econometric modelling. Also several students from other universities visited the department of econometrics while working on their Ph.D. Both Krishnakumar and Gilli have been teaching courses at Ph.D. levels in econometrics and numerical methods.
Links within the Network
Collaboration based on research funded by the Swiss National Science Foundation (SNF) and the German Research Foundation exists between Winker, Kontoghiorghes and Gilli. The German project is on simulation based inference for the estimation of agent based financial models whereas the SNF finances a project on subset VAR model selection. A second project on credit risk modelling involving Albanese has been submitted to the SNF.
Role of the Research Team
The research team at the Department of Econometrics in the Université de Genève will pursue its efforts in providing reliable and efficient general purpose implementations of heuristic optimization techniques. Particular attention will be brought to exploit the emerging potential of distributed computing (e.g. GRID computing).