Druckansicht der Internetadresse:

Department of Mathematics

Chair of Applied Mathematics Prof. Dr. L. Grüne / Prof. Dr. A. Schiela

Print page

Team > AR a.Z. Dr. Michael Heinrich Baumann

Overview
Overview
AR a.Z. Dr. Michael Heinrich Baumann AR a.Z. Dr. Michael Heinrich Baumann
AR a.Z. Dr. Michael Heinrich Baumann

Department of Mathematics
Chair of Applied Mathematics


AR a.Z. Dr. Michael Heinrich Baumann

Department of Mathematics
Chair of Applied Mathematics


Main research activities:

  • (Numerical Methods of) Financial Mathematics
  • Agent-based Models
  • Feedback-based Trading Rules
  • Exchange Traded Funds (ETFs)
  • Stochastical Analysis
  • Efficient Market Hypothesis, Event Studies
  • Stochastic Model Predictive Control

Further research interests:

  • Game Theory
  • Business Process Model Execution
  • Business Process Model Similarity Matching
  • Risk Management
  • Statistics
  • Finite Sums, Figurate Numbers
AR a.Z. Dr. Michael Heinrich Baumann

Department of Mathematics
Chair of Applied Mathematics


Publications

Article in a journal (peer-reviewed)

Njoroge, Parmenas; Baumann, Michael Heinrich; Baumann, Michaela; Shevchenko, Dmitry
Stock Price Reactions to Publications of Financial Statements : Evidence from the Moscow S ...
in Journal of Corporate Finance Research / Корпоративные Финансы vol. 15 (2021) issue 1. - pp. 19-36
doi:10.15495/EPub_UBT_00005594 ...

Baumann, Michael Heinrich
A new stochastic Fubini-type theorem : On interchanging expectations and Itô integrals
in Sankhya A (2020) . - pp. 1-13
doi:10.1007/s13171-019-00195-y ...

Baumann, Michael Heinrich; Baumann, Michaela; Erler, Alexander
Limitations of stabilizing effects of fundamentalists : facing positive feedback traders
in Economics : the Open-Access, Open-Assessment E-Journal vol. 44 (2019) issue 13
doi:10.5018/economics-ejournal.ja.2019-44 ...

Stieler, Marleen; Baumann, Michael Heinrich; Grüne, Lars
Noncooperative Model Predictive Control for Affine-Quadratic Games
in Proceedings in Applied Mathematics and Mechanics vol. 18 (2018) issue 1. - pp. 1-2
doi:10.1002/pamm.201800036 ...
89th Annual Meeting of the International Association of Applied Mathematics and Mechanics (GAMM), Munich

Baumann, Michael Heinrich
Die k-dimensionale Champagnerpyramide
in Mathematische Semesterberichte vol. Online first (2018) . - pp. 1-12
doi:10.1007/s00591-018-00236-x ...

Baumann, Michaela; Baumann, Michael Heinrich; Schönig, Stefan; Jablonski, Stefan
The Process Checklist : Paper-based Enactment of Human-driven Processes
in Enterprise Modelling and Information Systems Architectures vol. 12 (2017) issue 1. - pp. 1-42
doi:10.18417/emisa.12.1 ...

Baumann, Michael Heinrich; Grüne, Lars
Simultaneously long short trading in discrete and continuous time
in Systems & Control Letters vol. 99 (2017) . - pp. 85-89
doi:10.1016/j.sysconle.2016.11.011 ...

Baumann, Michael Heinrich
On Stock Trading Via Feedback Control When Underlying Stock Returns Are Discontinuous
in IEEE Transactions on Automatic Control vol. PP (2016) issue 99. - pp. 1-6
doi:10.1109/TAC.2016.2605743 ...

Baumann, Michaela; Baumann, Michael Heinrich; Gruber, Dominik Franz-Xaver; Jablonski, Stefan
Infinite Horizon Decision Support For Rule-based Process Models
in International Journal on Advances in Software vol. 9 (2016) issue 1-2. - pp. 141-153
http://www.iariajournals.org/software/soft_v9_n12_ ...

Article in a book (peer-reviewed)

Baumann, Michael Heinrich; Baumann, Michaela; Herz, Bernhard
Are ETFs Bad for Financial Health?
In: Chodnicka-Jaworska, Patrycja (ed.): 18th RSEP International Economics, Finance & Business Conference : Conference Proceedings - Ankara: BC Publishing, 2020. - pp. 10-18
https://rsepconferences.com/wp-content/uploads/202 ...

Baumann, Michael Heinrich; Grüne, Lars
Positive Expected Feedback Trading Gain for all Essentially Linearly Representable Prices
2019 12th Asian Control Conference (ASCC) - Piscataway, NJ: IEEE, 2019. - pp. 150-155
https://ieeexplore.ieee.org/document/8765015

Bankau, Marcel; Baumann, Michaela; Baumann, Michael Heinrich; Schönig, Stefan; Jablonski, Stefan
The Process Checklist Generator : Establishing Paper-based Process Support
In: Clarisó, Robert ; Leopold, Henrik ; Mendling, Jan ; van der Aalst, Wil ; Kumar, Akhil ; Pentland, Brian T. ; Weske, Mathias (ed.): Proceedings of the BPM Demo Track and BPM Dissertation Award co-located with 15th International Conference on Business Process Modeling (BPM 2017) - Barcelona, 2017 (CEUR Workshop Proceedings; 1920)
http://ceur-ws.org/Vol-1920/BPM_2017_paper_156.pdf

Baumann, Michaela; Baumann, Michael Heinrich; Ackermann, Lars; Schönig, Stefan; Jablonski, Stefan
Ansätze zum Ähnlichkeitsabgleich von deklarativen Geschäftsprozessmodellen
In: Mayr, Heinrich C. ; Pinzger, Martin (ed.): INFORMATIK 2016 - Bonn: Köllen, 2016. - pp. 733-738 . - (Proceedings / GI-Edition; 259) (Lecture Notes in Informatics)
http://subs.emis.de/LNI/Proceedings/Proceedings259 ...

Baumann, Michaela; Baumann, Michael Heinrich; Jablonski, Stefan
On Behavioral Process Model Similarity Matching : A centroid-based approach (Enlarged Abst ...
In: Mayr, Heinrich C. ; Pinzger, Martin (ed.): INFORMATIK 2016 - Bonn: Köllen, 2016. - pp. 731-732 . - (Proceedings / GI-Edition; 259) (Lecture Notes in Informatics (LNI))
http://subs.emis.de/LNI/Proceedings/Proceedings259 ...

Baumann, Michaela; Baumann, Michael Heinrich; Schönig, Stefan; Jablonski, Stefan
Resource-Aware Process Model Similarity Matching
In: Toumani, Farouk (ed.): Service-Oriented Computing - ICSOC 2014 Workshops - Cham: Springer, 2015. - pp. 96-107 . - (Lecture Notes in Computer Science; 8954)
doi:10.1007/978-3-319-22885-3_9 ...

Baumann, Michael Heinrich
Effects of Linear Feedback Trading in an Interactive Market Model
In: American Automatic Control Council in cooperation with IFAC (ed.): American Control Conference (ACC), 2015 - Chicago: IEEE, 2015. - pp. 3880-3885
doi:10.1109/ACC.2015.7171935 ...

Baumann, Michaela; Baumann, Michael Heinrich; Jablonski, Stefan
An Idea on Infinite Horizon Decision Support for Rule-based Process Models
In: Kaindl, Hermann ; Kálmán, György ; Tamir, Dan (ed.): ICCGI 2015, The Tenth International Multi-Conference on Computing in the Global Information Technology - St. Julians, Malta, 2015. - pp. 73-75
http://www.thinkmind.org/download.php?articleid=ic ...

Baumann, Michaela; Baumann, Michael Heinrich; Jablonski, Stefan
On Behavioral Process Model Similarity Matching : a Centroid-based Approach
In: Kaindl, Hermann ; Kálmán, György ; Tamir, Dan (ed.): ICCGI 2015, The Tenth International Multi-Conference on Computing in the Global Information Technology - St. Julians, Malta, 2015. - pp. 125-131
http://www.thinkmind.org/download.php?articleid=ic ...

Baumann, Michaela; Baumann, Michael Heinrich; Schönig, Stefan; Jablonski, Stefan
Enhancing Feasibility of Human-driven Processes by Transforming Process Models to Process ...
Bider, Ilia (Hrsg.): Enterprise, Business-Process and Information Systems Modeling - Heidelberg: Springer, 2014. - pp. 124-138 . - (Lecture Notes in Business Information Processing; 175)
doi:10.1007/978-3-662-43745-2_9 ...

Baumann, Michael Heinrich; Baumann, Michaela; Schönig, Stefan; Jablonski, Stefan
Towards Multi-perspective Process Model Similarity Matching
Barjis, Joseph ; Pergl, Robert (Hrsg.): Enterprise and Organizational Modeling and Simulation - Berlin [u.a.]: Springer, 2014. - pp. 21-37 . - (Lecture Notes in Business Information Processing; 191)
doi:10.1007/978-3-662-44860-1_2 ...

Conference item (peer-reviewed)

Baumann, Michael Heinrich; Baumann, Michaela; Grüne, Lars; Herz, Bernhard
Improving Heterogeneous Agent Models by Avoiding Explicit Discretizations of Stiff Equatio ...
2020
8th UECE Conference on Economic and Financial Adjustments, Online / Lisbon, Portugal

Baumann, Michael Heinrich; Baumann, Michaela; Grüne, Lars; Herz, Bernhard
Improving Heterogeneous Agent Models by Avoiding Explicit Discretizations of Stiff Equatio ...
2020
GENED Mini Workshop on Agent Based Modelling and New Economic Dynamics, Online

Baumann, Michael Heinrich; Baumann, Michaela; Grüne, Lars; Herz, Bernhard
On Modeling Heterogeneous Agents Avoiding Stiff Equations
2019
43rd Annual Meeting of the AMASES Association for Mathematics Applied to Social and Economic Sciences, Perugia, Italy

Baumann, Michael Heinrich; Baumann, Michaela; Grüne, Lars; Herz, Bernhard
Analyzing Heterogeneous Agents Models: Avoiding the Explicit Discretization of Stiff Equat ...
2019
http://nbn-resolving.org/urn:nbn:de:bvb:703-epub-4 ...
Second Behavioral Macroeconomics Workshop: Heterogeneity and Expectations in Macroeconomics and Finance, Otto-Friedrich-Universität Bamberg

Njoroge, Parmenas Kim; Shevchenko, Dmitry; Baumann, Michael Heinrich
Stock Price Reactions to Publications of Financial Statements : Evidence from the Moscow S ...
2019
5th International Conference on Applied Theory, Macro and Empirical Finance (AMEF 2019), University of Macedonia, Thessaloniki, Greece

Baumann, Michael Heinrich; Stieler, Marleen
Noncooperative Model Predictive Control
2018
International Conference on Optimization and Decision Science ODS 2018 : XLVIII Annual Meeting of AIRO-Italian Operations Research Society, Taormina, Italien

Baumann, Michael Heinrich; Baumann, Michaela; Herz, Bernhard
Exchange-traded Funds, Investment Strategies, and Financial Stability
2018
The 50th Annual Conference of the Money, Macro & Finance Research Group (MMF), Edinburgh, Scotland, UK

Baumann, Michael Heinrich; Baumann, Michaela; Herz, Bernhard
Exchange-traded Funds, Investment Strategies, and Financial Stability
2018
Digitale Wirtschaft : Jahrestagung 2018 des Vereins für Socialpolitik, Freiburg im Breisgau

Baumann, Michael Heinrich; Stieler, Marleen
Noncooperative Model Predictive Control
2018
18th International Symposium on Dynamic Games and Applications, Grenoble, France

Baumann, Michael Heinrich
Beating the Market? : A Mathematical Puzzle to Market Efficiency
2018
6th International PhD Meeting in Economics 2018, University of Macedonia, Thessaloniki, Greece

Baumann, Michael Heinrich
Beating the Market? : A Mathematical Puzzle to Market Efficiency
2018
Seventeenth Annual European Economics and Finance Society Conference (EEFS2018), Department of Economics, City, University of London, London, England

Baumann, Michael Heinrich; Baumann, Michaela; Herz, Bernhard
Exchange-traded Funds, Investment Strategies, and Financial Stability
2018
First Behavioral Macroeconomics Workshop: New Approaches to Macro-Financial Instability and Inequality, Otto-Friedrich-Universität Bamberg, Germany

Baumann, Michael Heinrich; Baumann, Michaela; Herz, Bernhard
Exchange-traded Funds, Investment Strategies, and Financial Stability
2018
Seventeenth Annual European Economics and Finance Society Conference (EEFS2018), Department of Economics, City, University of London, London, England

Baumann, Michael Heinrich
Beating the Market? : A Mathematical Puzzle to Market Efficiency
2018
22nd Annual International Conference on Macroeconomic Analysis and International Finance, University of Crete, Rethymno, Greece

Stieler, Marleen; Baumann, Michael Heinrich; Grüne, Lars
Noncooperative Model Predictive Control
2018
89th GAMM Annual Meeting 2018, München

Baumann, Michael Heinrich
Beating the Market? : A Mathematical Puzzle to Market Efficiency
2018
XIX Workshop on Quantitative Finance – QFW2018, University of Roma Tre

Baumann, Michael Heinrich; Baumann, Michaela; Herz, Bernhard
Exchange-traded Funds and Financial Stability
2017
http://2017.mbf-rome.it/xxvi/papers/33/
International Rome Conference on Money, Banking and Finance (MBF), LUMSA University Palermo, Italy

Baumann, Michael Heinrich; Baumann, Michaela; Herz, Bernhard
Exchange-traded Funds and Financial Stability
2017
German Network for New Economic Dynamics (GENED), KIT, Karlsruhe

Baumann, Michael Heinrich; Baumann, Michaela; Erler, Alexander
Limitations of stabilizing effects of fundamentalists facing positive feedback traders
- Bayreuth, 2017
The 49th Money, Macro and Finance Research Group Annual Conference, King's College, Strand, London, UK

Baumann, Michael Heinrich; Grüne, Lars; Herz, Bernhard
Effects of Control-based Trading : Between the Poles of Economics&Finance and Mathematics& ...
2017
Interdisciplinary Symposium - Track "interdisciplinarity in economics", Corté, Università di Corsica, France

Baumann, Michael Heinrich; Baumann, Michaela; Herz, Bernhard
Exchange-traded Funds and Financial Stability
- Bayreuth, 2017
The Sixteenth Annual European Economics and Finance Society Conference 2017, University of Ljubljana, Ljubljana, Slovenia

Baumann, Michael Heinrich; Baumann, Michaela; Erler, Alexander
Limitations of Stabilizing Effects of Fundamentalists Facing Positive Feedback Traders
- Bayreuth, 2017
The Sixteenth Annual European Economics and Finance Society Conference 2017, University of Ljubljana, Ljubljana, Slovenia

Baumann, Michael Heinrich; Baumann, Michaela; Herz, Bernhard
Exchange-traded Funds and Financial Stability
- Bayreuth, 2017
http://nbn-resolving.org/urn:nbn:de:bvb:703-epub-3 ...
21st Annual International Conference on Macroeconomic Analysis and International Finance (ICMAIF) 2017, Rethymno, Crete, Greece

Baumann, Michael Heinrich; Baumann, Michaela; Erler, Alexander
Limitations of stabilizing effects of fundamentalists facing positive feedback traders
- Bayreuth, 2017
XVIII Workshop on Quantitative Finance, Mailand, Italien

Baumann, Michael Heinrich; Grüne, Lars
Positive Expected Feedback Trading Gain for all Essentially Linearly Representable Prices
2016
The XVII Workshop on Quantitative Finance - Pisa 2016, Pisa

Baumann, Michael Heinrich
Portfolioverluste bei plötzlichen Kurssprüngen beim Hedgen von Optionen
2015
http://valueday.at/wp-content/uploads/sites/20/201 ...
Value Day 2015 -- Wirtschaft trifft Wissenschaft, FH Vorarlberg, Dornbirn, Österreich

Conference item (not peer-reviewed)

Baumann, Michael Heinrich; Janischewski, Anja
Price bubble definitions and strict local martingales
2021
Maths in the Social Sciences Research Group, Online

Baumann, Michael Heinrich; Baumann, Michaela; Grüne, Lars; Herz, Bernhard
Improving Heterogeneous Agent Models by Avoiding Explicit Discretizations of Stiff Equatio ...
2020
FAST (Finance & Stochastic) Research Seminar, University of Sussex, Online / Brighton, Sussex, UK

Baumann, Michael Heinrich; Baumann, Michaela; Grüne, Lars; Herz, Bernhard
Analyzing Heterogeneous Agents Models: Avoiding the Explicit Discretization of Stiff Equat ...
2019
http://nbn-resolving.org/urn:nbn:de:bvb:703-epub-4 ...
Graduiertenseminar der VWL-Lehrstühle der Universität Bayreuth, Bayreuth

Baumann, Michael Heinrich
Beating the Market? : A Mathematical Puzzle to Market Efficiency
2018
Forschungsseminar am Lehrstuhl für Finanzierung und Banken der Martin-Luther-Universität Halle-Wittenberg, Halle, Deutschland

Baumann, Michael Heinrich; Baumann, Michaela; Herz, Bernhard
Exchange-traded Funds, Investment Strategies, and Financial Stability
2018
Forschungsseminar am Lehrstuhl Finanzierung und Banken der Martin-Luther-Universität Halle-Wittenberg, Halle, Deutschland

Baumann, Michael Heinrich
Basics of Modern Stochastic Finance
2018
Seminar bei Dmitry Shevchenko, Südliche Föderale Universität, Rostow am Don, Russische Föderation

Baumann, Michael Heinrich
Beating the Market? : A Mathematical Puzzle to Market Efficiency
2018
Seminar bei Dmitry Shevchenko, Südliche Föderale Universität, Rostow am Don, Russische Föderation

Baumann, Michael Heinrich; Baumann, Michaela; Herz, Bernhard
Exchange-traded Funds, Investment Strategies, and Financial Stability
2018
Seminar bei Dmitry Shevchenko, Südliche Föderale Universität, Rostow am Don, Russische Föderation

Stieler, Marleen; Baumann, Michael Heinrich; Grüne, Lars
Nichtkooperative linear-quadratische Spiele, ihre Beziehung zu Riccati-artigen Gleichungen ...
2018
Forschungszentrum Modellierung und Simulation (MODUS), Bayreuth

Baumann, Michael Heinrich
Beating the Market? : A Mathematical Puzzle to Market Efficiency
2018
Graduiertenseminar der VWL-Lehrstühle der Universität Bayreuth, Franken-Akademie Schloß Schney, Lichtenfels

Baumann, Michael Heinrich; Baumann, Michaela; Herz, Bernhard
Exchange-traded Funds and Financial Stability
2017
Summer School in Economics and Finance SSEF Canazei 2017, Alba di Canazei, Trento, Italy

Baumann, Michael Heinrich; Baumann, Michaela; Herz, Bernhard
Exchange-traded Funds and Financial Stability
2017
Graduiertenseminar der VWL-Lehrstühle der Universität Bayreuth, Bayreuth

Baumann, Michael Heinrich
Regelungsbasierte Handelsstrategien auf verrauschten Märkten
2016
Forschungszentrum für die Modellierung und Simulation (MODUS), Bayreuth

Baumann, Michael Heinrich
Regelungsbasierte Handelsstrategien auf verrauschten Märkten
2015
Hanns Seidel Stiftung - Selbstgestaltete Tagung für Promovenden, Bildungszentrum Kloster Banz

Baumann, Michael Heinrich
Simultaneously Long Short Trading Strategies When Price is Governed by Merton's Jump Diffu ...
2015
Prof. B. Ross Barmish's Skype Seminar, Via Skype among others in Bayreuth, Germany, and Madison, WI, USA

Baumann, Michael Heinrich
Linear Feedback Trading in an Interactive Market Model
2015
Graduiertenseminar der VWL-Lehrstühle der Universität Bayreuth, Muggendorf

Master's, Magister, Diploma, or Admission thesis

Baumann, Michael Heinrich
Portfolioverluste bei plötzlichen Kurssprüngen beim Hedgen von Optionen
Bayreuth, 2014. - 115 pp.
http://nbn-resolving.org/urn:nbn:de:bvb:703-epub-2 ...
(master's thesis, 2014, Universität Bayreuth, Fakultät für Mathematik, Physik und Informatik, Lehrstuhl Mathematik V)

Bachelor thesis

Baumann, Michael Heinrich
Risikomaße auf Aktienmärkten [Measures of risk in a financial market]
München, 2011. - 42 pp.
(bachelor's thesis, 2011, Ludwig-Maximilians-Universität München, Fakultät für Mathematik, Informatik und Statistik)

Preprint, postprint, working paper, discussion paper

Ou, Ruchuan; Baumann, Michael Heinrich; Grüne, Lars; Faulwasser, Timm
A Simulation Study on Turnpikes in Stochastic LQ Optimal Control
Cornell, : arXiv, 2020. - 6 pp.
https://arxiv.org/pdf/2010.12201.pdf

Baumann, Michael Heinrich; Baumann, Michaela; Grüne, Lars; Herz, Bernhard
Improving Heterogeneous Agent Models by Avoiding Explicit Discretizations of Stiff Equatio ...
Bayreuth, 2020. - 38 pp.
doi:10.15495/EPub_UBT_00004718 ...

Baumann, Michael Heinrich
Beating the Market?
Bayreuth, 2018. - 61 pp.
http://nbn-resolving.org/urn:nbn:de:bvb:703-epub-4 ...

Doctoral thesis

Baumann, Michael Heinrich
Performance and Effects of Linear Feedback Stock Trading Strategies
Bayreuth, 2018. - 160 pp.
http://nbn-resolving.org/urn:nbn:de:bvb:703-epub-3 ...
(thesis, 2018, Universität Bayreuth, Fakultät für Mathematik, Physik und Informatik)

other

Baumann, Michael Heinrich; Grüne, Lars
Simultaneously long short trading in discrete and continuous time - AudioSlides
: Elsevier AudioSlides,
2017
http://www.sciencedirect.com/science/article/pii/S ...

Baumann, Michaela; Baumann, Michael Heinrich
Der Mensch sagt „Nein“ und meint doch JA. Der Grund dafür kann vieles sein. Für das Progra ...
Bayreuth - 9 pp.
2015
http://nbn-resolving.org/urn:nbn:de:bvb:703-epub-2 ...

Baumann, Michael Heinrich
Regelungsbasierte Handelsstrategien in verrauschten Märkten -- Exposee zur Dissertation
Bayreuth - 25 pp.
2014

AR a.Z. Dr. Michael Heinrich Baumann

Department of Mathematics
Chair of Applied Mathematics


AR a.Z. Dr. Michael Heinrich Baumann
Postdoc (Akademischer Rat a.Z., Habilitand)

Chair of Applied Mathematics
Department of Mathematics
University of Bayreuth
95440 Bayreuth, Germany

Phone: +49 (0)921 55-3278
E-mail: michael.baumann@uni-bayreuth.de
Google Scholar: Google Scholar Dr. Baumann

Room: 3.2 01 530
Building: NW II

responsible for the content: Lars Grüne

Facebook Twitter Youtube-Kanal Instagram Blog UBT-A Contact