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

Department of Mathematics
Chair of Applied Mathematics

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
  

Department of Mathematics
Chair of Applied Mathematics

Publications

Book/Monograph    ↑ top

Extended Abstracts presented at the 25th International Symposium on Mathematical Theory of Networks and Systems MTNS 2022 : held 12-16 September 2022 in Bayreuth, Germany. - Michael Heinrich Baumann, Lars Grüne, Birgit Jacob, and Karl Worthmann (Hrsg.). - Bayreuth : 2022. - 815 S.
doi:10.15495/EPub_UBT_00006809

Article in a journal (peer-reviewed)    ↑ top

Jonas Schießl, Michael Heinrich Baumann, Timm Faulwasser, and Lars Grüne: On the relationship between stochastic turnpike and dissipativity notions. In: IEEE Transactions on Automatic Control, (2024). - .
doi:10.1109/TAC.2024.3504352

Michael Heinrich Baumann, Michaela Baumann, Lars Grüne, and Bernhard Herz: Market Structure and Instability Artifacts in Heterogeneous Agent Models: Lessons from Implicit Discretizations of Stiff Equations. In: Computational Economics, 62 (2023). - S. 855-890.
doi:10.1007/s10614-022-10285-z

Michael Heinrich Baumann: On theoretical foundations of mostly model-free cross-coupled simultaneously long-short stock trading controllers. In: European Journal of Control, 74 (2023). - .
doi:10.1016/j.ejcon.2023.100851

Michael Heinrich Baumann: Beating the market? A mathematical puzzle for market efficiency. In: Decisions in Economics and Finance, 45 (2022). - S. 279-325.
doi:10.1007/s10203-021-00361-8

Michael Heinrich Baumann: An illustrative derivation of the sum of fifth powers. In: The Mathematical Gazette, 106 (2022). - S. 68-77.
doi:10.1017/mag.2022.11

Michaela Baumann, and Michael Heinrich Baumann: Detecting Manipulated Wine Ratings with Autoencoders and Supervised Machine Learning Techniques. In: International Journal on Advances in Internet Technology, 15 (2022). - S. 64-77.

Michael Heinrich Baumann, and Lars Grüne: Does the effort of Monte Carlo pay off? : A case study on stochastic MPC. In: IFAC-PapersOnLine, 54 (2021). - S. 70-75.
doi:10.1016/j.ifacol.2021.08.526

Michael Heinrich Baumann: A new stochastic Fubini-type theorem : On interchanging expectations and Itô integrals. In: Sankhya A, 83 (2021). - S. 408-420.
doi:10.1007/s13171-019-00195-y

Ruchuan Ou, Michael Heinrich Baumann, Lars Grüne, and Timm Faulwasser: A Simulation Study on Turnpikes in Stochastic LQ Optimal Control. In: IFAC-PapersOnLine, 54 (2021). - S. 516-521.
doi:10.1016/j.ifacol.2021.08.294

Parmenas Njoroge, Michael Heinrich Baumann, Michaela Baumann, and Dmitry Shevchenko: Stock Price Reactions to Publications of Financial Statements : Evidence from the Moscow Stock Exchange. In: Journal of Corporate Finance Research = Корпоративные Финансы, 15 (2021). - S. 19-36.
doi:10.17323/j.jcfr.2073-0438.15.1.2021.19-36

Michael Heinrich Baumann: Die k-dimensionale Champagnerpyramide. In: Mathematische Semesterberichte, 66 (2019). - S. 89-100.
doi:10.1007/s00591-018-00236-x

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

Marleen Stieler, Michael Heinrich Baumann, and Lars Grüne: Noncooperative Model Predictive Control for Affine-Quadratic Games. In: Proceedings in Applied Mathematics and Mechanics, 18 (2018). - .
doi:10.1002/pamm.201800036

Michael Heinrich Baumann: On Stock Trading Via Feedback Control When Underlying Stock Returns Are Discontinuous. In: IEEE Transactions on Automatic Control, 62 (2017). - S. 2987-2992.
doi:10.1109/TAC.2016.2605743

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

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

Michaela Baumann, Michael Heinrich Baumann, Dominik Franz-Xaver Gruber, and Stefan Jablonski: Infinite Horizon Decision Support For Rule-based Process Models. In: International Journal on Advances in Software, 9 (2016). - S. 141-153.

Article in a book (peer-reviewed)    ↑ top

Jonas Schießl, Ruchuan Ou, Timm Faulwasser, Michael Heinrich Baumann, and Lars Grüne: Pathwise turnpike and dissipativity results for discrete-time stochastic linear-quadratic optimal control problems. In: 2023 62nd IEEE Conference on Decision and Control (CDC). - Singapore, Singapore : 2023. - S. 2790-2795.
doi:10.1109/CDC49753.2023.10384081

Michael Heinrich Baumann: How Skewed are Simultaneously Long-Short Trading Gains?. In: 2023 European Control Conference (ECC). - Bucharest, Romania : IEEE, 2023. - S. 1-6.

Michaela Baumann, and Michael Heinrich Baumann: Autoencoder vs. Regression Neural Networks for Detecting Manipulated Wine Ratings. In: Juho Mäkiö (Hrsg.): ICCGI 2022, The Seventeenth International Multi-Conference on Computing in the Global Information Technology. - Venice, Italy : IARIA, 2022. - S. 7-13.

Michael Heinrich Baumann, Michaela Baumann, and Bernhard Herz: Are ETFs Bad for Financial Health?. In: Patrycja Chodnicka-Jaworska (Hrsg.): 18th RSEP International Economics, Finance & Business Conference : Conference Proceedings. - Ankara : BC Publishing, 2020. - S. 10-18.

Michael Heinrich Baumann, and Lars Grüne: Positive Expected Feedback Trading Gain for all Essentially Linearly Representable Prices. In: 2019 12th Asian Control Conference (ASCC). - Piscataway, NJ : IEEE, 2019. - S. 150-155.

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

Michaela Baumann, Michael Heinrich Baumann, Lars Ackermann, Stefan Schönig, and Stefan Jablonski: Ansätze zum Ähnlichkeitsabgleich von deklarativen Geschäftsprozessmodellen. In: Heinrich C. Mayr, Martin Pinzger (Hrsg.): INFORMATIK 2016. - Bonn : Köllen, 2016. - S. 733-738.

Michaela Baumann, Michael Heinrich Baumann, and Stefan Jablonski: On Behavioral Process Model Similarity Matching : A centroid-based approach (Enlarged Abstract of [BBJ15]). In: Heinrich C. Mayr, Martin Pinzger (Hrsg.): INFORMATIK 2016. - Bonn : Köllen, 2016. - S. 731-732.

Michaela Baumann, Michael Heinrich Baumann, Stefan Schönig, and Stefan Jablonski: Resource-Aware Process Model Similarity Matching. In: Farouk Toumani (Hrsg.): Service-Oriented Computing - ICSOC 2014 Workshops. - Cham : Springer, 2015. - S. 96-107.
doi:10.1007/978-3-319-22885-3_9

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

Michaela Baumann, Michael Heinrich Baumann, and Stefan Jablonski: An Idea on Infinite Horizon Decision Support for Rule-based Process Models. In: Hermann Kaindl, György Kálmán, Dan Tamir (Hrsg.): ICCGI 2015, The Tenth International Multi-Conference on Computing in the Global Information Technology. - St. Julians, Malta : 2015. - S. 73-75.

Michaela Baumann, Michael Heinrich Baumann, and Stefan Jablonski: On Behavioral Process Model Similarity Matching : a Centroid-based Approach. In: Hermann Kaindl, György Kálmán, Dan Tamir (Hrsg.): ICCGI 2015, The Tenth International Multi-Conference on Computing in the Global Information Technology. - St. Julians, Malta : 2015. - S. 125-131.

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

Michael Heinrich Baumann, Michaela Baumann, Stefan Schönig, and Stefan Jablonski: Towards Multi-perspective Process Model Similarity Matching. In: Barjis, Joseph ; Pergl, Robert (Hrsg.): Enterprise and Organizational Modeling and Simulation. - Berlin : Springer, 2014. - S. 21-37.
doi:10.1007/978-3-662-44860-1_2

Conference item (peer-reviewed)    ↑ top

Michael Heinrich Baumann: On the Risks of Feedback-Trading. - (Vortrag), Veranstaltung: 25th International Symposium on Mathematical Theory of Networks and Systems, 12-16 September 2022, University of Bayreuth.

Michael Heinrich Baumann, Michaela Baumann, and Bernhard Herz: Financial Stability and Actively Traded Exchange-Traded Funds. - (Vortrag), Veranstaltung: 26th Annual International Conference on Macroeconomic Analysis and International Finance (ICMAIF), 26-28 May 2022, University of Crete, Rethymno, Greece.

Michael Heinrich Baumann: On Feedback Trading, Stochastic Differential Equations, and Fubini’s Theorem. - (Vortrag), Veranstaltung: The 2021 INFORMS Annual Meeting, 24.-27. Okt. 2021, Anaheim, California, United States, online.

Michael Heinrich Baumann, and Anja Janischewski: What are Asset Price Bubbles? A Survey on Definitions of Financial Bubbles. - (Vortrag), Veranstaltung: AMASES Annual Conference 2021, September 13-18, 2021, Department of Law, Economics and Human Sciences (DIGIES) of the University of Reggio Calabria / online.

Anja Janischewski, and Michael Heinrich Baumann: What Are Asset Price Bubbles? A Survey on Definitions of Financial Bubbles. - (Vortrag), Veranstaltung: 33rd Annual EAEPE Conference (EAEPE 2021) - European Association for Evolutionary Political Economy, 02.-04. Sept. 2021, Online.

Anja Janischewski, and Michael Heinrich Baumann: What Are Asset Price Bubbles? A Survey on Definitions of Financial Bubbles. - (Vortrag), Veranstaltung: Tinbergen Summer School in Behavioral Macro and Complexity, 23.-27. Aug. 2021, Online.

Michael Heinrich Baumann, and Anja Janischewski: What are Asset Price Bubbles? A Survey on Definitions of Financial Bubbles. - (Vortrag), Veranstaltung: 25nd Annual International Conference on Macroeconomic Analysis and International Finance (ICMAIF), 29.-31. Juli 2021, University of Crete, Rethymno, Greece / online.

Michael Heinrich Baumann, Michaela Baumann, Lars Grüne, and Bernhard Herz: Improving Heterogeneous Agent Models by Avoiding Explicit Discretizations of Stiff Equations. - (Vortrag), Veranstaltung: 8th UECE Conference on Economic and Financial Adjustments, 27. November 2020, Online / Lisbon, Portugal.

Michael Heinrich Baumann, Michaela Baumann, Lars Grüne, and Bernhard Herz: Improving Heterogeneous Agent Models by Avoiding Explicit Discretizations of Stiff Equations. - (Vortrag), Veranstaltung: GENED Mini Workshop on Agent Based Modelling and New Economic Dynamics, 5. Oktober 2020, Online.

Michael Heinrich Baumann, Michaela Baumann, Lars Grüne, and Bernhard Herz: On Modeling Heterogeneous Agents Avoiding Stiff Equations. - (Vortrag), Veranstaltung: 43rd Annual Meeting of the AMASES Association for Mathematics Applied to Social and Economic Sciences, September 9-11, 2019, Perugia, Italy.

Michael Heinrich Baumann, Michaela Baumann, Lars Grüne, and Bernhard Herz: Analyzing Heterogeneous Agents Models: Avoiding the Explicit Discretization of Stiff Equations. - (Vortrag), Veranstaltung: Second Behavioral Macroeconomics Workshop: Heterogeneity and Expectations in Macroeconomics and Finance, June 13-15, 2019, Otto-Friedrich-Universität Bamberg.

Parmenas Kim Njoroge, Dmitry Shevchenko, and Michael Heinrich Baumann: Stock Price Reactions to Publications of Financial Statements : Evidence from the Moscow Stock Exchange. - (Vortrag), Veranstaltung: 5th International Conference on Applied Theory, Macro and Empirical Finance (AMEF 2019), April 22-33, 2019, University of Macedonia, Thessaloniki, Greece.

Michael Heinrich Baumann, and Marleen Stieler: Noncooperative Model Predictive Control. - (Vortrag), Veranstaltung: International Conference on Optimization and Decision Science ODS 2018 : XLVIII Annual Meeting of AIRO-Italian Operations Research Society, 10.-13. September 2018, Taormina, Italien.

Michael Heinrich Baumann, Michaela Baumann, and Bernhard Herz: Exchange-traded Funds, Investment Strategies, and Financial Stability. - (Poster), Veranstaltung: The 50th Annual Conference of the Money, Macro & Finance Research Group (MMF), 05.-07. September 2018, Edinburgh, Scotland, UK.

Michael Heinrich Baumann, Michaela Baumann, and Bernhard Herz: Exchange-traded Funds, Investment Strategies, and Financial Stability. - (Vortrag), Veranstaltung: Digitale Wirtschaft : Jahrestagung 2018 des Vereins für Socialpolitik, 02.-05. September 2018, Freiburg im Breisgau.

Michael Heinrich Baumann, and Marleen Stieler: Noncooperative Model Predictive Control. - (Vortrag), Veranstaltung: 18th International Symposium on Dynamic Games and Applications, 9.-12. Juli 2018, Grenoble, France.

Michael Heinrich Baumann: Beating the Market? : A Mathematical Puzzle to Market Efficiency. - (Vortrag), Veranstaltung: 6th International PhD Meeting in Economics 2018, 5.-6. Juli 2018, University of Macedonia, Thessaloniki, Greece.

Michael Heinrich Baumann: Beating the Market? : A Mathematical Puzzle to Market Efficiency. - (Vortrag), Veranstaltung: Seventeenth Annual European Economics and Finance Society Conference (EEFS2018), 21.-24. Juni 2018, Department of Economics, City, University of London, London, England.

Michael Heinrich Baumann, Michaela Baumann, and Bernhard Herz: Exchange-traded Funds, Investment Strategies, and Financial Stability. - (Vortrag), Veranstaltung: First Behavioral Macroeconomics Workshop: New Approaches to Macro-Financial Instability and Inequality, 15.-16. Juni 2018, Otto-Friedrich-Universität Bamberg, Germany.

Michael Heinrich Baumann, Michaela Baumann, and Bernhard Herz: Exchange-traded Funds, Investment Strategies, and Financial Stability. - (Vortrag), Veranstaltung: Seventeenth Annual European Economics and Finance Society Conference (EEFS2018), 21.-24. Juni 2018, Department of Economics, City, University of London, London, England.

Michael Heinrich Baumann: Beating the Market? : A Mathematical Puzzle to Market Efficiency. - (Vortrag), Veranstaltung: 22nd Annual International Conference on Macroeconomic Analysis and International Finance, 24.-26. Mai 2018, University of Crete, Rethymno, Greece.

Marleen Stieler, Michael Heinrich Baumann, and Lars Grüne: Noncooperative Model Predictive Control. - (Vortrag), Veranstaltung: 89th GAMM Annual Meeting 2018, 19. - 23. März 2018, München.

Michael Heinrich Baumann: Beating the Market? : A Mathematical Puzzle to Market Efficiency. - (Vortrag), Veranstaltung: XIX Workshop on Quantitative Finance – QFW2018, 24.-26.01.2018, University of Roma Tre.

Michael Heinrich Baumann, Michaela Baumann, and Bernhard Herz: Exchange-traded Funds and Financial Stability. - (Vortrag), Veranstaltung: International Rome Conference on Money, Banking and Finance (MBF), 14-15-16 December 2017, LUMSA University Palermo, Italy.

Michael Heinrich Baumann, Michaela Baumann, and Bernhard Herz: Exchange-traded Funds and Financial Stability. - (Vortrag), Veranstaltung: German Network for New Economic Dynamics (GENED), 4.-6. Oktober 2017, KIT, Karlsruhe.

Michael Heinrich Baumann, Michaela Baumann, and Alexander Erler: Limitations of stabilizing effects of fundamentalists facing positive feedback traders. - (Vortrag), Veranstaltung: The 49th Money, Macro and Finance Research Group Annual Conference, 05.-07.09.2017, King's College, Strand, London, UK.

Michael Heinrich Baumann, Lars Grüne, and Bernhard Herz: Effects of Control-based Trading : Between the Poles of Economics&Finance and Mathematics&Engineering. - (Vortrag), Veranstaltung: Interdisciplinary Symposium - Track "interdisciplinarity in economics", July 5-7, 2017, Corté, Università di Corsica, France.

Michael Heinrich Baumann, Michaela Baumann, and Bernhard Herz: Exchange-traded Funds and Financial Stability. - (Vortrag), Veranstaltung: The Sixteenth Annual European Economics and Finance Society Conference 2017, 22.06.2017-25.06.2017, University of Ljubljana, Ljubljana, Slovenia.

Michael Heinrich Baumann, Michaela Baumann, and Alexander Erler: Limitations of Stabilizing Effects of Fundamentalists Facing Positive Feedback Traders. - (Vortrag), Veranstaltung: The Sixteenth Annual European Economics and Finance Society Conference 2017, 22.06.2017-25.06.2017, University of Ljubljana, Ljubljana, Slovenia.

Michael Heinrich Baumann, Michaela Baumann, and Bernhard Herz: Exchange-traded Funds and Financial Stability. - (Vortrag), Veranstaltung: 21st Annual International Conference on Macroeconomic Analysis and International Finance (ICMAIF) 2017, 25.-27.05.2017, Rethymno, Crete, Greece.

Michael Heinrich Baumann, Michaela Baumann, and Alexander Erler: Limitations of stabilizing effects of fundamentalists facing positive feedback traders. - (Vortrag), Veranstaltung: XVIII Workshop on Quantitative Finance, 25.-27. Januar 2017, Mailand, Italien.

Michael Heinrich Baumann, and Lars Grüne: Positive Expected Feedback Trading Gain for all Essentially Linearly Representable Prices. - (Vortrag), Veranstaltung: The XVII Workshop on Quantitative Finance - Pisa 2016, 28.-29.01.2016, Pisa.

Michael Heinrich Baumann: Portfolioverluste bei plötzlichen Kurssprüngen beim Hedgen von Optionen. - (Vortrag), Veranstaltung: Value Day 2015 -- Wirtschaft trifft Wissenschaft, 12. März 2015, FH Vorarlberg, Dornbirn, Österreich.

Conference item (not peer-reviewed)    ↑ top

Michael Heinrich Baumann: On Exchange-Traded Funds, Agent-based Models, and Euler Schemes. - (Vortrag), Veranstaltung: Forschungsseminar VWL, TU Chemnitz.

Michael Heinrich Baumann: Feedback Trading in Efficient Markets. - (Vortrag), Veranstaltung: Working Group on Algorithmic Trading, online.

Michael Heinrich Baumann, and Anja Janischewski: Price bubble definitions and strict local martingales. - (Vortrag), Veranstaltung: Maths in the Social Sciences Research Group, 19. März 2021, Online.

Michael Heinrich Baumann, Michaela Baumann, Lars Grüne, and Bernhard Herz: Improving Heterogeneous Agent Models by Avoiding Explicit Discretizations of Stiff Equations. - (Vortrag), Veranstaltung: FAST (Finance & Stochastic) Research Seminar, University of Sussex, 11. November 2020, Online / Brighton, Sussex, UK.

Michael Heinrich Baumann, Michaela Baumann, Lars Grüne, and Bernhard Herz: Analyzing Heterogeneous Agents Models: Avoiding the Explicit Discretization of Stiff Equations. - (Vortrag), Veranstaltung: Graduiertenseminar der VWL-Lehrstühle der Universität Bayreuth, 11./12.07.2019, Bayreuth.

Michael Heinrich Baumann: Beating the Market? : A Mathematical Puzzle to Market Efficiency. - (Vortrag), Veranstaltung: Forschungsseminar am Lehrstuhl für Finanzierung und Banken der Martin-Luther-Universität Halle-Wittenberg, 6. November 2018, Halle, Deutschland.

Michael Heinrich Baumann, Michaela Baumann, and Bernhard Herz: Exchange-traded Funds, Investment Strategies, and Financial Stability. - (Vortrag), Veranstaltung: Forschungsseminar am Lehrstuhl Finanzierung und Banken der Martin-Luther-Universität Halle-Wittenberg, 6. November 2018, Halle, Deutschland.

Michael Heinrich Baumann: Basics of Modern Stochastic Finance. - (Vortrag), Veranstaltung: Seminar bei Dmitry Shevchenko, April 2018, Südliche Föderale Universität, Rostow am Don, Russische Föderation.

Michael Heinrich Baumann: Beating the Market? : A Mathematical Puzzle to Market Efficiency. - (Vortrag), Veranstaltung: Seminar bei Dmitry Shevchenko, April 2018, Südliche Föderale Universität, Rostow am Don, Russische Föderation.

Michael Heinrich Baumann, Michaela Baumann, and Bernhard Herz: Exchange-traded Funds, Investment Strategies, and Financial Stability. - (Vortrag), Veranstaltung: Seminar bei Dmitry Shevchenko, April 2018, Südliche Föderale Universität, Rostow am Don, Russische Föderation.

Marleen Stieler, Michael Heinrich Baumann, and Lars Grüne: Nichtkooperative linear-quadratische Spiele, ihre Beziehung zu Riccati-artigen Gleichungen und ein Lösungsansatz mittels Modellprädiktiver Regelung. - (Vortrag), Veranstaltung: Forschungszentrum Modellierung und Simulation (MODUS), 24.01.2018, Bayreuth.

Michael Heinrich Baumann: Beating the Market? : A Mathematical Puzzle to Market Efficiency. - (Vortrag), Veranstaltung: Graduiertenseminar der VWL-Lehrstühle der Universität Bayreuth, 11.-13.01.2018, Franken-Akademie Schloß Schney, Lichtenfels.

Michael Heinrich Baumann, Michaela Baumann, and Bernhard Herz: Exchange-traded Funds and Financial Stability. - (Vortrag), Veranstaltung: Summer School in Economics and Finance SSEF Canazei 2017, July 17-21, 2017, Alba di Canazei, Trento, Italy.

Michael Heinrich Baumann, Michaela Baumann, and Bernhard Herz: Exchange-traded Funds and Financial Stability. - (Vortrag), Veranstaltung: Graduiertenseminar der VWL-Lehrstühle der Universität Bayreuth, 13.-14. Juli 2017, Bayreuth.

Michael Heinrich Baumann: Regelungsbasierte Handelsstrategien auf verrauschten Märkten. - (Vortrag), Veranstaltung: Forschungszentrum für die Modellierung und Simulation (MODUS), 30. Mai 2016, Bayreuth.

Michael Heinrich Baumann: Regelungsbasierte Handelsstrategien auf verrauschten Märkten. - (Vortrag), Veranstaltung: Hanns Seidel Stiftung - Selbstgestaltete Tagung für Promovenden, 11.-13.11.2015, Bildungszentrum Kloster Banz.

Michael Heinrich Baumann: Simultaneously Long Short Trading Strategies When Price is Governed by Merton's Jump Diffusion Process. - (Vortrag), Veranstaltung: Prof. B. Ross Barmish's Skype Seminar, 15.09.2015, Via Skype among others in Bayreuth, Germany, and Madison, WI, USA.

Michael Heinrich Baumann: Linear Feedback Trading in an Interactive Market Model. - (Vortrag), Veranstaltung: Graduiertenseminar der VWL-Lehrstühle der Universität Bayreuth, 15.-17. Januar 2015, Muggendorf.

Master's, Magister, Diploma, or Admission thesis    ↑ top

Michael Heinrich Baumann: Portfolioverluste bei plötzlichen Kurssprüngen beim Hedgen von Optionen. - Bayreuth, 2014. 115 S.
(Masterarbeit, 2014, Universität Bayreuth, Fakultät für Mathematik, Physik und Informatik, Lehrstuhl Mathematik V)

Bachelor thesis    ↑ top

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

Preprint, postprint, working paper, discussion paper    ↑ top

Jonas Schießl, Ruchuan Ou, Timm Faulwasser, Michael Heinrich Baumann, and Lars Grüne: Near-optimal performance of stochastic economic MPC.. - Bayreuth, 2024-03. - 7 S.
doi:10.48550/arXiv.2403.15159

Ruchuan Ou, Jonas Schießl, Michael Heinrich Baumann, Lars Grüne, and Timm Faulwasser: A Polynomial Chaos Approach to Stochastic LQ Optimal Control: Error Bounds and Infinite-Horizon Results.. - Dortmund ; Bayreuth, 2023-11. -
doi:10.48550/arXiv.2311.17596

Jonas Schießl, Ruchuan Ou, Timm Faulwasser, Michael Heinrich Baumann, and Lars Grüne: Turnpike and dissipativity in generalized discrete-time stochastic linear-quadratic optimal control.. - Bayreuth, 2023-09. -
doi:10.48550/arXiv.2309.05422

Michael Heinrich Baumann: How Useful is Statistical Skewness of Financial Data in Decision Making?. - Bayreuth, 2023. - 18 S.
doi:10.15495/EPub_UBT_00006960

Parmenas Njoroge, Michael Heinrich Baumann, Michaela Baumann, and Dmitry Shevchenko: Stock Price Reactions to Publications of Financial Statements : Evidence from the Moscow Stock Exchange. - Bayreuth (Germany); Rostov-on-Don (Russian Federation), 2020. - 22 S.
doi:10.15495/EPub_UBT_00005137

Michael Heinrich Baumann: Das Geld liegt auf der Straße. - Bayreuth, 2020. - 3 S.
doi:10.15495/EPub_UBT_00005138

Michael Heinrich Baumann, Michaela Baumann, Lars Grüne, and Bernhard Herz: Improving Heterogeneous Agent Models by Avoiding Explicit Discretizations of Stiff Equations.. - Bayreuth, 2020-04-04. - 38 S.
doi:10.15495/EPub_UBT_00004718

Michael Heinrich Baumann, Michaela Baumann, Lars Grüne, and Bernhard Herz: Analyzing Heterogeneous Agents Models Avoiding the Explicit Discretization of Stiff Equations (Enlarged Abstract). - Bayreuth, 2019. - 8 S.
doi:10.15495/EPub_UBT_00004307

Doctoral thesis    ↑ top

Michael Heinrich Baumann:Performance and Effects of Linear Feedback Stock Trading Strategies. - Bayreuth: 2018. - 160 S.
(Dissertation, 2018, Universität Bayreuth, Fakultät für Mathematik, Physik und Informatik)

other    ↑ top

25th International Symposium on Mathematical Theory of Networks and Systems MTNS 2022. - Michael Heinrich Baumann, Lars Grüne, Birgit Jacob, and Karl Worthmann (Hrsg.). - IFAC-PapersOnLine, 55 (2022), 30, 516 S.

Michael Heinrich Baumann, and Lars Grüne: Simultaneously long short trading in discrete and continuous time - AudioSlides, 2017

Michaela Baumann, and Michael Heinrich Baumann: Der Mensch sagt „Nein“ und meint doch JA. Der Grund dafür kann vieles sein. Für das Programm ist alles klar: Ein JA heißt JA und NEIN heißt NEIN., 2015

Michael Heinrich Baumann: Regelungsbasierte Handelsstrategien in verrauschten Märkten -- Exposee zur Dissertation, 2014

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 55-3285
E-mail: michael.baumann@uni-bayreuth.de
Google Scholar: Google Scholar Dr. Baumann

Room: 3.2 01 530
Building: NW II