Matthias J. Feiler

Welcome to my website...! You will find a list of recent publications and research questions. These questions come from the areas of applied finance, dynamical systems and control theory. I would like to share them with you. Enjoy!

Research

I. Financial Market Dynamics: My interest is in building a mathematical model of some behavioral features of the price dynamics occurring far from equilibrium. The model treats trading as a form of social learning in which agents collectively search for the best performing asset. The decision to buy or sell is based on a) own research, b) imitation of others, and c) rejection of the majority. My latest paper proposes a way of linking linguistic, non-numeric information to prices.

II. Dynamic Asset Allocation: My interest is in creating models for identifying risk and return characteristics of financial assets in a time-varying environment. We use learning automata to predict the most likely transition in a Markov-chain model of the time-variation. Below is a recent paper presented by my colleague P. Kotyczka at the 2009 ECC in Budapest.

III. Constantly Rebalanced Portfolios: We are collecting empirical evidence for the applicability and characteristics of universal portfolios, developed by Th. Cover using an information theoretic approach. Check out a recent Semesterarbeit by Efe Aksüyek at ETH Zürich (> pdf) that I had the pleasure of supervising.

IV. Global analysis: Many concepts of linear control theory can be extended to the nonlinear domain provided one restricts oneself to a neighborhood of the equilibrium. But what happens beyond that neighborhood? The paper below addresses this question for the special case of a system defined on a compact boundaryless manifold.

Publications & Talks

• NEW A model of the financial news flow, Proc. of the 15th Yale Workshop on Adaptive and Learning Systems, Yale Univ., June 2011. > pdf

• Stability of financial networks, Guest Lecture at the University of Zurich, May 2010. > pdf

• Distributed search in an uncertain environment, Proc. of the 1st IFAC Workshop on Estimation and Control of Networked Systems, Venice, Italy, Sept 2009. > pdf

• Multiple Models applied to financial markets, first author: P. Kotyczka, Proc. Of the 2009 ECC, Budapest, August 2009.

• Global Nonlinear Control: A new geometric aspect, Proc. of the 2008 American Control Conference, Seattle WA, U.S.A., June 2008. > pdf

• Identification and Control Using Multiple Models, Proc. of the 14th Yale Workshop on Adaptive and Learning Systems, Yale Univ., June 2008. > pdf

• Control of Complex Systems Using Neural Networks, Modeling and Control of Complex Systems, A. Pitsillides ed. 2008.

• Simultaneous Identification and Control of Time-varying systems, Proc. of the 45th Control and Decision Conference, San Diego CA, U.S.A., Dec. 2006. > pdf

• Learning in a Time-Varying Environment, Seminar Talk at Microsoft Research, Cambridge U.K., March 2006.

• Adaptive Control of Rapidly Time-Varying Systems, Tutorial Talk at the 2005 American Control Conference (with K.S. Narendra, R. Shorten), Portland OR, U.S.A, June 2005.

• Intelligent Motion Control. In: Proc. of the International Power Electronic Conference, Niigata, Japan, 2005.

• Adaptive Control in the Presence of Disturbances. Doctoral Thesis, TU Munich, Germany, Sept. 2004. > pdf

• Simultaneous Identification and Control of Linear Time–Varying Plants using Multiple Models. Technical Report No. 0401, Center for Systems Science, Yale University, New Haven, CT, USA, March 2004.

• Adaptive Control Using Multiple Models, Switching and Tuning. International Journal of Adaptive Control and Signal Processing, vol. 17, pp.87-102, 2003. > pdf

• Adaptive Control of Rapidly Time-Varying Systems. In: Proceedings of the 12th Yale Workshop on Adaptive and Learning Systems, p. 33-42, Yale University, New Haven, CT, USA, 2003.

• Adaptive Regelung mit Modellen reduzierter Ordnung. In: GMA-Workshop 2003 Neuere Verfahren der Regelungstechnik, CH- Interlaken, VDIVerlag, 2003.

• Adaptive Speed Control of a Two–Mass System. In: Proceedings of the 2003 IEEE International Conference on Control Applications p. 1112-1117, Istanbul, Turkey, 2003.

• Adaptive Control in the Presence of Disturbances. Technical Report No. 0101, Center for Systems Science, Yale University, New Haven, CT, USA, January 2001.

Teaching

In 2006 and 2007, I have been involved in the preparation (mainly of the accompanying exercise sessions) of two courses at ETH Zurich: Systems, Dynamics and Complexity (introductory course on systems theory with applications in the management sciences) and Complex Adaptive Systems (advanced-level course on nonlinear phenomena and self-organization).

From 2004-2005, I developed and taught a two-semester course on nonlinear systems theory at TU Munich:

• Nonlinear Systems I: Dynamical Systems, Lyapunov Stability, and (some) chaos theory. > Lecture Notes (pdf)

• Nonlinear Systems II: Differential geometric methods in control theory. > Lecture Notes (pdf)

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