Hans-Jörg Von Mettenheim

Full Professor of Quantitative Finance and Risk Management

Contact

Email: hj.von-mettenheim@ipag.fr

Phone: +33 1 5363 3600

Campus: Paris

Hans-Jörg_Von_Mettenheim

Education

2013: Successful evaluation of professorship

2009: Dr. rer. pol. (equivalent PhD) (Dissertation Advanced Neural Networks: Finance, Forecast, and Other Applications)

2008: Dr. rer. pol. (equivalent PhD) (Dissertation Advanced Neural Networks: Finance, Forecast, and Other Applications, grade summa cum laude)

2003: Diploma (equivalent MBA) in Economies (Thesis: Development of Coarse Grained Parallelization for the Neurosimulator FAUN 1.0 and Applications to Exchange Rate Forecasting)

  • Biography
  • Selected publications
  • Professional experiences

Hans-Jörg Henri von Mettenheim is a Professor and Director of the Chair for Quantitative Finance and Risk Management at IPAG Business School, Paris. He holds a Ph.D in economics (summa cum laude) from the Leibniz University of Hanover, Germany. He has published in peer-reviewed journals and leading information systems conferences on topics as diverse as quantitative trading strategies, time series forecasting and modeling, artificial intelligence, especially artificial neural networks, and energy economics. He is an associate editor with the Journal of Forecasting, and secretary general and founding member of the Forecasting Financial Markets Association.

Dress, K., Lessmann, S., & von Mettenheim, H. J. (2018). Residual value forecasting using asymmetric cost functions. International Journal of Forecasting, 34(4), 551-565.

Government Bond Yield Spreads in the Eurozone - Empirical Evidence from Better Days, to appear in Quantitative Finance, 2018 (with Tobias Basse, Christoph Wegener, Frederik Kunze).

Liu, F., Pantelous, A. A., & von Mettenheim, H. J. (2018). Forecasting and trading high frequency volatility on large indices. Quantitative Finance, 18(5), 737-748.

Gleue, C., Eilers, D., von Mettenheim, H. J., & Breitner, M. H. (2017). Decision support for the automotive industry: forecasting residual values using artificial neural networks.

Wegener, C., Basse, T., Kunze, F., & von Mettenheim, H. J. (2016). Oil prices and sovereign credit risk of oil producing countries: an empirical investigation. Quantitative Finance, 16(12), 1961-1968.

Wegener, C., von Spreckelsen, C., Basse, T., & von Mettenheim, H. J. (2016). Forecasting government bond yields with neural networks considering cointegration. Journal of Forecasting, 35(1), 86-92.

Von Spreckelsen, C., Von Mettenheim, H. J., & Breitner, M. H. (2014). Steps towards a high-frequency financial decision support system to pricing options on currency futures with neural networks. International Journal of Applied Decision Sciences, 7(3), 223-238.

von Spreckelsen, C., von Mettenheim, H. J., & Breitner, M. H. (2014). Real‐time pricing and hedging of options on currency futures with artificial neural networks. Journal of Forecasting, 33(6), 419-432.

Eilers, D., Dunis, C. L., von Mettenheim, H. J., & Breitner, M. H. (2014). Intelligent trading of seasonal effects: A decision support algorithm based on reinforcement learning. Decision support systems, 64, 100-108.

Köpp, C., von Mettenheim, H. J., & Breitner, M. H. (2014). Decision analytics with heatmap visualization for multi-step ensemble data. Business & Information Systems Engineering, 6(3), 131-140.

2010-2016: Professor for Decision Support Systems, School of Economies (Leibniz University of Hanover)

2013-2014: Administrator of Full Professorships for Macroeconomies, financial markets and Full Professorship of Banking and finance (Leibniz University of Hanover)

Research Areas

Forecasting Financial Markets, Risk Management, Financial Technologies

 

Teaching Areas

Asset Management, Financial Risk Management, Financial Management