Natural Computing in Computational Finance: Volume 3

Overview

The series Studies in Computational Intelligence (SCI) publishes new developments and advances in the various areas of computational intelligence - quickly and with a high quality. The intent is to cover the theory, applications, and design methods of computational intelligence, as embedded in the fields of engineering, computer science, physics and life science, as well as the methodologies behind them. The series contains monographs, lecture notes and edited volumes in computational intelligence spanning the ...

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Overview

The series Studies in Computational Intelligence (SCI) publishes new developments and advances in the various areas of computational intelligence - quickly and with a high quality. The intent is to cover the theory, applications, and design methods of computational intelligence, as embedded in the fields of engineering, computer science, physics and life science, as well as the methodologies behind them. The series contains monographs, lecture notes and edited volumes in computational intelligence spanning the areas of neural networks, connectionist systems, genetic algorithms, evolutionary computation, artificial intelligence, cellular automata, self-organizing systems, soft computing, fuzzy systems and hybrid intelligent systems. Critical to both contributors and readers are the short publication time and world-wide distribution - this permits a rapid and broad dissemination of research results.

This book consists of eleven chapters each of which was selected following a rigorous, peer-reviewed, selection process. The chapters illustrate the application of a range of cutting-edge natural computing and agent-based methodologies in computational finance and economics. While describing cutting edge applications, the chapters are written so that they are accessible to a wide audience. Hence, they should be of interest to academics, students and practitioners in the fields of computational finance and economics. The inspiration for this book was due in part to the success of EvoFIN 2009, the 3rd European Workshop on Evolutionary Computation in Finance and Economics. This book follows on from Natural Computing in Computational Finance Volumes I and II.

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Product Details

  • ISBN-13: 9783642139499
  • Publisher: Springer Berlin Heidelberg
  • Publication date: 6/8/2010
  • Series: Studies in Computational Intelligence Series , #293
  • Edition description: 2010
  • Edition number: 1
  • Pages: 241
  • Product dimensions: 6.20 (w) x 9.20 (h) x 0.70 (d)

Table of Contents

1 Natural Computing in Computational Finance (Volume 3): Introduction Anthony Brabazon Michael O'Neill Dietmar Maringer 1

Part I Financial and Agent-Based Models

2 Robust Regression with Optimisation Heuristics Manfred Gilli Enrico Schumann 9

3 Evolutionary Estimation of a Coupled Markov Chain Credit Risk Model Ronald Hochreiter David Wozabal 31

4 Evolutionary Computation and Trade Execution Wei Cui Anthony Brabazon Michael O'Neill 45

5 Agent-Based Co-operative Co-evolutionary Algorithms for Multi-objective Portfolio Optimization Rafat Drezewski Krystian Obrocki Leszek Siwik 63

6 Inferring Trader's Behavior from Prices Louis Charbonneau Nawwaf Kharma 85

Part II Dynamic Strategies and Algorithmic Trading

7 Index Mutual Fund Replication Jin Zhang Dietmar Maringer 109

8 Frequent Knowledge Patterns in Evolutionary Decision Support Systems for Financial Time Series Analysis Piotr Lipinski 131

9 Modeling Turning Points in Financial Markets with Soft Computing Techniques Antonia Azzini CĂ©lia da Costa Pereira Andrea G.B. Tettamanzi 147

10 Evolutionary Money Management Philip Saks Dietmar Maringer 169

11 Interday and Intraday Stock Trading Using Probabilistic Adaptive Mapping Developmental Genetic Programming and Linear Genetic Programming Garnett Wilson Wolfgang Banzhaf 191

Index 213

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