Genetic Algorithms and Genetic Programming in Computational Finance

by Chen, Shu-Heng; International Conference of the Society for Computational Economics on

• ISBN13: 9780792376019
• ISBN10: 0792376013
• Format: Hardcover
• Copyright: 2002-07-01
• Publisher: Kluwer Academic Pub

Summary

After a decade of development, genetic algorithms and genetic programming have become a widely accepted toolkit for computational finance. Genetic Algorithms and Genetic Programming in Computational Finance is a pioneering volume devoted entirely to a systematic and comprehensive review of this subject. Chapters cover various areas of computational finance, including financial forecasting, trading strategies development, cash flow management, option pricing, portfolio management, volatility modeling, arbitraging, and agent-based simulations of artificial stock markets. Two tutorial chapters are also included to help readers quickly grasp the essence of these tools. Finally, a menu-driven software program, Simple GP, accompanies the volume, which will enable readers without a strong programming background to gain hands-on experience in dealing with much of the technical material introduced in this work.

Table of Contents

List of Figures	ix
List of Tables	xv
Preface	xix
An Overview	1	(28)
Shu-Heng Chen
Part I Introduction
Genetic Algorithms in Economics and Finance	29	(26)
Adrian E. Drake
Robert E. Marks
Genetic Programming: A Tutorial	55	(26)
Shu-Heng Chen
Tzu-Wen Kuo
Yuh-Pyng Shieh
Part II Forecasting
GP and the Predictive Power of Internet Message Traffic	81	(22)
James D. Thomas
Katia Sycara
Genetic Programming of Polynomial Models for Financial Forecasting	103	(22)
Nikolay Y. Nikolaev
Hitoshi Iba
NXCS: Hybrid Approach to Stock Indexes Forecasting	125	(36)
Giuliano Armano
Michele Marchesi
Andrea Murru
Part III Trading
EDDIE for Financial Forecasting	161	(14)
Edward P. K. Tsang
Jim Li
Forecasting Market Indices Using Evolutionary Automatic Programming	175	(22)
Michael O'Neill
Anthony Brabazon
Conor Ryan
Genetic Fuzzy Expert Trading System for NASDAQ Stock Market Timing	197	(24)
Sze Sing Lam
Kai Pui Lam
Hoi Shing Ng
Part IV Miscellaneous Applications Domains
Portfolio Selection and Management	221	(18)
Juan G. L. Lazo
Marco A. C. Pacheco
Marley M. R. Vedlasco
Intelligent Cash Flow: Planning and Optimization Using GA	239	(10)
M. A. C. Pacheco
M. M. R. Veldasco
M. F. de Noronha
C. H. P. Lopes
The Self-Evolving Logic of Financial Claim Prices	249	(14)
Thomas H. Noe
Jun Wang
Using GP to Predict Exchange Rate Volatility	263	(1)
Christopher J. Neely
Paul A. Weller
EDDIE for Stock Index Options and Futures Arbitrage	263	(48)
Sheri Markose
Edward Tsang
Hakan Er
Part V Agent-Based Computational Finance
A Model of Boundedly Rational Consumer Choice	311	(1)
Thomas Riechmann
Price Discovery in Agent-Based Computational Modeling of the Artificial Stock Market	311	(46)
Shu-Heng Chen
Chung-Chih Liao
Individual Rationality as a Partial Impediment to Market Efficiency	357	(22)
Shu-Heng Chen
Chung-Ching Tai
Bin-Tzong Chie
A Numerical Study on the Evolution of Portfolio Rules	379	(18)
Guido Caldarelli
Marina Piccioni
Emanuela Sciubba
Adaptive Portfolio Managers in Stock Markets	397	(24)
Kwok Yip Szeto
Learning and Convergence to Pareto Optimality	421	(22)
Chris R. Birchenhall
Jie-Shin Lin
Part VI Retrospect and Prospect
The New Evolutionary Computational Paradigm	443	(42)
Sheri M. Markose
Index	485