Natural Computing in Computational Finance

by Brabazon, Anthony; O'Neill, Michael; Maringer, Dietmar G.

• ISBN13: 9783642139499
• ISBN10: 3642139493
• Format: Hardcover
• Copyright: 2010-07-29
• Publisher: Springer-Verlag New York Inc

Summary

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-basedmethodologies 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 computationalfinance 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.

Table of Contents

Natural Computing in Computational Finance (Volume 3): Introduction	p. 1
Financial and Agent-Based Models
Robust Regression with Optimisation Heuristics	p. 9
Evolutionary Estimation of a Coupled Markov Chain Credit Risk Model	p. 31
Evolutionary Computation and Trade Execution	p. 45
Agent-Based Co-operative Co-evolutionary Algorithms for Multi-objective Portfolio Optimization	p. 63
Inferring Trader's Behavior from Prices	p. 85
Dynamic Strategies and Algorithmic Trading
Index Mutual Fund Replication	p. 109
Frequent Knowledge Patterns in Evolutionary Decision Support Systems for Financial Time Series Analysis	p. 131
Modeling Turning Points in Financial Markets with Soft Computing Techniques	p. 147
Evolutionary Money Management	p. 169
Interday and Intraday Stock Trading Using Probabilistic Adaptive Mapping Developmental Genetic Programming and Linear Genetic Programming	p. 191
Index	p. 213
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