Genetic Algorithms In Economics And Finance

Author : Shu-Heng Chen
Publisher : Springer Science & Business Media
Page : 491 pages
File Size : 49,8 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9781461508359

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Genetic Algorithms and Genetic Programming in Computational Finance by Shu-Heng Chen Pdf

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.

Author : Adrian E. Drake,Robert E. Marks
Publisher : Unknown
Page : 32 pages
File Size : 55,8 Mb
Release : 1998
Category : Genetic algorithms
ISBN : 1862743347

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Genetic Algorithms in Economics and Finance by Adrian E. Drake,Robert E. Marks Pdf

Author : Shu-Heng Chen
Publisher : Physica
Page : 459 pages
File Size : 45,5 Mb
Release : 2013-11-11
Category : Computers
ISBN : 9783790817843

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Evolutionary Computation in Economics and Finance by Shu-Heng Chen Pdf

After a decade's development, evolutionary computation (EC) proves to be a powerful tool kit for economic analysis. While the demand for this equipment is increasing, there is no volume exclusively written for economists. This volume for the first time helps economists to get a quick grasp on how EC may support their research. A comprehensive coverage of the subject is given, that includes the following three areas: game theory, agent-based economic modelling and financial engineering. Twenty leading scholars from each of these areas contribute a chapter to the volume. The reader will find himself treading the path of the history of this research area, from the fledgling stage to the burgeoning era. The results on games, labour markets, pollution control, institution and productivity, financial markets, trading systems design and derivative pricing, are new and interesting for different target groups. The book also includes informations on web sites, conferences, and computer software.

Author : Richard J. Bauer
Publisher : John Wiley & Sons
Page : 324 pages
File Size : 44,8 Mb
Release : 1994-03-31
Category : Business & Economics
ISBN : 0471576794

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Genetic Algorithms and Investment Strategies by Richard J. Bauer Pdf

When you combine nature's efficiency and the computer's speed, thefinancial possibilities are almost limitless. Today's traders andinvestment analysts require faster, sleeker weaponry in today'sruthless financial marketplace. Battles are now waged at computerspeed, with skirmishes lasting not days or weeks, but mere hours.In his series of influential articles, Richard Bauer has shown whythese professionals must add new computerized decision-making toolsto their arsenal if they are to succeed. In Genetic Algorithms andInvestment Strategies, he uniquely focuses on the most powerfulweapon of all, revealing how the speed, power, and flexibility ofGAs can help them consistently devise winning investmentstrategies. The only book to demonstrate how GAs can workeffectively in the world of finance, it first describes thebiological and historical bases of GAs as well as othercomputerized approaches such as neural networks and chaos theory.It goes on to compare their uses, advantages, and overallsuperiority of GAs. In subsequently presenting a basic optimizationproblem, Genetic Algorithms and Investment Strategies outlines theessential steps involved in using a GA and shows how it mimicsnature's evolutionary process by moving quickly toward anear-optimal solution. Introduced to advanced variations ofessential GA procedures, readers soon learn how GAs can be usedto: * Solve large, complex problems and smaller sets of problems * Serve the needs of traders with widely different investmentphilosophies * Develop sound market timing trading rules in the stock and bondmarkets * Select profitable individual stocks and bonds * Devise powerful portfolio management systems Complete with information on relevant software programs, a glossaryof GA terminology, and an extensive bibliography coveringcomputerized approaches and market timing, Genetic Algorithms andInvestment Strategies unveils in clear, nontechnical language aremarkably efficient strategic decision-making process that, whenimaginatively used, enables traders and investment analysts to reapsignificant financial rewards.

Author : Yaser S. Abu-Mostafa
Publisher : MIT Press
Page : 744 pages
File Size : 43,8 Mb
Release : 2000
Category : Business & Economics
ISBN : 026251107X

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Computational Finance 1999 by Yaser S. Abu-Mostafa Pdf

This book covers the techniques of data mining, knowledge discovery, genetic algorithms, neural networks, bootstrapping, machine learning, and Monte Carlo simulation. Computational finance, an exciting new cross-disciplinary research area, draws extensively on the tools and techniques of computer science, statistics, information systems, and financial economics. This book covers the techniques of data mining, knowledge discovery, genetic algorithms, neural networks, bootstrapping, machine learning, and Monte Carlo simulation. These methods are applied to a wide range of problems in finance, including risk management, asset allocation, style analysis, dynamic trading and hedging, forecasting, and option pricing. The book is based on the sixth annual international conference Computational Finance 1999, held at New York University's Stern School of Business.

Author : Anthony Brabazon,Michael O'Neill
Publisher : Springer Science & Business Media
Page : 276 pages
File Size : 43,7 Mb
Release : 2006-03-28
Category : Computers
ISBN : 9783540313076

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Biologically Inspired Algorithms for Financial Modelling by Anthony Brabazon,Michael O'Neill Pdf

Predicting the future for financial gain is a difficult, sometimes profitable activity. The focus of this book is the application of biologically inspired algorithms (BIAs) to financial modelling. In a detailed introduction, the authors explain computer trading on financial markets and the difficulties faced in financial market modelling. Then Part I provides a thorough guide to the various bioinspired methodologies – neural networks, evolutionary computing (particularly genetic algorithms and grammatical evolution), particle swarm and ant colony optimization, and immune systems. Part II brings the reader through the development of market trading systems. Finally, Part III examines real-world case studies where BIA methodologies are employed to construct trading systems in equity and foreign exchange markets, and for the prediction of corporate bond ratings and corporate failures. The book was written for those in the finance community who want to apply BIAs in financial modelling, and for computer scientists who want an introduction to this growing application domain.

Author : Paul P. Wang,Tzu-Wen Kuo
Publisher : Springer Science & Business Media
Page : 232 pages
File Size : 48,5 Mb
Release : 2007-07-11
Category : Computers
ISBN : 9783540728214

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Computational Intelligence in Economics and Finance by Paul P. Wang,Tzu-Wen Kuo Pdf

Readers will find, in this highly relevant and groundbreaking book, research ranging from applications in financial markets and business administration to various economics problems. Not only are empirical studies utilizing various CI algorithms presented, but so also are theoretical models based on computational methods. In addition to direct applications of computational intelligence, readers can also observe how these methods are combined with conventional analytical methods such as statistical and econometric models to yield preferred results.

Author : Paul D. McNelis
Publisher : Academic Press
Page : 262 pages
File Size : 53,6 Mb
Release : 2005-01-05
Category : Business & Economics
ISBN : 9780124859678

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Neural Networks in Finance by Paul D. McNelis Pdf

This book explores the intuitive appeal of neural networks and the genetic algorithm in finance. It demonstrates how neural networks used in combination with evolutionary computation outperform classical econometric methods for accuracy in forecasting, classification and dimensionality reduction. McNelis utilizes a variety of examples, from forecasting automobile production and corporate bond spread, to inflation and deflation processes in Hong Kong and Japan, to credit card default in Germany to bank failures in Texas, to cap-floor volatilities in New York and Hong Kong. * Offers a balanced, critical review of the neural network methods and genetic algorithms used in finance * Includes numerous examples and applications * Numerical illustrations use MATLAB code and the book is accompanied by a website

Author : Hitoshi Iba,Claus C. Aranha
Publisher : Springer Science & Business Media
Page : 253 pages
File Size : 51,7 Mb
Release : 2012-02-15
Category : Technology & Engineering
ISBN : 9783642276484

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Practical Applications of Evolutionary Computation to Financial Engineering by Hitoshi Iba,Claus C. Aranha Pdf

“Practical Applications of Evolutionary Computation to Financial Engineering” presents the state of the art techniques in Financial Engineering using recent results in Machine Learning and Evolutionary Computation. This book bridges the gap between academics in computer science and traders and explains the basic ideas of the proposed systems and the financial problems in ways that can be understood by readers without previous knowledge on either of the fields. To cement the ideas discussed in the book, software packages are offered that implement the systems described within. The book is structured so that each chapter can be read independently from the others. Chapters 1 and 2 describe evolutionary computation. The third chapter is an introduction to financial engineering problems for readers who are unfamiliar with this area. The following chapters each deal, in turn, with a different problem in the financial engineering field describing each problem in detail and focusing on solutions based on evolutionary computation. Finally, the two appendixes describe software packages that implement the solutions discussed in this book, including installation manuals and parameter explanations.

Author : Carlos A. Coello Coello,David A. Van Veldhuizen,Gary B. Lamont
Publisher : Springer Science & Business Media
Page : 616 pages
File Size : 46,5 Mb
Release : 2002
Category : Business & Economics
ISBN : 0306467623

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Evolutionary Algorithms for Solving Multi-Objective Problems by Carlos A. Coello Coello,David A. Van Veldhuizen,Gary B. Lamont Pdf

The solving of multi-objective problems (MOPs) has been a continuing effort by humans in many diverse areas, including computer science, engineering, economics, finance, industry, physics, chemistry, and ecology, among others. Many powerful and deterministic and stochastic techniques for solving these large dimensional optimization problems have risen out of operations research, decision science, engineering, computer science and other related disciplines. The explosion in computing power continues to arouse extraordinary interest in stochastic search algorithms that require high computational speed and very large memories. A generic stochastic approach is that of evolutionary algorithms (EA). Such algorithms have been demonstrated to be very powerful and generally applicable for solving different single objective problems. Their fundamental algorithmic structures can also be applied to solving many multi-objective problems. In this book, the various features of multi-objective evolutionary algorithms (MOEAs) are presented in an innovative and unique fashion, with detailed customized forms suggested for a variety of applications. Also, extensive MOEA discussion questions and possible research directions are presented at the end of each chapter. For additional information and supplementary teaching materials, please visit the authors' website at http://www.cs.cinvestav.mx/~EVOCINV/bookinfo.html.

Author : João Baúto,Rui Neves,Nuno Horta
Publisher : Springer
Page : 91 pages
File Size : 46,5 Mb
Release : 2018-02-03
Category : Technology & Engineering
ISBN : 9783319733296

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Parallel Genetic Algorithms for Financial Pattern Discovery Using GPUs by João Baúto,Rui Neves,Nuno Horta Pdf

This Brief presents a study of SAX/GA, an algorithm to optimize market trading strategies, to understand how the sequential implementation of SAX/GA and genetic operators work to optimize possible solutions. This study is later used as the baseline for the development of parallel techniques capable of exploring the identified points of parallelism that simply focus on accelerating the heavy duty fitness function to a full GPU accelerated GA.

Author : Thomas Riechmann
Publisher : Springer Science & Business Media
Page : 185 pages
File Size : 45,9 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642576126

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Learning in Economics by Thomas Riechmann Pdf

It took me over five years to write this book. Finishing my research project and thus finishing this book would not have been possible without the help of many friends of mine. Thus, the first thing to do is to say 'Thanks a lot' . This means at first place the Evangelisches Studienwerk Haus Villigst. They gave me a grant for my work, thus laying the important financial grounds of everything I've done. There is such a large number of friends I worked and lived with over the last few years that I cannot possibly mention them all by name, but I'll try, anyway: So, thanks Christiane, Gilbert, Maik, Karl, and everybody else feeling that his or her name should appear in this list. And, of course, thanks Franz Haslinger, for letting me do whatever I wanted to - and for even encouraging me to stick with it. One more thing I'd like to mention: Although this work is based on very heavy use of computer power, it is my special pride to say that not a single penny (i.e. Deutschmark) had to be spent for software in order to do this work. Instead, all that has been done has been done by free software. Thus, I would like to mention some of my most heavily used software tools in order to let you, the reader, know that nowadays you don't depend on big commercial software packages any more.

Author : Herbert Dawid
Publisher : Springer Science & Business Media
Page : 173 pages
File Size : 44,8 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783662002117

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Adaptive Learning by Genetic Algorithms by Herbert Dawid Pdf

An analysis of the learning behavior of genetic algorithms in economic systems with mutual interaction, such as markets. These systems are characterized by a state-dependent fitness function and - for the first time - mathematical results characterizing the long-term outcome of genetic learning in such systems are provided. The usefulness of such results is illustrated by many simulations in evolutionary games and economic models.

Author : Antonio Gorgulho,Rui F.M.F. Neves,Nuno Horta
Publisher : Springer Science & Business Media
Page : 85 pages
File Size : 53,9 Mb
Release : 2012-09-27
Category : Business & Economics
ISBN : 9783642329883

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Intelligent Financial Portfolio Composition based on Evolutionary Computation Strategies by Antonio Gorgulho,Rui F.M.F. Neves,Nuno Horta Pdf

The management of financial portfolios or funds constitutes a widely known problematic in financial markets which normally requires a rigorous analysis in order to select the most profitable assets. This subject is becoming popular among computer scientists which try to adapt known Intelligent Computation techniques to the market’s domain. This book proposes a potential system based on Genetic Algorithms, which aims to manage a financial portfolio by using technical analysis indicators. The results are promising since the approach clearly outperforms the remaining approaches during the recent market crash.

Author : S. H. Chen
Publisher : Unknown
Page : 128 pages
File Size : 42,5 Mb
Release : 2000
Category : Electronic
ISBN : OCLC:247045475

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Evolutionary Computation in Economics and Finance by S. H. Chen Pdf