Natural Computing in Computational Finance, Volume 2

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Anthony Brabazon, Michael O'Neill
Springer Science & Business Media, Mar 13, 2009 - Business & Economics - 250 pages
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Recent years have seen the widespread application of Natural Computing algorithms (broadly defined in this context as computer algorithms whose design draws inspiration from phenomena in the natural world) for the purposes of financial modelling and optimisation. A related stream of work has also seen the application of learning mechanisms drawn from Natural Computing algorithms for the purposes of agent-based modelling in finance and economics. In this book we have collected a series of chapters which illustrate these two faces of Natural Computing. The first part of the book illustrates how algorithms inspired by the natural world can be used as problem solvers to uncover and optimise financial models. The second part of the book examines a number agent-based simulations of financial systems.

This book follows on from Natural Computing in Computational Finance (Volume 100 in Springer’s Studies in Computational Intelligence series) which in turn arose from the success of EvoFIN 2007, the very first European Workshop on Evolutionary Computation in Finance & Economics held in Valencia, Spain in April 2007.

 

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Contents

Natural Computing in Computational Finance Volume 2 Introduction
1
Financial Modelling
6
Statistical Arbitrage with Genetic Programming
9
Finding Relevant Variables in a Financial Distress Prediction Problem Using Genetic Programming and Selforganizing Maps
30
Ant Colony Optimization for Option Pricing
51
A NeuroEvolutionary Approach for Interest Rate Modelling
74
Whos Smart and Whos Lucky? Inferring Trading Strategy Learning and Adaptation in Financial Markets through Data Mining
95
AgentBased Modelling
115
Financial Bubbles A Learning Effect Modelling Approach
116
Evolutionary Computation and Artificial Financial Markets
137
Classical and AgentBased Evolutionary Algorithms for Investment Strategies Generation
180
Income Distribution and Lottery Expenditures in Taiwan An Analysis Based on AgentBased Simulation
207
The Emergence of a Market What Efforts Can Entrepreneurs Make?
224
Index
245
Author Index
248
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