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The Resource Natural computing in computational finance, Anthony Brabazon, Michael O'Neill (eds.)

Natural computing in computational finance, Anthony Brabazon, Michael O'Neill (eds.)

Label
Natural computing in computational finance
Title
Natural computing in computational finance
Statement of responsibility
Anthony Brabazon, Michael O'Neill (eds.)
Contributor
Subject
Language
eng
Member of
Cataloging source
MTG
Dewey number
332.0285
Illustrations
illustrations
Index
index present
LC call number
QA76.9.N37
LC item number
N38 2008
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorDate
1975-
http://library.link/vocab/relatedWorkOrContributorName
  • Brabazon, Anthony
  • O'Neill, Michael
Series statement
Studies in computational intelligence,
Series volume
v. 100
http://library.link/vocab/subjectName
  • Natural computation
  • Financial engineering
  • Finance
  • Computer algorithms
  • Adaptive computing systems
  • Machine learning
Summary expansion
Natural Computing in Computational Finance is a innovative volume containing fifteen chapters which illustrate cutting-edge applications of natural computing or agent-based modeling in modern computational finance. Following an introductory chapter the book is organized into three sections. The first section deals with optimization applications of natural computing demonstrating the application of a broad range of algorithms including, genetic algorithms, differential evolution, evolution strategies, quantum-inspired evolutionary algorithms and bacterial foraging algorithms to multiple financial applications including portfolio optimization, fund allocation and asset pricing. The second section explores the use of natural computing methodologies such as genetic programming, neural network hybrids and fuzzy-evolutionary hybrids for model induction in order to construct market trading, credit scoring and market prediction systems. The final section illustrates a range of agent-based applications including the modeling of payment card and financial markets. Each chapter provides an introduction to the relevant natural computing methodology as well as providing a clear description of the financial application addressed. The book was written to be accessible to a wide audience and should be of interest to practitioners, academics and students, in the fields of both natural computing and finance
Label
Natural computing in computational finance, Anthony Brabazon, Michael O'Neill (eds.)
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Constrained index tracking under loss aversion using differential evolution / Dietmar Maringer -- An evolutionary approach to asset allocation in defined contribution pension schemes / Kerem Senel, A. Bulent Pamukcu, Serhat Yanik -- Evolutionary strategies for building risk-optimal portfolios / Piotr Lipinski -- Evolutionary stochastic portfolio optimization / Ronald Hochreiter -- Non-linear principal component analysis of the implied volatility smile using a quantum-inspired evolutionary algorithm / Kai Fan ... [et al.] -- Estimation of an EGARCH volatility option pricing model using a bacteria foraging optimisation algorithm / Jing Dang ... [et al.] -- Fuzzy-evolutionary modeling for single-position day trading / Célia da Costa Pereira, Andrea G.B. Tettamanzi -- Strong typing, variable reduction and bloat control for solving the bankruptcy prediction problem using genetic programming / Eva Alfaro-Cid ... [et al.] -- Using Kalman-filtered radial basis function networks for index arbitrage in the financial markets / David Edelman -- On predictability and profitability : would GP induced trading rules be sensitive to the observed entropy of time series? / Nicolas Navet, Shu-Heng Chen -- Hybrid neural systems in exchange rate prediction / Andrzej Bielecki, Pawel Hajto, Robert Schaefer -- Evolutionary learning of the optimal pricing strategy in an artificial payment card market / Biliana Alexandrovna-Kabadjova, Edward Tsang, Andreas Krause -- Can trend followers survive in the long-run? Insights from agent-based modeling / Xue-Zhong He, Philip Hamill, Youwei Li -- Co-evolutionary multi-agent system for portfolio optimization / Rafał Dreżewski, Leszek Siwik
Control code
277562275
Dimensions
24 cm
Extent
x, 303 pages
Isbn
9783540774761
Lccn
2008922057
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)277562275
Label
Natural computing in computational finance, Anthony Brabazon, Michael O'Neill (eds.)
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Constrained index tracking under loss aversion using differential evolution / Dietmar Maringer -- An evolutionary approach to asset allocation in defined contribution pension schemes / Kerem Senel, A. Bulent Pamukcu, Serhat Yanik -- Evolutionary strategies for building risk-optimal portfolios / Piotr Lipinski -- Evolutionary stochastic portfolio optimization / Ronald Hochreiter -- Non-linear principal component analysis of the implied volatility smile using a quantum-inspired evolutionary algorithm / Kai Fan ... [et al.] -- Estimation of an EGARCH volatility option pricing model using a bacteria foraging optimisation algorithm / Jing Dang ... [et al.] -- Fuzzy-evolutionary modeling for single-position day trading / Célia da Costa Pereira, Andrea G.B. Tettamanzi -- Strong typing, variable reduction and bloat control for solving the bankruptcy prediction problem using genetic programming / Eva Alfaro-Cid ... [et al.] -- Using Kalman-filtered radial basis function networks for index arbitrage in the financial markets / David Edelman -- On predictability and profitability : would GP induced trading rules be sensitive to the observed entropy of time series? / Nicolas Navet, Shu-Heng Chen -- Hybrid neural systems in exchange rate prediction / Andrzej Bielecki, Pawel Hajto, Robert Schaefer -- Evolutionary learning of the optimal pricing strategy in an artificial payment card market / Biliana Alexandrovna-Kabadjova, Edward Tsang, Andreas Krause -- Can trend followers survive in the long-run? Insights from agent-based modeling / Xue-Zhong He, Philip Hamill, Youwei Li -- Co-evolutionary multi-agent system for portfolio optimization / Rafał Dreżewski, Leszek Siwik
Control code
277562275
Dimensions
24 cm
Extent
x, 303 pages
Isbn
9783540774761
Lccn
2008922057
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)277562275

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