Natural Computing in Computational Finance 2008

Anthony Brabazon, Michael O'Neill (Eds.): Natural Computing in Computational Finance. Studies in Computational Intelligence Vol. 100 Springer 2008, ISBN 978-3-540-77476-1

Anthony Brabazon, Michael O'Neill:
Natural Computing in Computational Finance: An Introduction. 1-4

Optimisation

Dietmar G. Maringer:
Constrained Index Tracking under Loss Aversion Using Differential Evolution. 7-24
Kerem Senel, A. Bulent Pamukcu, Serhat Yanik:
An Evolutionary Approach to Asset Allocation in Defined Contribution Pension Schemes. 25-51
Piotr Lipinski:
Evolutionary Strategies for Building Risk-Optimal Portfolios. 53-65
Ronald Hochreiter:
Evolutionary Stochastic Portfolio Optimization. 67-87
Kai Fan, Conall O'Sullivan, Anthony Brabazon, Michael O'Neill:
Non-linear Principal Component Analysis of the Implied Volatility Smile using a Quantum-inspired Evolutionary Algorithm. 89-107
Jing Dang, Anthony Brabazon, Michael O'Neill, David Edelman:
Estimation of an EGARCHVolatility Option Pricing Model using a Bacteria Foraging Optimisation Algorithm. 109-127

Célia da Costa Pereira, Andrea Tettamanzi:
Fuzzy-Evolutionary Modeling for Single-Position Day Trading. 131-159
Eva Alfaro-Cid, Alberto Cuesta-Cañada, Ken Sharman, Anna Esparcia-Alcázar:
Strong Typing, Variable Reduction and Bloat Control for Solving the Bankruptcy Prediction Problem Using Genetic Programming. 161-185
David Edelman:
Using Kalman-filtered Radial Basis Function Networks for Index Arbitrage in the Financial Markets. 187-195
Nicolas Navet, Shu-Heng Chen:
On Predictability and Profitability: Would GP Induced Trading Rules be Sensitive to the Observed Entropy of Time Series? 197-210
Andrzej Bielecki, Pawel Hajto, Robert Schaefer:
Hybrid Neural Systems in Exchange Rate Prediction. 211-230

Biliana Alexandrova-Kabadjova, Edward P. K. Tsang, Andreas Krause:
Evolutionary Learning of the Optimal Pricing Strategy in an Artificial Payment Card Market. 233-251
Xue-Zhong He, Philip Hamill, Youwei Li:
Can Trend Followers Survive in the Long-Run% Insights from Agent-Based Modeling. 253-269
Rafal Drezewski, Leszek Siwik:
Co-Evolutionary Multi-Agent System for Portfolio Optimization. 271-299

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