Natural Computing in Computational Finance

1. Front Matter

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2. Natural Computing in Computational Finance (Volume 3): Introduction

   1. Natural Computing in Computational Finance (Volume 3): Introduction

      • Anthony Brabazon, Michael O’Neill, Dietmar Maringer

      Pages 1-6

3. Part I: Financial and Agent-Based Models

   1. Front Matter

      Pages 7-7

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   2. Robust Regression with Optimisation Heuristics

      • Manfred Gilli, Enrico Schumann

      Pages 9-30Open Access

   3. Evolutionary Estimation of a Coupled Markov Chain Credit Risk Model

      • Ronald Hochreiter, David Wozabal

      Pages 31-44

   4. Evolutionary Computation and Trade Execution

      • Wei Cui, Anthony Brabazon, Michael O’Neill

      Pages 45-62

   5. Agent-Based Co-operative Co-evolutionary Algorithms for Multi-objective Portfolio Optimization

      • Rafał Dreżewski, Krystian Obrocki, Leszek Siwik

      Pages 63-84

   6. Inferring Trader’s Behavior from Prices

      • Louis Charbonneau, Nawwaf Kharma

      Pages 85-105

4. Part II: Dynamic Strategies and Algorithmic Trading

   1. Front Matter

      Pages 107-107

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   2. Index Mutual Fund Replication

      • Jin Zhang, Dietmar Maringer

      Pages 109-130

   3. Frequent Knowledge Patterns in Evolutionary Decision Support Systems for Financial Time Series Analysis

      • Piotr Lipinski

      Pages 131-145

   4. Modeling Turning Points in Financial Markets with Soft Computing Techniques

      • Antonia Azzini, Célia da Costa Pereira, Andrea G. B. Tettamanzi

      Pages 147-167

   5. Evolutionary Money Management

      • Philip Saks, Dietmar Maringer

      Pages 169-190

   6. Interday and Intraday Stock Trading Using Probabilistic Adaptive Mapping Developmental Genetic Programming and Linear Genetic Programming

      • Garnett Wilson, Wolfgang Banzhaf

      Pages 191-212

5. Back Matter

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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 computational finance 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.

• Computational Finance
• Computational Intelligence
• Evolution
• Management
• Mapping
• Natural Computing
• decision support system
• evolutionary algorithm
• evolutionary computation
• genetic programming
• knowledge
• model
• modeling
• optimization
• programming

• Quinn School of Business, University College Dublin , Belfield, Dublin 4, Ireland

  Anthony Brabazon

• UCD CASL , Beaver Row, Ireland

  Michael O’Neill

• University of Basel Wirtschaftswissenschaftliches Zentrum (WWZ) Abteilung Quantitative Methoden , Basel, Switzerland

  Dietmar G. Maringer

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