Using Genetic Algorithms For Robust Optimization In Financial Applications

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Using Genetic Algorithms for Robust Optimization in Financial Applications

Author : Olivier V. Pictet
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Using Genetic Algorithms for Robust Optimization in Financial Applications by : Olivier V. Pictet

Download or read book Using Genetic Algorithms for Robust Optimization in Financial Applications written by Olivier V. Pictet and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, optimal indicators and strategies for foreign exchange trading models are investigated in the framework of genetic algorithms. We first explain how the relevant quantities of our application can be encoded in quot;genesquot; so as to fit the requirements of the genetic evolutionary optimization technique. In financial problems, sharp peaks of high fitness are usually not representative of a general solution but, rather, indicative of some accidental fluctuations. Such fluctuations may arise out of inherent noise in the time series or due to threshold effects in the trading model performance. Peaks in such a discontinuous, noisy and multimodal fitness space generally correspond to trading models which will not perform well in out-of-sample tests. In this paper we show that standard genetic algorithms will be quickly attracted to one of the accidental peaks of the fitness space whereas genetic algorithms for multimodal functions employing clustering and a specially designed fitness sharing scheme will find optimal parameters which correspond to broad regions where the fitness function is higher on average. The optimization and the quality tests have been performed over eight years of high frequency data of the main foreign exchange rates. The authors acknowledge a careful review of the manuscript by Rakhal D. Dave and useful discussions with Ulrich M. Muller. The Swiss National Science Foundation is gratefully acknowledged for its financial support.

Practical Applications of Evolutionary Computation to Financial Engineering

Author : Hitoshi Iba
Publisher : Springer Science & Business Media
ISBN 13 : 3642276482
Total Pages : 253 pages
Book Rating : 4.6/5 (422 download)

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Book Synopsis Practical Applications of Evolutionary Computation to Financial Engineering by : Hitoshi Iba

Download or read book Practical Applications of Evolutionary Computation to Financial Engineering written by Hitoshi Iba and published by Springer Science & Business Media. This book was released on 2012-02-15 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt: “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.

Robust Optimization and Sensitivity Analysis with Multi-objective Genetic Algorithms

Author : Mian Li
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (423 download)

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Book Synopsis Robust Optimization and Sensitivity Analysis with Multi-objective Genetic Algorithms by : Mian Li

Download or read book Robust Optimization and Sensitivity Analysis with Multi-objective Genetic Algorithms written by Mian Li and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Genetic Algorithms

Author : K. KrishnaKumar
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (11 download)

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Book Synopsis Genetic Algorithms by : K. KrishnaKumar

Download or read book Genetic Algorithms written by K. KrishnaKumar and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Genetic Algorithms in Applications

Author : Rustem Popa
Publisher : BoD – Books on Demand
ISBN 13 : 9535104004
Total Pages : 332 pages
Book Rating : 4.5/5 (351 download)

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Book Synopsis Genetic Algorithms in Applications by : Rustem Popa

Download or read book Genetic Algorithms in Applications written by Rustem Popa and published by BoD – Books on Demand. This book was released on 2012-03-21 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt: Genetic Algorithms (GAs) are one of several techniques in the family of Evolutionary Algorithms - algorithms that search for solutions to optimization problems by "evolving" better and better solutions. Genetic Algorithms have been applied in science, engineering, business and social sciences. This book consists of 16 chapters organized into five sections. The first section deals with some applications in automatic control, the second section contains several applications in scheduling of resources, and the third section introduces some applications in electrical and electronics engineering. The next section illustrates some examples of character recognition and multi-criteria classification, and the last one deals with trading systems. These evolutionary techniques may be useful to engineers and scientists in various fields of specialization, who need some optimization techniques in their work and who may be using Genetic Algorithms in their applications for the first time. These applications may be useful to many other people who are getting familiar with the subject of Genetic Algorithms.

Computational Science – ICCS 2008

Author : Marian Bubak
Publisher : Springer Science & Business Media
ISBN 13 : 3540693882
Total Pages : 769 pages
Book Rating : 4.5/5 (46 download)

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Book Synopsis Computational Science – ICCS 2008 by : Marian Bubak

Download or read book Computational Science – ICCS 2008 written by Marian Bubak and published by Springer Science & Business Media. This book was released on 2008-06-11 with total page 769 pages. Available in PDF, EPUB and Kindle. Book excerpt: The three-volume set LNCS 5101-5103 constitutes the refereed proceedings of the 8th International Conference on Computational Science, ICCS 2008, held in Krakow, Poland in June 2008. The 167 revised papers of the main conference track presented together with the abstracts of 7 keynote talks and the 100 revised papers from 14 workshops were carefully reviewed and selected for inclusion in the three volumes. The main conference track was divided into approximately 20 parallel sessions addressing topics such as e-science applications and systems, scheduling and load balancing, software services and tools, new hardware and its applications, computer networks, simulation of complex systems, image processing and visualization, optimization techniques, numerical linear algebra, and numerical algorithms. The second volume contains workshop papers related to various computational research areas, e.g.: computer graphics and geometric modeling, simulation of multiphysics multiscale systems, computational chemistry and its applications, computational finance and business intelligence, physical, biological and social networks, geocomputation, and teaching computational science. The third volume is mostly related to computer science topics such as bioinformatics' challenges to computer science, tools for program development and analysis in computational science, software engineering for large-scale computing, collaborative and cooperative environments, applications of workflows in computational science, as well as intelligent agents and evolvable systems.

Soft Computing in Economics and Finance

Author : Ludmila Dymowa
Publisher : Springer Science & Business Media
ISBN 13 : 3642177190
Total Pages : 303 pages
Book Rating : 4.6/5 (421 download)

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Book Synopsis Soft Computing in Economics and Finance by : Ludmila Dymowa

Download or read book Soft Computing in Economics and Finance written by Ludmila Dymowa and published by Springer Science & Business Media. This book was released on 2011-01-21 with total page 303 pages. Available in PDF, EPUB and Kindle. Book excerpt: Currently the methods of Soft Computing are successfully used for risk analysis in: budgeting, e-commerce development, portfolio selection, Black-Scholes option pricing models, corporate acquisition systems, evaluating investments in advanced manufacturing technology, interactive fuzzy interval reasoning for smart web shopping, fuzzy scheduling and logistic. An essential feature of economic and financial problems it that there are always at least two criteria to be taken into account: profit maximization and risk minimization. Therefore, the economic and financial problems are multiple criteria ones. In this book, a new systematization of the problems of multiple criteria decision making is proposed which allows the author to reveal unsolved problems. The solutions of them are presented as well and implemented to deal with some important real-world problems such as investment project’s evaluation, tool steel material selection problem, stock screening and fuzzy logistic. It is well known that the best results in real -world applications can be obtained using the synthesis of modern methods of soft computing. Therefore, the developed by the author new approach to building effective stock trading systems, based on the synthesis of fuzzy logic and the Dempster-Shafer theory, seems to be a considerable contribution to the application of soft computing method in economics and finance. An important problem of capital budgeting is the fuzzy evaluation of the Internal Rate of Return. In this book, this problem is solved using a new method which makes it possible to solve linear and nonlinear interval and fuzzy equations and systems of them. The developed new method allows the author to obtain an effective solution of the Leontjev’s input-output problem in the interval setting.

Introduction to Genetic Algorithms

Author : S.N. Sivanandam
Publisher : Springer Science & Business Media
ISBN 13 : 3540731903
Total Pages : 453 pages
Book Rating : 4.5/5 (47 download)

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Book Synopsis Introduction to Genetic Algorithms by : S.N. Sivanandam

Download or read book Introduction to Genetic Algorithms written by S.N. Sivanandam and published by Springer Science & Business Media. This book was released on 2007-10-24 with total page 453 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a basic introduction to genetic algorithms. It provides a detailed explanation of genetic algorithm concepts and examines numerous genetic algorithm optimization problems. In addition, the book presents implementation of optimization problems using C and C++ as well as simulated solutions for genetic algorithm problems using MATLAB 7.0. It also includes application case studies on genetic algorithms in emerging fields.

An Introduction to High-Frequency Finance

Author : Ramazan Gençay
Publisher : Elsevier
ISBN 13 : 008049904X
Total Pages : 411 pages
Book Rating : 4.0/5 (84 download)

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Book Synopsis An Introduction to High-Frequency Finance by : Ramazan Gençay

Download or read book An Introduction to High-Frequency Finance written by Ramazan Gençay and published by Elsevier. This book was released on 2001-05-29 with total page 411 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data.This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.

Evolutionary Computation in Economics and Finance

Author : Shu-Heng Chen
Publisher : Physica
ISBN 13 : 3790817848
Total Pages : 459 pages
Book Rating : 4.7/5 (98 download)

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Book Synopsis Evolutionary Computation in Economics and Finance by : Shu-Heng Chen

Download or read book Evolutionary Computation in Economics and Finance written by Shu-Heng Chen and published by Physica. This book was released on 2013-11-11 with total page 459 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Genetic Algorithms and Genetic Programming

Author : Michael Affenzeller
Publisher : CRC Press
ISBN 13 : 1420011324
Total Pages : 395 pages
Book Rating : 4.4/5 (2 download)

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Book Synopsis Genetic Algorithms and Genetic Programming by : Michael Affenzeller

Download or read book Genetic Algorithms and Genetic Programming written by Michael Affenzeller and published by CRC Press. This book was released on 2009-04-09 with total page 395 pages. Available in PDF, EPUB and Kindle. Book excerpt: Genetic Algorithms and Genetic Programming: Modern Concepts and Practical Applications discusses algorithmic developments in the context of genetic algorithms (GAs) and genetic programming (GP). It applies the algorithms to significant combinatorial optimization problems and describes structure identification using HeuristicLab as a platform for al

Natural Computing in Computational Finance

Author : Anthony Brabazon
Publisher : Springer Science & Business Media
ISBN 13 : 3540959734
Total Pages : 246 pages
Book Rating : 4.5/5 (49 download)

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Book Synopsis Natural Computing in Computational Finance by : Anthony Brabazon

Download or read book Natural Computing in Computational Finance written by Anthony Brabazon and published by Springer Science & Business Media. This book was released on 2009-03-13 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Genetic Algorithms and Engineering Design

Author : Mitsuo Gen
Publisher : John Wiley & Sons
ISBN 13 : 9780471127413
Total Pages : 436 pages
Book Rating : 4.1/5 (274 download)

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Book Synopsis Genetic Algorithms and Engineering Design by : Mitsuo Gen

Download or read book Genetic Algorithms and Engineering Design written by Mitsuo Gen and published by John Wiley & Sons. This book was released on 1997-01-21 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: The last few years have seen important advances in the use ofgenetic algorithms to address challenging optimization problems inindustrial engineering. Genetic Algorithms and Engineering Designis the only book to cover the most recent technologies and theirapplication to manufacturing, presenting a comprehensive and fullyup-to-date treatment of genetic algorithms in industrialengineering and operations research. Beginning with a tutorial on genetic algorithm fundamentals andtheir use in solving constrained and combinatorial optimizationproblems, the book applies these techniques to problems in specificareas--sequencing, scheduling and production plans, transportationand vehicle routing, facility layout, location-allocation, andmore. Each topic features a clearly written problem description,mathematical model, and summary of conventional heuristicalgorithms. All algorithms are explained in intuitive, rather thanhighly-technical, language and are reinforced with illustrativefigures and numerical examples. Written by two internationally acknowledged experts in the field,Genetic Algorithms and Engineering Design features originalmaterial on the foundation and application of genetic algorithms,and also standardizes the terms and symbols used in othersources--making this complex subject truly accessible to thebeginner as well as to the more advanced reader. Ideal for both self-study and classroom use, this self-containedreference provides indispensable state-of-the-art guidance toprofessionals and students working in industrial engineering,management science, operations research, computer science, andartificial intelligence. The only comprehensive, state-of-the-arttreatment available on the use of genetic algorithms in industrialengineering and operations research . . . Written by internationally recognized experts in the field ofgenetic algorithms and artificial intelligence, Genetic Algorithmsand Engineering Design provides total coverage of currenttechnologies and their application to manufacturing systems.Incorporating original material on the foundation and applicationof genetic algorithms, this unique resource also standardizes theterms and symbols used in other sources--making this complexsubject truly accessible to students as well as experiencedprofessionals. Designed for clarity and ease of use, thisself-contained reference: * Provides a comprehensive survey of selection strategies, penaltytechniques, and genetic operators used for constrained andcombinatorial optimization problems * Shows how to use genetic algorithms to make production schedules,solve facility/location problems, make transportation/vehiclerouting plans, enhance system reliability, and much more * Contains detailed numerical examples, plus more than 160auxiliary figures to make solution procedures transparent andunderstandable

Industrial Applications of Genetic Algorithms

Author : Charles Karr
Publisher : CRC Press
ISBN 13 : 9780849398018
Total Pages : 360 pages
Book Rating : 4.3/5 (98 download)

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Book Synopsis Industrial Applications of Genetic Algorithms by : Charles Karr

Download or read book Industrial Applications of Genetic Algorithms written by Charles Karr and published by CRC Press. This book was released on 1998-12-29 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Genetic algorithms (GAs) are computer-based search techniques patterned after the genetic mechanisms of biological organisms that have adapted and flourished in changing, highly competitive environments for millions of years. GAs have been successfully applied to problems in a variety of studies, and their popularity continues to increase because of their effectiveness, applicability, and ease of use. Industrial Applications of Genetic Algorithms shows how GAs have made the leap form their origins in the laboratory to the practicing engineer's toolbox. Each chapter in the book describes a project completed by a graduate student at the University of Alabama.

Computational Economics

Author : Shu-Heng Chen
Publisher : IGI Global
ISBN 13 : 1591406498
Total Pages : 339 pages
Book Rating : 4.5/5 (914 download)

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Book Synopsis Computational Economics by : Shu-Heng Chen

Download or read book Computational Economics written by Shu-Heng Chen and published by IGI Global. This book was released on 2006-01-01 with total page 339 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This book identifies the economic as well as financial problems that may be solved efficiently with computational methods and explains why those problems should best be solved with computational methods"--Provided by publisher.

Optimization Methods and Applications

Author : Sergiy Butenko
Publisher : Springer
ISBN 13 : 3319686402
Total Pages : 637 pages
Book Rating : 4.3/5 (196 download)

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Book Synopsis Optimization Methods and Applications by : Sergiy Butenko

Download or read book Optimization Methods and Applications written by Sergiy Butenko and published by Springer. This book was released on 2018-02-20 with total page 637 pages. Available in PDF, EPUB and Kindle. Book excerpt: Researchers and practitioners in computer science, optimization, operations research and mathematics will find this book useful as it illustrates optimization models and solution methods in discrete, non-differentiable, stochastic, and nonlinear optimization. Contributions from experts in optimization are showcased in this book showcase a broad range of applications and topics detailed in this volume, including pattern and image recognition, computer vision, robust network design, and process control in nonlinear distributed systems. This book is dedicated to the 80th birthday of Ivan V. Sergienko, who is a member of the National Academy of Sciences (NAS) of Ukraine and the director of the V.M. Glushkov Institute of Cybernetics. His work has had a significant impact on several theoretical and applied aspects of discrete optimization, computational mathematics, systems analysis and mathematical modeling.

Genetic Algorithms and Investment Strategies

Author : Richard J. Bauer
Publisher : John Wiley & Sons
ISBN 13 : 9780471576792
Total Pages : 324 pages
Book Rating : 4.5/5 (767 download)

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Book Synopsis Genetic Algorithms and Investment Strategies by : Richard J. Bauer

Download or read book Genetic Algorithms and Investment Strategies written by Richard J. Bauer and published by John Wiley & Sons. This book was released on 1994-03-31 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.