Genetic Algorithms and Genetic Programming in Computational Finance

1. Front Matter

   Pages i-xxi

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2. Genetic Algorithms and Genetic Programming in Computational Finance: An Overview of the Book

   1. Genetic Algorithms and Genetic Programming in Computational Finance: An Overview of the Book

      • Shu-Heng Chen

      Pages 1-26

3. Introduction

   1. Front Matter

      Pages 27-27

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   2. Genetic Algorithms In Economics and Finance: Forecasting Stock Market Prices And Foreign Exchange — A Review

      • Adrian E. Drake, Robert E. Marks

      Pages 29-54

   3. Genetic Programming: A Tutorial With The Software Simple GP

      • Shu-Heng Chen, Tzu-Wen Kuo, Yuh-Pyng Shieh

      Pages 55-77

4. Forecasting

   1. Front Matter

      Pages 79-79

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   2. GP and the Predictive Power of Internet Message Traffic

      • James D. Thomas, Katia Sycara

      Pages 81-102

   3. Genetic Programming of Polynomial Models for Financial Forecasting

      • Nikolay Y. Nikolaev, Hitoshi Iba

      Pages 103-123

   4. NXCS: Hybrid Approach to Stock Indexes Forecasting

      • Giuliano Armano, Michele Marchesi, Andrea Murru

      Pages 125-158

5. Trading

   1. Front Matter

      Pages 159-159

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   2. Eddie for Financial Forecasting

      • Edward P. K. Tsang, Jim Li

      Pages 161-174

   3. Forecasting Market Indices Using Evolutionary Automatic Programming

      • Michael O’Neill, Anthony Brabazon, Conor Ryan

      Pages 175-195

   4. Genetic Fuzzy Expert Trading System for Nasdaq Stock Market Timing

      • Sze Sing Lam, Kai Pui Lam, Hoi Shing Ng

      Pages 197-217

6. Miscellaneous Applications Domains

   1. Front Matter

      Pages 219-219

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   2. Portfolio Selection and Management Using a Hybrid Intelligent and Statistical System

      • Juan G. Lazo Lazo, Marco Aurélio C. Pacheco, Marley Maria R. Vellasco

      Pages 221-238

   3. Intelligent Cash Flow: Planning and Optimization Using Genetic Algorithms

      • Marco Aurélio C. Pacheco, Marley Maria R. Vellasco, Maíra F. de Noronha, Carlos Henrique P. Lopes

      Pages 239-247

   4. The Self-Evolving Logic of Financial Claim Prices

      • Thomas H. Noe, Jun Wang

      Pages 249-262

   5. Using a Genetic Program to Predict Exchange Rate Volatility

      • Christopher J. Neely, Paul A. Weller

      Pages 263-279

   6. Evolutionary Decision Trees for Stock Index Options and Futures Arbitrage

      • Sheri Markose, Edward Tsang, Hakan Er

      Pages 281-308

7. Agent-Based Computational Finance

   1. Front Matter

      Pages 309-309

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After a decade of development, genetic algorithms and genetic programming have become a widely accepted toolkit for computational finance. Genetic Algorithms and Genetic Programming in Computational Finance is a pioneering volume devoted entirely to a systematic and comprehensive review of this subject. Chapters cover various areas of computational finance, including financial forecasting, trading strategies development, cash flow management, option pricing, portfolio management, volatility modeling, arbitraging, and agent-based simulations of artificial stock markets. Two tutorial chapters are also included to help readers quickly grasp the essence of these tools. Finally, a menu-driven software program, Simple GP, accompanies the volume, which will enable readers without a strong programming background to gain hands-on experience in dealing with much of the technical material introduced in this work.

• Arbitrage
• Finance
• Sage
• Simulation
• agents
• algorithms
• automatic programming
• cash flow
• genetic programming
• linear optimization
• modeling
• optimization

• Department of Economics, National Chengchi University, Taiwan

  Shu-Heng Chen

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