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Genetic Algorithms and Genetic Programming in Computational Finance

  • Book
  • © 2002

Overview

Editors:
  1. Shu-Heng Chen

    1. Department of Economics, National Chengchi University, Taiwan

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Table of contents (21 chapters)

  1. Agent-Based Computational Finance

    1. A Model of Boundedly Rational Consumer Choice

      • Thomas Riechmann
      Pages 311-333

    2. Price Discovery in Agent-Based Computational Modeling of the Artificial Stock Market

      • Shu-Heng Chen, Chung-Chih Liao
      Pages 335-356

    3. Individual Rationality as a Partial Impediment to Market Efficiency

      • Shu-Heng Chen, Chung-Ching Tai, Bin-Tzong Chie
      Pages 357-377

    4. A Numerical Study on the Evolution of Portfolio Rules

      • Guido Caldarelli, Marina Piccioni, Emanuela Sciubba
      Pages 379-395

    5. Adaptive Portfolio Managers in Stock Markets: An Approach Using Genetic Algorithms

      • Kwok Yip Szeto
      Pages 397-419

    6. Learning and Convergence to Pareto Optimality

      • Chris R. Birchenhall, Jie-Shin Lin
      Pages 421-439

  2. Retrospect and Prospect

    1. Front Matter

      Pages 441-441
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    2. The New Evolutionary Computational Paradigm of Complex Adaptive Systems

      • Sheri M. Markose
      Pages 443-484

  3. Back Matter

    Pages 485-489
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Keywords

About this book

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.

Editors and Affiliations

  • Department of Economics, National Chengchi University, Taiwan

    Shu-Heng Chen

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