Evolutionary Computation in Computational Finance & Economics Edward Tsang Centre for Computational Finance And Economics (CCFEA) University of Essex Genetic Programming in Computational Finance Edward Tsang 5 lectures Lecture 1 - GP in Computational Finance, Overview What is Genetic Programming? What is Computational Finance? Why is genetic programming useful for computational finance? Overview of GP applications in computational finance Financial forecasting Automated bargaining Artificial markets Lecture 2 - EDDIE for financial forecasting Financial forecasting, the research agenda Basic financial forecasting (collaboration with Korczak) EDDIE: a genetic programming forecasting tool (architecture) Data preparation How to assess results? Experimental results Using constraints to guide the search Lecture 3 - EDDIE in arbitrage What is financial arbitrage? How can EDDIE help to find arbitrage opportunities? EDDIE-Arb, specialized EDDIE for arbitrage (system architecture) Business opportunities Lecture 4 - GP in automated bargaining What is automated bargaining? (the simple bargaining game) Why study automated bargaining? Bargaining in game theory (Rubinstein 82 bargaining model) Why should one use GP in bargaining? (Approximating subgame equilibrium) One population or two? (co-evolution) Constrained fitness function Uncertainty Outside options Lecture 5 - GP in Artificial Markets Why study artificial market? (The wind-tunnel thesis) Artificial market with GP agents (the AI-ECON approach) Co-evolution (the business school approach) Understanding real markets through studying artificial markets Exhibiting stylized facts ------------------ Profile, Edward Tsang URL: http://cswww.essex.ac.uk/CSP/edward Edward Tsang holds a first degree in Business Administration (major in Finance) and a PhD in Computer Science. He is currently a Professor in Computer Science at University of Essex. He has served the university as members of the Senate, Council, Select Committee for Professors and Deputy Head. Edward Tsang is also the Deputy Director of Centre for Computational Finance and Economic Agents (CCFEA, http://www.cfea-labs.net). CCFEA is an interdisciplinary research centre, which applies artificial intelligence methods to problems in finance and economics. It is supported by City Associates, members of which include Barclays, HSBC, HP, Bank of England, Wadhwani Asset Management and StatPro. Edward Tsang has broad interest in artificial intelligence, which includes heuristic search, computational finance, economic agents, constraint satisfaction, combinatorial optimisation, scheduling, evolutionary computation and automated bargaining. He established and leads the Constraint Satisfaction and Optimisation Research Group and the Computational Finance Research Group at University of Essex. Edward Tsang chaired the Technical Committee in Computation Finance and Economics in IEEE’s Computational Intelligence Society in 2004 and 2005. He is an Associate Editor of IEEE Transactions in Evolutionary Computation, the Constraints journal, the Scheduling journal and The Journal of Management and Economics. He has been a member of the Computing College of Engineering and Physical Sciences Research Council (EPSRC, UK) since 1997. He has served committees and panels to many major international conferences and workshops. Edward Tsang has given consultation to GEC Marconi, BT (was British Telecom), The Commonwealth Secretariat, WestcomZivo and other organizations. Guided Local Search, developed in his laboratory, has been embedded in ILOG DISPATCHER, a commercial product for vehicle routing. EDDIE, a financial forecasting tool, has attracted much commercial interest. ----------- Brief Profile, Edward Tsang Edward Tsang holds a first degree in Business Administration (major in Finance) and a PhD in Computer Science. He is currently a Professor in Computer Science at University Essex. He is also the Deputy Director of Centre for Computational Finance and Economic Agents (CCFEA, http://www.cfea-labs.net), an interdisciplinary research centre, which applies artificial intelligence methods to problems in finance and economics. It is supported by City Associates, members of which include Barclays, HSBC and many other City firms. Edward Tsang chaired the Technical Committee in Computation Finance and Economics in IEEE’s Computational Intelligence Society in 2004 and 2005. He is an Associate Editor of IEEE Transactions in Evolutionary Computation, the Constraints journal, the Scheduling journal and The Journal of Management and Economics. All rights reserved, Edward Tsang

GP in Computational Finance, Overview What is Genetic Programming? What is Computational Finance? Why is genetic programming useful for computational finance? Applications: EDDIE for financial forecasting EDDIE in arbitrage Automated bargaining Wind-tunnel testing Portfolio Optimization All rights reserved, Edward Tsang