1. 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:
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, 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 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 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, 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 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

2. 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