Genetic Algorithms and Genetic Programming in Computational Finance

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. Front Matter....Pages i-xxi Genetic Algorithms and Genetic Programming in Computational Finance: An Overview of the Book....Pages 1-26 Front Matter....Pages 27-27 Genetic Algorithms In Economics and Finance: Forecasting Stock Market Prices And Foreign Exchange — A Review....Pages 29-54 Genetic Programming: A Tutorial With The Software Simple GP....Pages 55-77 Front Matter....Pages 79-79 GP and the Predictive Power of Internet Message Traffic....Pages 81-102 Genetic Programming of Polynomial Models for Financial Forecasting....Pages 103-123 NXCS: Hybrid Approach to Stock Indexes Forecasting....Pages 125-158 Front Matter....Pages 159-159 Eddie for Financial Forecasting....Pages 161-174 Forecasting Market Indices Using Evolutionary Automatic Programming....Pages 175-195 Genetic Fuzzy Expert Trading System for Nasdaq Stock Market Timing....Pages 197-217 Front Matter....Pages 219-219 Portfolio Selection and Management Using a Hybrid Intelligent and Statistical System....Pages 221-238 Intelligent Cash Flow: Planning and Optimization Using Genetic Algorithms....Pages 239-247 The Self-Evolving Logic of Financial Claim Prices....Pages 249-262 Using a Genetic Program to Predict Exchange Rate Volatility....Pages 263-279 Evolutionary Decision Trees for Stock Index Options and Futures Arbitrage....Pages 281-308 Front Matter....Pages 309-309 A Model of Boundedly Rational Consumer Choice....Pages 311-333 Price Discovery in Agent-Based Computational Modeling of the Artificial Stock Market....Pages 335-356 Individual Rationality as a Partial Impediment to Market Efficiency....Pages 357-377 A Numerical Study on the Evolution of Portfolio Rules....Pages 379-395 Adaptive Portfolio Managers in Stock Markets: An Approach Using Genetic Algorithms....Pages 397-419 Learning and Convergence to Pareto Optimality....Pages 421-439 Front Matter....Pages 441-441 The New Evolutionary Computational Paradigm of Complex Adaptive Systems....Pages 443-484 Back Matter....Pages 485-489