Adaptive Investment Strategies for Periodic Environments
暂无分享,去创建一个
[1] Thomas Lux,et al. Genetic learning as an explanation of stylized facts of foreign exchange markets , 2005 .
[2] D. Sornette,et al. Convergent Multiplicative Processes Repelled from Zero: Power Laws and Truncated Power Laws , 1996, cond-mat/9609074.
[3] Hans Föllmer,et al. Equilibria in financial markets with heterogeneous agents: a probabilistic perspective , 2005 .
[4] H. Kesten. Random difference equations and Renewal theory for products of random matrices , 1973 .
[5] M. Shubik,et al. Dynamics of money. , 1998, Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics.
[6] P. Ross,et al. An Evolutionary Approach to Modelling the Behaviours of FinancialTradersSonia , 1999 .
[7] Frank Schweitzer,et al. Risk-Seeking versus Risk-Avoiding Investments in Noisy Periodic Environments , 2008, ArXiv.
[8] Pietro Terna,et al. The "mind or no-mind" dilemma in agents behaving in a market , 2000, Adv. Complex Syst..
[9] A. Consiglio,et al. How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders , 2007 .
[10] G. Turin,et al. An introduction to matched filters , 1960, IRE Trans. Inf. Theory.
[11] Shu-Heng Chen,et al. Evolving traders and the business school with genetic programming: A new architecture of the agent-based artificial stock market , 2001 .
[12] Sergei Maslov,et al. Dynamical optimization theory of a diversified portfolio , 1998 .
[13] Sidney Redner,et al. Random multiplicative processes: An elementary tutorial , 1990 .
[14] A. Tversky,et al. Prospect Theory : An Analysis of Decision under Risk Author ( s ) : , 2007 .
[15] George G. Szpiro. Forecasting chaotic time series with genetic algorithms , 1997 .
[16] Suleiman K. Kassicieh,et al. Investment decisions using genetic algorithms , 1997, Proceedings of the Thirtieth Hawaii International Conference on System Sciences.
[17] Felicity A. W. George,et al. A Study in Set Recombination , 1993, ICGA.
[18] Dan Boneh,et al. On genetic algorithms , 1995, COLT '95.
[19] Joseph B. Kruskal,et al. Time Warps, String Edits, and Macromolecules , 1999 .
[20] Christopher J. Neely,et al. Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach , 1996, Journal of Financial and Quantitative Analysis.
[21] W. Arthur,et al. The Economy as an Evolving Complex System II , 1988 .
[22] FarmerJ. Doyne. Toward Agent-Based Models for Investment , 2001 .
[23] Richard H. Day,et al. Bulls, bears and market sheep , 1990 .
[24] John J. Grefenstette,et al. Genetic Algorithms for Changing Environments , 1992, PPSN.
[25] J. Farmer,et al. The Predictive Power of Zero Intelligence in Financial Markets , 2003, Proceedings of the National Academy of Sciences of the United States of America.
[26] M. Marchesi,et al. Journal of economic behavior and organization: special issue on heterogeneous interacting agents in financial markets , 2002 .
[27] R. Marks,et al. Genetic Algorithms In Economics and Finance: Forecasting Stock Market Prices And Foreign Exchange — A Review , 2002 .
[28] Frank Westerhoff,et al. Modeling Exchange Rate Behavior with a Genetic Algorithm , 2003 .
[29] A. Nicholson,et al. Learning in the Presence of Noise , 2006 .
[30] Blake LeBaron,et al. Agent-based computational finance : Suggested readings and early research , 2000 .
[31] E. Thorp. The Kelly Criterion in Blackjack Sports Betting, and the Stock Market , 2008 .
[32] Blake LeBaron,et al. Empirical regularities from interacting long- and short-memory investors in an agent-based stock market , 2001, IEEE Trans. Evol. Comput..
[33] K. Arrow,et al. Aspects of the theory of risk-bearing , 1966 .
[34] A. Tversky,et al. Advances in prospect theory: Cumulative representation of uncertainty , 1992 .
[35] Leigh Tesfatsion,et al. Introduction to the CE Special Issue on Agent-Based Computational Economics , 2001 .
[36] Goldberg,et al. Genetic algorithms , 1993, Robust Control Systems with Genetic Algorithms.
[37] Zbigniew Michalewicz,et al. Genetic Algorithms + Data Structures = Evolution Programs , 1996, Springer Berlin Heidelberg.
[38] Jürgen Branke,et al. Memory enhanced evolutionary algorithms for changing optimization problems , 1999, Proceedings of the 1999 Congress on Evolutionary Computation-CEC99 (Cat. No. 99TH8406).
[39] John H. Holland,et al. Adaptation in Natural and Artificial Systems: An Introductory Analysis with Applications to Biology, Control, and Artificial Intelligence , 1992 .
[40] Dhananjay K. Gode,et al. Allocative Efficiency of Markets with Zero-Intelligence Traders: Market as a Partial Substitute for Individual Rationality , 1993, Journal of Political Economy.
[41] Sebastiano Manzan,et al. Behavioral Heterogeneity in Stock Prices , 2005 .
[42] Joaquín Tintoré,et al. DARWIN: An evolutionary program for nonlinear modeling of chaotic time series , 2001 .
[43] A. Tversky,et al. Prospect theory: analysis of decision under risk , 1979 .
[44] Herbert Dawid,et al. Adaptive Learning by Genetic Algorithms , 1996 .
[45] Inman Harvey,et al. The SAGA Cross: The Mechanics of Recombination for Species with Variable Length Genotypes , 1992, PPSN.
[46] F. Schweitzer,et al. The Investors Game : A Model for Coalition Formation , 2003 .
[47] Zbigniew Michalewicz,et al. Genetic Algorithms + Data Structures = Evolution Programs , 1992, Artificial Intelligence.
[48] J. Pratt. RISK AVERSION IN THE SMALL AND IN THE LARGE11This research was supported by the National Science Foundation (grant NSF-G24035). Reproduction in whole or in part is permitted for any purpose of the United States Government. , 1964 .
[49] Herbert Dawid,et al. Adaptive Learning by Genetic Algorithms, Analytical Results and Applications to Economic Models, 2nd extended and revised edition , 1999 .
[50] Yonggan Zhao,et al. A process control approach to investment risk , 2003, 2003 IEEE International Conference on Computational Intelligence for Financial Engineering, 2003. Proceedings..
[51] Philippe Artzner,et al. Coherent Measures of Risk , 1999 .
[52] M. Levy,et al. POWER LAWS ARE LOGARITHMIC BOLTZMANN LAWS , 1996, adap-org/9607001.
[53] David E. Goldberg,et al. Genetic Algorithms in Search Optimization and Machine Learning , 1988 .
[54] Sergei Maslov,et al. Optimal Investment Strategy for Risky Assets , 1998 .
[55] Peter Ross,et al. Strength and Money: An LCS Approach to Increasing Returns , 2000, IWLCS.
[56] Zbigniew Michalewicz,et al. Genetic Algorithms + Data Structures = Evolution Programs , 2000, Springer Berlin Heidelberg.
[57] D. Kahneman,et al. Aspects of Investor Psychology , 1998 .
[58] Frank Schweitzer,et al. Investments in random environments , 2007, 0709.3630.
[59] Leigh Tesfatsion,et al. Agent-Based Computational Economics: Growing Economies From the Bottom Up , 2002, Artificial Life.
[60] Sheng-Tun Li,et al. Knowledge discovery with SOM networks in financial investment strategy , 2004, Fourth International Conference on Hybrid Intelligent Systems (HIS'04).
[61] Blake LeBaron,et al. An artificial stock market , 2006, Artificial Life and Robotics.
[62] James D. Hamilton. A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle , 1989 .
[63] Matteo Richiardi,et al. Generalizing Gibrat: Reasonable Multiplicative Models of Firm Dynamics , 2004, J. Artif. Soc. Soc. Simul..
[64] Aldo Montesano. Measures of risk aversion with expected and nonexpected utility , 1991 .
[65] Rui Jiang,et al. Extraction of investment strategies based on moving averages: A genetic algorithm approach , 2003, 2003 IEEE International Conference on Computational Intelligence for Financial Engineering, 2003. Proceedings..
[66] John H. Miller,et al. Auctions with Artificial Adaptive Agents , 1995 .
[67] Fritz Wysotzki,et al. Risk-Sensitive Reinforcement Learning Applied to Control under Constraints , 2005, J. Artif. Intell. Res..
[68] Takao Terano,et al. Agent-Based Approach to Investors' Behavior and Asset Price Fluctuation in Financial Markets , 2003, J. Artif. Soc. Soc. Simul..
[69] John L. Kelly,et al. A new interpretation of information rate , 1956, IRE Trans. Inf. Theory.