Evolutionary Computation in Economics and Finance: An Overview of the Book

Being a start-off of the first volume on evolutionary computation in economics and finance, this chapter proposes an overview of the volume. The 20 contributed chapters of this volume are separated into three parts, namely, games, agent-based modeling and financial engineering. The reader will find himself/herself treading the path of the history of this research area, from the fledgling stage to the burgeoning era.

[1]  V. Smith,et al.  Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets , 1988 .

[2]  Richard J. Bauer,et al.  Genetic Algorithms and Investment Strategies , 1994 .

[3]  B. LeBaron.  EVOLUTION AND TIME HORIZONS IN AN AGENT-BASED STOCK MARKET , 1999, Macroeconomic Dynamics.

[4]  Lawrence Davis,et al.  Genetic Algorithms and Simulated Annealing , 1987 .

[5]  陳樹衡,et al.  Fundamental Issues in the Use of Genetic Programming in Agent Based Computational Economics , 2001 .

[6]  Hitoshi Iba,et al.  Genetic Programming 1998: Proceedings of the Third Annual Conference , 1999, IEEE Trans. Evol. Comput..

[7]  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 .

[8]  M. Mitchell Waldrop,et al.  Complexity : the emerging science and the edge of order and chaos , 1992 .

[9]  J. Holland,et al.  Artificial Adaptive Agents in Economic Theory , 1991 .

[10]  Ron Shonkwiler,et al.  Parallel Genetic Algorithms , 1993, ICGA.

[11]  J. Casti.  Would-Be Worlds: How Simulation Is Changing the Frontiers of Science , 1996 .

[12]  O. Cacho,et al.  A Genetic Algorithm Approach to Farm Investment , 1999 .

[13]  Jasmina Arifovic,et al.  Coordination via genetic learning , 1995 .

[14]  Joshua M. Epstein,et al.  Growing Artificial Societies: Social Science from the Bottom Up , 1996 .

[15]  Shu-Heng Chen,et al.  Option Pricing with Genetic Algorithms: The Case of European-Style Options , 1997, ICGA.

[16]  Nicolaas J. Vriend,et al.  Evolving market structure: An ACE model of price dispersion and loyalty , 2001 .

[17]  R. Palmer,et al.  Time series properties of an artificial stock market , 1999 .

[18]  Joaguin R. Trigueros,et al.  An Adaptive Evolutionary Approach to Option Pricing Via Genetic Programming , 1998 .

[19]  Suran Asitha Goonatilake,et al.  Intelligent Systems for Finance and Business , 1995 .

[20]  A. E. Eiben,et al.  Evolutionary Programming VII , 1998, Lecture Notes in Computer Science.

[21]  Joshua M. Epstein,et al.  Growing Artificial Societies: Social Science from the Bottom Up , 1996 .

[22]  W. Arthur,et al.  The Economy as an Evolving Complex System II , 1988 .

[23]  T. Başar,et al.  Off-Line Computation of Stackelberg Solutions with the Genetic Algorithm , 1999 .

[24]  M. Lettau.  Explaining the facts with adaptive agents: The case of mutual fund flows , 1997 .

[25]  J. Duffy,et al.  Using Genetic Algorithms to Model the Evolution of Heterogeneous Beliefs , 1999 .

[26]  David H. Wolpert,et al.  No free lunch theorems for optimization , 1997, IEEE Trans. Evol. Comput..

[27]  Herbert Dawid,et al.  Adaptive Learning by Genetic Algorithms , 1996 .

[28]  J. Duffy.  Learning to speculate: Experiments with artificial and real agents , 2001 .

[29]  Shu-Heng Chen,et al.  Genetic Algorithms, Trading Strategies and Stochastic Processes: Some New Evidence from Monte Carlo Simulations , 1999, GECCO.

[30]  Carsten Lanquillon,et al.  Dynamic aspects in neural classification , 1999, Intell. Syst. Account. Finance Manag..

[31]  John J. Grefenstette,et al.  A Parallel Genetic Algorithm , 1987, ICGA.

[32]  Shu-Heng Chen,et al.  Hedging derivative securities with genetic programming , 1999 .

[33]  陳樹衡,et al.  Option Pricing with Genetic Programming , 1998 .

[34]  Jasmina Arifovic,et al.  Statistical properties of genetic learning in a model of exchange rate , 2000 .

[35]  Jasmina Arifovic,et al.  Evolutionary dynamics of currency substitution , 2001 .

[36]  Jerry R. Green.  The Non-existence of Informational Equilibria , 1977 .

[37]  Jasmina Arifovic.  Genetic algorithm learning and the cobweb model , 1994 .

[38]  George G. Szpiro.  The emergence of risk aversion , 1997 .

[39]  John R. Koza,et al.  A GENETIC APPROACH TO ECONOMETRIC MODELING , 1992 .

[40]  Xin Yao,et al.  A review of evolutionary artificial neural networks , 1993, Int. J. Intell. Syst..

[41]  Ellen R. McGrattan,et al.  Money as a medium of exchange in an economy with artificially intelligent agents , 1990 .

[42]  Neil Wallace,et al.  On the indeterminacy of equilibrium exchange rates , 1981 .

[43]  Hitoshi Iba,et al.  Genetic Programming of Polynomial Models for Financial Forecasting , 2002 .

[44]  Kiyoshi Izumi,et al.  An Artificial Market Analysis of Exchange Rate Dynamics , 1996, Evolutionary Programming.

[45]  Sonja Novkovic,et al.  A Genetic Algorithm Simulation of a Transition Economy: An Application to Insider-Privatization in Croatia , 1998 .

[46]  Thomas Riechmann,et al.  Learning and behavioral stability An economic interpretation of genetic algorithms , 1999 .

[47]  Robert Axelrod,et al.  The Evolution of Strategies in the Iterated Prisoner's Dilemma , 2001 .

[48]  Blake LeBaron,et al.  Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders , 1998 .

[49]  陳樹衡.  Modeling Volatility with Genetic Programming: A First Report , 1998 .

[50]  Ramon Marimon,et al.  Expectationally-driven market volatility: An experimental study , 1993 .

[51]  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.

[52]  W. Arthur.  On Learning and Adaptation in the Economy , 1992 .

[53]  Jasmina Arifovic,et al.  The Behavior of the Exchange Rate in the Genetic Algorithm and Experimental Economies , 1996, Journal of Political Economy.

[54]  John H. Miller,et al.  The coevolution of automata in the repeated Prisoner's Dilemma , 1996 .

[55]  W. Arthur.  Inductive Reasoning and Bounded Rationality , 1994 .

[56]  R. Palmer,et al.  Asset Pricing Under Endogenous Expectations in an Artificial Stock Market , 1996 .

[57]  Pietro Terna,et al.  Neural Networks for Economic and Financial Modelling , 1995 .

[58]  N. Basu,et al.  Growing a market economy , 1997 .

[59]  Jasmina Arifovic,et al.  Genetic algorithms and inflationary economies , 1995 .

[60]  D. Midgley,et al.  Breeding competitive strategies , 1997 .

[61]  R. Palmer,et al.  Artificial economic life: a simple model of a stockmarket , 1994 .

[62]  D. O'Leary,et al.  Expert Systems in Finance , 1992 .

[63]  Günter Rudolph,et al.  Convergence analysis of canonical genetic algorithms , 1994, IEEE Trans. Neural Networks.

[64]  Franklin Allen,et al.  Using genetic algorithms to find technical trading rules , 1999 .

[65]  B. LeBaron,et al.  Simple Technical Trading Rules and the Stochastic Properties of Stock Returns , 1992 .

[66]  Douglass C. North,et al.  Economics and Cognitive Science , 1996 .

[67]  Ralf Östermark,et al.  Solving Irregular Econometric and Mathematical Optimization Problems with a Genetic Hybrid Algorithm , 1999 .

[68]  Xin Yao,et al.  An Experimental Study of N-Person Iterated Prisoner's Dilemma Games , 1993, Informatica.