Search Results - "2012 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr)"

Financial and economic data management using Semantic Web technologies by Xian Li

“…Summary form only given. In the domains of Finance and Economics, interacting with large amounts of data from heterogeneous sources is a common and critical…”
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An agent based model of the E-Mini S&P 500 applied to flash crash analysis by Paddrik, M., Hayes, R., Todd, A., Yang, S., Beling, P., Scherer, W.

“…We propose a zero-intelligence agent-based model of the E-Mini S&P 500 futures market, which allows for a close examination of the market microstructure…”
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Behavior based learning in identifying High Frequency Trading strategies by Yang, Steve, Paddrik, M., Hayes, R., Todd, A., Kirilenko, A., Beling, P., Scherer, W.

“…Electronic markets have emerged as popular venues for the trading of a wide variety of financial assets, and computer based algorithmic trading has also…”
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A comparison of feed-forward and recurrent neural networks in time series forecasting by Brezak, D., Bacek, T., Majetic, D., Kasac, J., Novakovic, B.

“…Forecasting performances of feed-forward and recurrent neural networks (NN) trained with different learning algorithms are analyzed and compared using the…”
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Fuzzy linguistic summaries: Where are we, where can we go? by Bouchon-Meunier, Bernadette, Moyse, G.

“…Along with the increase of the amount of data stored and to be analyzed, different techniques of data analysis have been developed over the years. One of them,…”
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An agent-based modeling approach to study price impact by Wei Cui, Brabazon, Anthony

“…Price impact models are important for devising trade execution strategies. However, a proper characterization of price impacts is still lacking. This study…”
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Modeling principles in fuzzy time series forecasting by Duru, O., Yoshida, S.

“…Fuzzy time series forecasting is one of the most applied extensions of the fuzzy set theory. Since it is first introduced by Song and Chissom [1,2], several…”
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MIMO evolving functional fuzzy models for interest rate forecasting by Maciel, L., Gomide, F., Ballini, R.

“…Forecasting the term structure of interest rates plays a crucial role in portfolio management, household finance decisions, business investment planning, and…”
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Complex stock trading strategy based on Particle Swarm Optimization by Fei Wang, Yu, P. L. H., Cheung, D. W.

“…Trading rules have been utilized in the stock market to make profit for more than a century. However, only using a single trading rule may not be sufficient to…”
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A mean-reverting strategy based on fuzzy transform residuals by Troiano, L., Kriplani, P.

“…This paper develops a stock market price model, which is based on a detrending time series by iterating the application of fuzzy trasform and computing…”
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Robust stock trading using fuzzy decision trees by Ochotorena, C. N., Yap, C. A., Dadios, E., Sybingco, E.

“…Stock market analysis has traditionally been proven to be difficult due to the large amount of noise present in the data. Different approaches have been…”
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Online estimation of stochastic volatility for asset returns by Luna, I., Ballini, R.

“…An important application of financial institutions is quantifying the risk involved in investing in an asset. These are various measures of risk like…”
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A multi-covariate semi-parametric conditional volatility model using probabilistic fuzzy systems by Almeida, R. J., Basturk, N., Kaymak, U., Milea, V.

“…Value at Risk (VaR) has been successfully estimated using single covariate probabilistic fuzzy systems (PFS), a method which combines a linguistic description…”
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A learning adaptive Bollinger band system by Butler, M., Kazakov, D.

“…This paper introduces a novel forecasting algorithm that is a blend of micro and macro modelling perspectives when using Artificial Intelligence (AI)…”
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Three decision making levels in portfolio management by Raudys, S., Raudys, A.

“…To improve portfolio management process we suggest using profit histories of automated trading strategies instead of actual assets. Such history can be…”
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Testing implications of the Adaptive Market Hypothesis via computational intelligence by Butler, M., Kazakov, D.

“…This study analyzes two implications of the Adaptive Market Hypothesis: variable efficiency and cyclical profitability. These implications are, inter alia, in…”
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Bio-inspired optimization of Fuzzy Cognitive Maps for their use as a means in the pricing of complex assets by Salomon, R., Heydebreck, P., Krueger, L. R.

“…Fuzzy Cognitive Maps (FCMs) are well-suited techniques to model the behavior of complex systems. But, since they depend on the quality of human knowledge they…”
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Hierarchical Temporal Memory-based algorithmic trading of financial markets by Gabrielsson, P., Konig, R., Johansson, U.

“…This paper explores the possibility of using the Hierarchical Temporal Memory (HTM) machine learning technology to create a profitable software agent for…”
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Risk-adjusted portfolio optimisation using a parallel multi-objective evolutionary algorithm by Maguire, P., O'Sullivan, D., Moser, P., Dunne, G.

“…In this article we describe the use of a multi-objective evolutionary algorithm for portfolio optimisation based on historical data for the S&P 500. Portfolio…”
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A study on the reversal mechanism for large stock price declines using artificial markets by Yagi, I., Mizuta, T., Izumi, K.

“…Deterioration in the fundamentals of firms due to scandals or disasters causes declines in their stock prices. We empirically know that stock prices rebound…”
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