Expertise in High-frequency Finance Research, CCFEA

Staff in CCFEA look at applications that involve the optimization with multi-objectives [Zhang et al 2009] and the modelling of fuzzy concepts [Hagras]. Main technologies deployed in CCFEA include evolutionary computation, [Zhang & Li 2007], constraint satisfaction [Tsang 1993], and fuzzy logic [Hagras et al 2007].

Bibliography

[Dacorogna et al 2001]

Dacorogna, M.M., Gencay, R., Muller, U., Olsen, R.B. & Picktet, O.V., An introduction to high frequency finance, Academic Press 2001

[Giampaoli et al 2009]

I.Giampaoli, W.L.Ng & N.Constantinou, Analysis of ultra-high-frequency financial data using advanced Fourier transforms, Finance Research Letters Vol 6, 2009, 47-53

[Glattfelder et al 2008]

Glattfelder, J.B., Dupuis, A. & Olsen, R., An extensive set of scaling laws and the FX coastline, Working Paper WP025-08, Centre for Computational Finance and Economic Agents (CCFEA), University of Essex, September 2008

[Fasli 2007]

M.Fasli, Agent technology for e-commerce, John Wiley and Sons, 2007

[Hagras et al 2007]

Hagras, H., Doctor, F., Callaghan, V. & Lopez, A., An Incremental Adaptive Life Long Learning Approach for Type-2 Fuzzy Embedded Agents in Ambient Intelligent Environments IEEE Transactions on Fuzzy Systems, Volume. 15, Number.1, February 2007, 41-55

[Jin et al 2009]

Jin, N., Tsang, E. & Li, J., A constraint-guided method with evolutionary algorithms for economic problems, Applied Soft Computing, 2009 (to appear)

[Lucas 2009]

Lucas, S.M., Computational Intelligence and AI in Games: a New IEEE Transactions, IEEE Transactions on Computational Intelligence and AI in Games, 2009, 1 - 3

[Markose et al 2005]

Markose, E.P.K. Tsang & S.Martinez, The red queen principle and the emergence of efficient financial markets: an agent based approach, in: T.Lux, S.Reitz and E.Samanodou (Eds.) Nonlinear Dynamics and Heterogeneous Interacting Agents, Lecture Notes in Economics and Mathematical Systems 550, Springer, Berlin, Heidelberg, 2005

[Ng 2008]

Ng, W.L., Modelling duration clusters with dynamic copulas, Finance Research Letters, 5 (2), 2008, 96-103

[Olsenworld]

Key insights, OlsenWorld, http://www.olsen.ch/key-insights/

[Phelps et al 2009]

Phelps, S., McBurney, P. & Parsons, S., Evolutionary Mechanism Design: a review, Journal of Autonomous Agents and Multi-Agent Systems (JAAMAS), 2009 (to appear)

[Tsang 1993]

E.P.K.Tsang, Foundations of constraint satisfaction, Academic Press, London, 1993

[Tsang & Martinez-Jaramillo 2004]

E.P.K.Tsang & S.Martinez-Jaramillo, Computational Finance, IEEE Computational Intelligence Society Newsletter, August 2004, 3-8

[Zhang & Li 2007]

Q. Zhang and H. Li, MOEA/D: A Multi-objective Evolutionary Algorithm Based on Decomposition, IEEE Transactions on Evolutionary Computation, vol.11, no. 6, 2007, 712-731

[Zhang et al 2009]

Q. Zhang, W. Liu, E. Tsang and B. Virginas, Expensive Multiobjective Optimization by MOEA/D with Gaussian Process Model, paper (pdf) and source code. Working Report CES-489, School of CS & EE, University of Essex, 02/2009. A revised version has been accepted by IEEE Trans on Evolutionary Computation, 2009