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-
Alexandrova et al 2005
- Alexandrova-Kabadjova, B., Krause, A. & Tsang, E.P.K.,
An agent-based model of interactions in the payment card market,
10th Annual Workshop on Economic Heterogeneous Interacting Agent (WEHIA 2005),
Colchester, UK, June 2005
- Alexandrova et al 2005
- Alexandrova-Kabadjova, B., Tsang, E.P.K. & Krause, A.,
Competition among payment cards, an agent-based approach,
Agent-Based Models for Economic Policy Design 2005 (ACEPOL05),
Bielefeld University,
June 30 - July, 2, 2005
- Alexandrova et al 2006
- Alexandrova-Kabadjova, B., Krause, A. & Tsang, E.P.K.,
Competition among Payment Networks using Generalized Population Based Incremental Learning,
12th International Conference on Computing in Economics and Finance (CEF2006),
Limassol, Cyprus, 22-24 June 2006
- Alexandrova et al 2006
- Alexandrova-Kabadjova, B., Krause, A. & Tsang, E.P.K., Market structure
and information in payment card markets,
Working Paper WP006-06,
Centre for Computational Finance and Economic Agents (CCFEA),
University of Essex, March 2006
- Alexandrova et al 2007
- Alexandrova-Kabadjova, B., Tsang, E.P.K. & Krause, A.,
The price structure and the demand sensitivity in the artificial payment card market,
Proceedings, 13th International Conference on Computing in Economics and Finance (CEF2007),
Society for Computational Economics, Montreal 14 to 16 June, 2007
- Alexandrova 2007
- Alexandrova-Kabadjova, B., Tsang, E.P.K. & Krause, A.,
Competition in an artificial payment card market,
in A. Babrazon (ed.), Natural Computing in Computational Economics and Finance,
Studies in Computational Intelligence Series, Springer, 2007, 233-252
- Alexandrova 2007
Alexandrova-PhD2007.pdf (1.4MB)
- Alexandrova-Kabadjova, B.,
Artificial payment card market - an agent based approach,
PhD Thesis, Centre for Computational Finance and Economic Agents (CCFEA), University of Essex, 2007
- Alexandrova et al 2007
- Alexandrova-Kabadjova, B., Krause, A. & Tsang, E.P.K.,
An agent-based model of interactions in the payment card market,
8th International Conference on Intelligent Data Engineering and Automated Learning (IDEAL'07),
Special Session on Agent-based Approach to Service Sciences, Birmingham, 16-19 December 2007
- Alexandrova et al 2008a
- B. Alexandrova-Kabadjova, E.P.K. Tsang and A. Krause,
Finding Profit-Maximizing Strategies for the Articial Payment Card Market,
CCFEA Working Paper WP016-08, University of Essex, Great Britain, 2008
- Alexandrova et al 2008b
- B. Alexandrova-Kabadjova, E.P.K. Tsang and A. Krause,
Competition is bad for consumers: Analysis of an Artificial Payment Card Market,
CCFEA Working Paper WP017-08, University of Essex, Great Britain, 2008
- Alexandrova et al 2008c
- B. Alexandrova-Kabadjova, E.P.K. Tsang and A. Krause,
Evolutionary Learning of the Optimal Pricing Strategy in an Artificial Payment Card Market,
CCFEA Working Paper WP018-08, University of Essex, Great Britain, 2008
- Alexandrova 2009
- B. Alexandrova-Kabadjova,
Impact of interchange fees on a nonsaturated multi-agent payment card market,
Intelligent Systems in Accounting, Finance and Management, Vol.16, 2009, 33-48
- Alexandrova et al JACII 2011
- B. Alexandrova-Kabadjova, E.P.K. Tsang & A. Krause,
Competition is bad for consumers: analysis of an artificial payment card market,
Journal of Advanced Computational Intelligence and Intelligent Informatics
(JACIII),
Fuji Technology Press, Vol.15, No.2, March 2011, 188-196
- Alexandrova et al JILSA 2011
- B. Alexandrova-Kabadjova, E.P.K. Tsang & A. Krause,
Profit-maximizing strategies for an artificial payment card market, is learning possible?
Journal of Intelligent Learning Systems and Applications,
Vol.3, No.2, May 2011, 70-81
-
Alexandrova et al IJAC 2011
- B. Alexandrova-Kabadjova, A. Krause & E.P.K. Tsang,
Market structure and information in payment card markets,
International Journal of Automation and Control (IJAC), Vol.8, No.3, 2011, 364-370
- Alexandrova et al. Edited book 2012
- B. Alexandrova-Kabadjova, S. Martinez-Jaramillo, A. L. Garcia-Almanza & E. Tsang (ed.), Simulation in Computational Finance and Economics: Tools and Emerging Applications, IGI Global, 2012
- AlOud et al 2010
- M. AlOud, M., R. Olsen & E.P.K. Tsang,
Definitions of Directional-Change Events,
Paper 17, Proceedings, 2010 2nd Computer Science and Electronic Engineering Conference (CEEC),
IEEE Xplore, September 2010
-
AlOud et al 2012
- M. Aloud, E.P.K.Tsang, R.Olsen & A. Dupuis, A Directional-Change Events Approach for Studying Financial Time Series,
Economics: The Open-Access, Open-Assessment E-Journal, No. 2012-36, 7 September 2012, 1–17.
http://dx.doi.org/10.5018/economics-ejournal.ja.2012-36
(cache)
- AlOud et al 2012
- M.AlOud, E.P.K.Tsang & R.Olsen, Modelling the FX market traders' behaviour: an agent-based approach,
Chapter 15, Alexandrova-Kabadjova B., S. Martinez-Jaramillo, A. L. Garcia-Almanza & E. Tsang (ed.),
Simulation in Computational Finance and Economics: Tools and Emerging Applications, IGI Global, 2012, 202-228
- AlOud et al 2017
- AlOud, M., Fasli, M., Tsang, E., Dupuis, A. & Olsen, R.,
Modelling the high frequency FX Market: an agent-based approach,
Computational Intelligence, Vol.33, Issue 4, November 2017, 771-825
(early version)
- Aluko et al 2014
- B. Aluko, D. Smonou, M. Kampouridis & E. Tsang,
Combining different meta-heuristics to improve the predictability of a financial forecasting algorithm,
IEEE Computational Intelligence for Financial Engineering & Finance (CIFEr), London, UK, 27-28 March 2014
(early version)
- Ao 2018
- Han Ao,
A Directional Changes based study on stock market,
PhD Thesis, Centre for Computational Finance and Economic Agents, University of Essex, 2018
- Ao 2019
- Ao, H. & Tsang, E.P.K.,
Trading algorithms built with Direction Changes,
IEEE Conference on Computational Intelligence for Financial Engineering and Economics (CIFEr) 2019 Conference,
Shenzhen, China, 4th-5th May 2019
- Bakhach et al 2016a
- Bakhach, A., Tsang, E.P.K. & Jalalian, H.,
Forecasting Directional Changes in FX Markets,
IEEE Symposium on Computational Intelligence for Financial Engineering & Economics (IEEE CIFEr'16),
Athens, Greece, 6-9 December 2016
- Bakhach et al 2016b
- Bakhach, A., Tsang, E.P.K., Ng, W.L. & Raju Chinthalapati, V.L.,
Backlash Agent: A Trading Strategy Based On Directional change,
IEEE Symposium on Computational Intelligence for Financial Engineering & Economics (IEEE CIFEr'16), Athens, Greece, 6-9 December 2016
- Bakhach et al 2018b
- A. Bakhach, V.L.R. Chinthalapati, E.P.K. Tsang & A.R. El Sayed,
Intelligent Dynamic Backlash Agent: a trading strategy based on the directional change framework,
Algorithms,
Special Issue on Algorithms in Computational Finance,
MDPI Open Access Publishing (ISSN 19994893), 11(11), 2018
- Bakhach et al 2018a
- Bakhach, A., Tsang, E.P.K. & Raju Chinthalapati, V.L.,
TSFDC: A trading strategy based on forecasting directional change,
Intelligent Systems in Accounting, Finance and Management, Vol.25, Issue 3, May 2018
- Bakhach PhD 2018
- Bakhach, A.,
Developing trading strategies under the Directional Changes framework, with application in the FX market,
PhD Thesis,
Centre for Computational Finance and Economic Agents (CCFEA), University of Essex, 2018
-
Bernardo et al UKCI 2012
- D. Bernardo, H. Hagras & E.P.K. Tsang,
An interval Type-2 fuzzy logic based system for model generation and summarization of arbitrage opportunities in stock markets,
12th Annual UK Workshop on Computational Intelligence (UKCI), Edinburgh, UK, 5-7 September 2012, 1-7 (ISBN 978-1-4673-4391-6)
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Bernardo et al AIS2012
- D. Bernardo, H. Hagras & E.P.K. Tsang, An interval Type-2 fuzzy logic system for the modelling and prediction of financial applications,
International Conference on Autonomous and Intelligent Systems (AIS), Aveiro, Portugal, 25-27 June 2012, 95-105 (ISBN 978-3-642-31368-4)
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Bernardo et al FU-IEEE 2013
- D. Bernardo, H. Hagras & E.P.K. Tsang, An Genetic Type-2 fuzzy logic based system for financial applications, modelling and prediction, Proceedings,
IEEE International Conference on Fuzzy Systems (FU-IEEE), Hyderabad, India, 7-10 July 2013
-
Bernardo et al Soft Computing 2013
- D. Bernardo, H. Hagras & E.P.K. Tsang,
A genetic Type-2 fuzzy logic based system for the generation of summarised linguistic predictive models for financial applications,
Soft Computing, 2013
- Bisig et al 2012
- Bisig, T., Dupuis, A., Impagliazzo, V & Olsen, R.B.,
The scale of market quakes, Quantitative Finance Vol.12, No.4, 2012, 501-508
- Butler 2015
- Butler, J.,
Programming for Betfair,
BPT Publications, 2015. (ISBN 151143211X)
- Butler 2016
- Butler, J.,
Betfair Trading Techniques: Trading Models, Money Management, Machine Learning & Algo-Trading,
CreateSpace Independent Publishing Platform, 2016
(ISBN-10: 1514286629; ISBN-13: 978-1514286623)
{Anyone interested in machine learning for finance, forecasting and EDDIE should consult this book.}
- Chen & Tsang 2018
- J. Chen & E.P.K. Tsang,
Classification of Normal and Abnormal Regimes in Financial Markets,
Algorithms,
Special Issue on Algorithms in Computational Finance,
11(12), 202, MDPI Open Access Publishing (ISSN 19994893),
published online, December 2018
- Chen & Tsang 2019
- Chen, J. & Tsang, E.P.K.,
Tracking Regime Changes,
IEEE Conference on Computational Intelligence for Financial Engineering and Economics (CIFEr) 2019 Conference,
Shenzhen, China, 4th-5th May 2019
-
Chen & Tsang 2021
- J. Chen & E.P.K.Tsang,
Detecting Regime Change in Computational Finance, Data Science, Machine Learning and Algorithmic Trading,
CRC Press, 2021
-
Chen et al 2011
- S-H. Chen, M. Kampouridis & E.P.K. Tsang, Microstructure Dynamics and Agent-Based Financial Markets,
in T. Bosse, A. Geller, and C.M. Jonker (Eds.),
Proceedings on Eleventh International Workshop on Multi-Agent-Based Simulation (MABS 2010),
LNAI 6532, Springer-Verlag Berlin Heidelberg, 2011, 121-135
- Chinthalapati & Tsang 2019
- V.L.R. Chinthalapati & E.P.K. Tsang,
Editorial: Special Issue on Algorithms in Computational Finance,
Algorithms,
Special Issue on Algorithms in Computational Finance,
12(4), 69, MDPI Open Access Publishing (ISSN 19994893), March 2019
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Dinarvand 2016
- Dinarvand, P.,
Upward and Downward Conditional Probabilities in 28 Currency Exchange Rates,
MSc Dissertation,
Centre for Computational Finance and Economic Agents (CCFEA),
University of Essex, 2016
- Faleiro PhD 2018
- Faleiro, J.M. Jr,
Supporting Large Scale Collaboration and Crowd-based Investigation in Economics: A Computational Representation for Description and Simulation of Financial Models,
PhD Thesis,
Centre for Computational Finance and Economic Agents (CCFEA),
University of Essex, 2018
- Faleiro 2018 (a)
- Faleiro, J.M. Jr,
Enabling Scientific Crowds: The Theory of Enablers for Crowd-Based Scientific Investigation,
Technical Report Archive arXiv:1809.07195, Cornel University, 2018
(cache)
- Faleiro 2018 (b)
- Faleiro, J.M. Jr,
A Language for Large-Scale Collaboration in Economics: A Streamlined Computational Representation of Financial Models,
Technical Report Archive arXiv:1809.06471, Cornel University, 2018
(cache)
- Faleiro 2018 (c)
- Faleiro, J.M. Jr,
Automating Truth: The Case for Crowd-Powered Scientific Investigation in Economics,
Technical Report Archive arXiv:1809.02671, Cornel University, 2018
(cache)
- Faleiro & Tsang 2018 (a)
- Faleiro, J.M. Jr & Tsang, E.P.K.,
Supporting Crowd-Powered Science in Economics: FRACTI, a Conceptual Framework for Large-Scale Collaboration and Transparent Investigation in Financial Markets,
Technical Report Archive arXiv:1808.07959, Cornel University, 2018
(early version)
- Faleiro & Tsang 2018 (b)
- Faleiro, J.M. Jr & Tsang, E.P.K.,
Black Magic Investigation Made Simple: Monte Carlo Simulations and Historical Back Testing of Momentum Cross-Over Strategies Using FRACTI Patterns,
Technical Report Archive arXiv:1808.07949, Cornel University, 2018
(early version)
-
Fu 2011
- Fu, Q., Evaluation and extension of the Gann swing trading rules,
MSc Dissertation,
Centre for Computational Finance and Economic Agents (CCFEA),
University of Essex, 2011
- Garcia & Tsang 2006a
- Garcia-Almanza, A.L. & Tsang, E.P.K.,
Simplifying Decision Trees Learned by Genetic Algorithms,
Proceedings, Congress on Evolutionary Computation (CEC) 2006, 7906-7912
- Garcia & Tsang 2006b
- Garcia-Almanza, A.L. & Tsang, E.P.K., Forecasting stock prices using Genetic Programming and Chance Discovery,
Proceedings, 12th International Conference on Computing in Economics and Finance (CEF2006),
Limassol, Cyprus, 22-24 June 2006
- Garcia & Tsang 2006c
GarciaTsang-ChanceDiscovery-Kes2006.pdf
- Garcia-Almanza, A.L. & Tsang, E.P.K.,
The Repository Method for Chance Discovery in Financial Forecasting,
Proceedings, 10th International Conference on Knowledge-Based & Intelligent Information & Engineering Systems (KES2006),
Bournemouth, UK, 9-11 October 2006
-
Garcia &
Tsang, 2007
- Garcia-Almanza, A.L. & Tsang, E.P.K., Detection of stock price movements using chance discovery and genetic programming, International Journal of Knowledge-based and Intelligent Engineering Systems,
Vol.11, No.5, December 2007, 329-344
(early version, 488K)
- Garcia & Tsang 2007
GarciaTsang-Repositorymethod-Cec2007.pdf (300K)
- Garcia-Almanza, A.L. & Tsang, E.P.K.,
Repository Method to suit different investment strategies, Proceedings, Congress on Evolutionary Computation (CEC 2007),
Singapore, 25-28 September 2007, 790-797
- Garcia & Tsang 2007
(early version, 211K)
- Garcia-Almanza, A.L. & Tsang, E.P.K.,
Evolving decision rules to predict investment opportunities,
International Journal of Automation and Control (IJAC),
Vol.5, No.1, January 2008, 22-31
-
Garcia-Almanza et al 2008
- Garcia-Almanza, A.L., Tsang, E.P.K. & E Galvan-Lopez,
Evolving Decision rules to discover patterns in financial data sets,
in E. Kontoghiorghes, B. Rustem & P. Winker (ed),
Computational Methods in Financial Engineering, Springer, Heidelberg, 2008, 239-255
-
Garcia-Almanza 2008
- Garcia-Almanza, A.L.,
New classification methods for gathering patterns in the context of genetic programming,
PhD Thesis, Department of Computing and Electronic Systems, University of Essex, July 2008
(Revised version published as research monograph, 2011)
-
Garcia-Almanza & Tsang 2011 (monograph)
- Garcia-Almanza, A.L. & E.P.K. Tsang,
Evolutionary Applications for Financial Prediction:
Classification Methods to Gather Patterns Using Genetic Programming,
VDM Verlag, 2011
- Garcia-Almanza et al 2012
- Garcia Almanza, A.L., Martinez Jaramillo, S., Alexandrova-Kabadjova, B. & Tsang, E.P.K.,
Using genetic programming systems as early warning to prevent bank failure,
Chapter 14, in Yap, A.Y. (ed.),
Information systems for global financial markets,
IGI Global, 2012, 369-382
-
Glattfelder et al 2011
- Glattfelder, J.B., Dupuis, A. & Olsen, R. Patterns in high-frequency FX data: discovery of 12 empirical scaling laws, Quantitative Finance, Volume 11 (4), 2011, 599-614
- Gosling 2003
Gosling-SSCM-Cec2003.pdf (775K)
- Gosling, T.,
The Simple Supply Chain Model and Evolutionary Computation,
Proceedings, 2003 Congress on Evolutionary Computation, Canberra, Australia, December 2003, 2322-2329
- Gosling et al 2005
GosJinTsa-Pbil_vs_Ga-Cec2005.pdf (167K)
- Gosling, T., Jin, N. & Tsang, E.P.K.,
Population based incremental learning with guided mutation versus genetic algorithms: iterated prisoners dilemma,
Proceedings, Congress on Evolutionary Computation, Edinburgh, 2-5 September
2005, 958-965
- Gosling et al 2006
(Early Draft) (1.9MB)
- Gosling, T., Jin, N. & Tsang, E.P.K.,
Games, supply chains and automatic strategy discovery using evolutionary computation, in J-P. Rennard (Eds.),
Handbook of research on nature-inspired computing for economics and management,
Vol II, Chapter XXXVIII, Idea Group Reference, 2007, 572-588
- Gosling et al 2006
GoslingTsang-Sscm-Cec2006.pdf (334K)
- Gosling, T. & Tsang, E.P.K.,
Tackling the simple supply chain model, Proceedings, 2006
Congress on Evolutionary Computation, Vancouver, Canada, 16-21 July 2006,
7943-7950
- Gosling 2007 gosling-phd20070422.pdf (4.7MB)
- Gosling, T., Evolving middlemen strategies for simple supply chains,
PhD Thesis, Department of Computer Science, University of Essex, 2007
- Jin & Tsang 2005
JinTsa-Bargaining-Cig2005.pdf (72K)
- Jin, N. & Tsang, E.P.K.,
Co-evolutionary strategies for an alternating-offer bargaining problem,
IEEE Symposium on Computational Intelligence and Games, Colchester, UK 4-6 April 2005
- Jin 2005
Jin-IncompleteInfo-Cec2005.pdf (162K)
- Jin, N.,
Equilibrium selection by co-evolution for bargaining problems under incomplete information about time preferences,
Proceedings, Congress on Evolutionary Computation, Edinburgh, 2-5 September
2005, 2661-2668
- Jin & Tsang 2006
(slight error found, paper unavailable at the moment)
- Jin, N. & Tsang, E.P.K.,
Co-adaptive Strategies for Sequential Bargaining Problems with Discount Factors and Outside Options,
Proceedings, Congress on Evolutionary Computation (CEC) 2006, 7913-7920
- Jin 2007
Jin-Bargaining-PhD2007.pdf (908K)
- Jin, N.,
Constraint-based co-evolutionary genetic programming for bargaining problems,
PhD Thesis, Department of Computer Science, University of Essex, UK, 2007
- Jin et al 2009
pdf (310K)
- Jin, N., Tsang, E. & Li, J.,
A constraint-guided method with evolutionary algorithms for economic problems,
Applied Soft Computing, Vol.9, Iss.3, June 2009, 924-935
(mirror)
- John 2014
- John, Portfolio Optimization by Heuristic Algorithms,
PhD Thesis,
School of Computer Science and Electronic Engineering, University of Essex, 2014
- Jin & Tsang 2011
(doi:10.1016/j.asoc.2011.07.013)
- Jin, N. & Tsang, E.P.K., Bargaining strategies designed by evolutionary algorithms, Applied Soft Computing, Vol. 11, Issue 8, December 2011, 4701-4712
- Kampouridis & Tsang 2010
- M. Kampouridis & E.P.K. Tsang,
EDDIE for Investment Opportunities Forecasting: Extending the Search Space of the GP,
Proceedings, Congress on Evolutionary Computation, Barcelona, Spain, 18-23 July, 2010, 2019-2026
- Kampouridis & Tsang 2011
- M. Kampouridis & E.P.K. Tsang,
Using hyperheuristics under a GP framework for financial forecasting,
Proceedings, Learning and Intelligent OptimizatioN (LIONs), Rome, Italy, 17-21 January 2011
- Kampouridis et al 2010
- M. Kampouridis, S-H. Chen & E.P.K. Tsang,
Testing the Dinosaur Hypothesis Under Different GP Algorithms,
Proceedings, UK Workshop on Computational Intelligence (UKCI 2010),
Colchester, UK, IEEE Xplore, September 2010
(early version)
- Kampouridis PhD 2011
- Kampouridis, M., Computational Intelligence in Financial Forecasting and Agent-Based Modeling: Applications of Genetic Programming and Self-Organizing Maps,
PhD Thesis, University of Essex, 2011
-
Kampouridis et al 2011
- M. Kampouridis, S-H. Chen & E.P.K. Tsang, Market microstructure: a self-organizing map approach to investigate, Natural Computing in Computational Finance, Volume 4, 2011
- Kampouridis et al 2012a
- M. Kampouridis, S-H. Chen & E.P.K. Tsang, Microstructure dynamics and agent-based financial markets: can dinosaurs return? Advances in Complex Systems, Vol.15, No.5, 2012
-
Kampouridis et al 2012b
- M. Kampouridis, S-H. Chen & E.P.K. Tsang, Market fraction hypothesis: a proposed test, International Review of Financial Analysis, Vol.23, 2012, 41-54
-
Kampouridis et al 2012c
- M. Kampouridis & E.P.K. Tsang,
Investment opportunities forecasting: extending the grammar of a GP-based tool, International Journal of Computational Intelligence Systems, Vol.5, No.3, 2012, 530-541
- Kampouridis et al 2013
- M. Kampouridis, A. Alsheddy & E.P.K. Tsang,
On the investigation of hyper-heuristics on a financial forecasting problem, Annals of Mathematics and Artificial Intelligence, Vol.68, Issue 4, 2013,225-246
- Jin Li & Tsang 1999a
LiTsa-Improve-FLAIRS99.ps (509K)
PDF (57K)
- Li, J. & Tsang, E.P.K.,
Improving technical analysis predictions: an application of genetic programming,
Proceedings, The 12th International FLAIRS Conference
(FLAIRS-99), USA, 1999,
108-112
- Jin Li & Tsang 1999b
LiTsa-C45-Cec99.ps (560K)
PDF (57K)
- Li, J. & Tsang, E.P.K.,
Investment decision making using FGP: a case study,
Proceedings, Congress on Evolutionary Computation, Washington DC, USA, 6-9 July 1999, 1253-1259
- Jin Li & Tsang 2000
LiTsa-LowRF-Cef2000.ps (754K)
PDF (92K)
- Li, J. & Tsang, E.P.K.,
Reducing Failures in Investment Recommendations using Genetic Programming,
Proceedings, 6th International Conference on Computing in Economics and Finance, Society for Computational Economics, Barcelona, July 2000
-
Jin Li PhD 2001
Li-FGP-PhD2000.pdf
- Li, J.,
FGP: a genetic programming based tool for financial forecasting,
PhD Thesis, University of Essex, Colchester, Essex CO4 3SQ, UK, 2001
-
Shengnan Li
PhD, 2022 (3M)
- Li, S.,
Relating Volatility and Jumps between two markets under Directional Change,
PhD thesis, Centre for Computational Finance & Economic Agents, University of Essex, September 2022
- LiTsOH 2022
- S. Li, E.P.K. Tsang & J. O'Hara,
Measuring relative volatility in high‐frequency data under the directional change approach,
Intelligent Systems in Accounting, Finance and Management, 02 June 2022;
http://dx.doi.org/10.1002/isaf.1510
(Our reference: LiTsOH-RelativeVolatility-ISAFM2022.pdf)
- Ma 2022
- S. Ma,
Tracking and nowcasting directional changes in the Forex market,
PhD thesis, Centre for Computational Finance and Economic Agents (CCFEA), University of Essex, 2022.
- Markose et al 2001
- S. Markose, E.P.K. Tsang, H. Er, & A. Salhi,
Evolutionary arbitrage for FTSE index options and futures,
Proceedings, Congress on Evolutionary Computation, CEC 2001
(Special Session on Time Series Analysis & Compumetric Forecasting), 2001,
275-282
- Markose et al 2001
- S. Markose, E.P.K. Tsang & H. Er,
Evolutionary Decision Trees in FTSE-100 Index Options and Futures Arbitrage,
in S-H. Chen (ed.),
Genetic Algorithms and Programming in Computational Finance,
Kluwer Series in Computational Finance, Chapter 14, 281-308
- Markose 2001
- S. Markose,
The new evolutionary computational paradigm of complex adaptive systems,
in S-H. Chen (ed.),
Genetic Algorithms and Programming in Computational Finance,
Kluwer Series in Computational Finance, Chapter 21, 443-484
- Markose 2003a
Markose-Computability-EconomicsDP574.pdf (324 K)
- S. Markose,
Computability and evolutionary complexity: market as complex adaptive systems (CAS),
Discussion Paper 574, Economics Department, University of Essex, March 2003
- Markose 2003b
Markose-Surprise-EconomicsDP575.pdf (314 K)
- S. Markose,
Novelty and surprises in complex adaptive systems (CAS) dynamics: a computational theory of actor innovation,
Invited talk: International Conference on
Applications of Physics in Financial Analysis 4 (APFA4),
Warsaw, 13-15 November 2003
(Also appear as Discussion Paper 575, Economics Department, University of Essex, November 2003)
- Markose et al 2004
Markose-RedQueen-Wehia2004.pdf (2.5MB)
- Markose, E.P.K. Tsang & S.Martinez-Jaramillo, 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 (Proceedings, 8th Workshop on economics and
heterogeneous interacting agents (WEHIA), Kiel, Germany, Springer-Verlag, 2004)
- Marquez & Martinez 2009
(Martinez-StressTesting-ISAF_2009.pdf 700K)
- Marquez Diez Canedo, J & Martinez-Jaramillo, S.,
A network model of systemic risk: stress testing the banking system,
Intelligent Systems in Accounting, Finance and Management, Vol.16, 2009, 87-110
- Martinez 2007
(Martinez-PhD2007.pdf 6MB)
- Martinez-Jaramillo, S.,
Artificial financial markets: an agent based approach to reproduce stylized facts and to study the Red Queen Effect,
PhD Thesis, Centre for Computational Finance and Economic Agents (CCFEA), University of Essex, 2007
- Martinez & Tsang 2009
- Martinez-Jaramillo, S. & E.P.K. Tsang,
Evolutionary Computation and Artificial Financial Markets,
in A. Brabazon & M. O'Neill (eds.), Natural Computing in Computational Finance,
Vol. 185, Springer-Verlag Berlin Heidelberg, 2009, 137-179
- Martinez & Tsang 2009
(early version 1.5MB)
- Martinez-Jaramillo, S. & Tsang, E.P.K.,
An heterogeneous, endogenous and co-evolutionary GP-based financial market,
IEEE Transactions on Evolutionary Computation, Vol.13, No.1, 2009, 33-55
- Masry et al 2010
- S. Masry, M. AlOud, A. Dupuis, R. Olsen & E.P.K. Tsang,
A novel approach for studying the high-frequency FOREX Market,
Paper 15, Proceedings, 2010 2nd Computer Science and Electronic Engineering Conference (CEEC),
IEEE Xplore, September 2010
- Masry et al 2013
- S. Masry, A. Dupuis, R.B.Olsen & E.P.K. Tsang, Time Zone Normalisation of FX Seasonality,
Quantitative Finance,
Vol.13, No.7, 2013, 1115-1123 (ISSN 1469-7688)
(Published on line by Taylor & Francis Online 9th June 2013)
-
Masry PhD 2013 (4MB)
- S. Masry, Event-Based Microscopic Analysis of the FX Market,
PhD Thesis, Centre for Computational Finance and Economic Agents (CCFEA),
University of Essex, June 2013
-
Nazmy 2016
- Nazmy, A.,
Value-at-Risk and Expected Shortfall for oil & gas related securities during the oil price slide,
MSc Dissertation,
Centre for Computational Finance and Economic Agents (CCFEA),
University of Essex, 2016
-
Nolivari MSc 2015 (1.3MB)
- M. Nolivari,
Stress-testing SPEI: Policy recommendations about the Mexican Payment System simulating distressed liquidity scenarios,
MSc Thesis, Centre for Computational Finance and Economic Agents (CCFEA),
University of Essex, September 2015 (winner of the
Best MSc Project Prize, 2015)
-
Ockenden 2016
- Ockenden, A.,
Hedging Volatility Dispersion Portfolios: A Comparative Analysis,
MSc Dissertation,
Centre for Computational Finance and Economic Agents (CCFEA),
University of Essex, 2016
-
Paniangtong MSc 2015 (2.2MB)
- S. Paniangtong, The Evaluation of the Trend-Following Directional Change with the Trailing Stop and Major-Trend-Adjusted Strategies on Algorithmic Trading in the Foreign Exchange Markets,
MSc Thesis, Centre for Computational Finance and Economic Agents (CCFEA),
University of Essex, September 2015
- Qi PhD 2011
- J. Qi,
Risk measurement with high-frequency data -- value-at-risk and scaling law methods,
PhD Thesis, Centre for Computationa Finance and Economic Agents (CCFEA), University of Essex, 2012
- Serguieva et al 2009
- A. Serguieva, G.M. Caporale, E.P.K.Tsang & R. Yager,
Editorial, Special issue on Risk Analysis in Complex Systems,
Intelligent Systems in Accounting, Finance and Management, Vol.16, No.1-2, 2009, 1-3
- Shao et al 2014
- M. Shao, D. Smonou, M. Kampouridis & E. Tsang,
Guided Fast Local Search for speeding up a financial forecasting algorithm,
IEEE Computational Intelligence for Financial Engineering & Economics (CIFEr), London, UK, 27-28 March 2014
(early version)
- Smonou et al 2013
- D. Smonou, M. Kampouridis & E.P.K.Tsang,
Metaheursitics application on a financial forecasting problem,
Proceedings, IEEE Congress on Evolutionary Computation, Cancun, Mexico, 20-23 June 2013
(early version)
-
Tao PhD 2018
- Tao, R.,
Using Directional Change for Information Extraction in Financial Market Data,
PhD Thesis, Centre for Computational Finance and Economic Agents (CCFEA), University of Essex, 2018
- Tsang, Butler & Li 1998
(An early version in pdf 171K)
- Tsang, E.P.K., Butler, J.M. & Li, J.,
EDDIE beats the bookies,
International Journal of Software, Practice & Experience,
Wiley, Vol.28(10), August 1998, 1033-1043
- Tsang et al 2000
- zipped html version (32K)
pdf version (150K)
postscript version (478K)
- Tsang, E.P.K., Li, J., Markose, S., Er, H., Salhi, A. & Iori, G.,
EDDIE In Financial Decision Making,
Journal of Management and Economics
, Vol.4, No.4, November 2000
- Tsang & Li 2000
(early version 272K)
- E.P.K. Tsang & J. Li,
Combining Ordinal Financial Predictions With Genetic Programming,
Proceedings, Second International Conference on Intelligent Data Engineering and Automated Learning
(IDEAL-2000), Hong Kong, December 13-15, 2000, 532-537
pdf version (141K)
- Tsang & Li 2002
TsangLi-FGP-Chen_CompFinance2002.pdf (271K, ignore chapter and page numbers)
- E.P.K. Tsang & J. Li,
EDDIE for financial forecasting,
in S-H. Chen (ed.),
Genetic Algorithms and Programming in Computational Finance,
Kluwer Series in Computational Finance, 2002, Chapter 7, 161-174
- Tsang & Gosling 2002
TsaGos-Negotiation-AAMAS2002.pdf (110K)
- Tsang, E.P.K. & Gosling, T.,
Simple constrained bargaining game, First International Joint Conference on
Autonomous Agents and Multi-Agent Systems (AAMAS-2002),
Bologna, Italy, July 15-19, 2002
(http://lia.deis.unibo.it/aamas2002/)
- Tsang, Yung & Li 2004
(early version, 1.9MB)
- E.P.K.Tsang, P.Yung & J.Li,
EDDIE-Automation, a decision support tool for financial forecasting,
Journal of Decision Support Systems,
Special Issue on Data Mining for Financial Decision Making,
Vol.37, No.4, 2004, 559-565
- Tsang
2003 CSM-385.pdf
(1.43M)
- E.P.K. Tsang, Cooperation in competitions -- constraint propagation
strategies in chain-bargaining, Technical Report CSM-385, Department of
Computer Science, University of Essex, April 2003
- Tsang & Martinez-Jaramillo
2004 TsangMartinez-CompFinance-Ieee_conneCtIonS2004.pdf
(310K)
- E.P.K. Tsang & S.Martinez-Jaramillo,
Computational Finance,
IEEE Computational Intelligence Society Newsletter, August 2004, 3-8
- Tsang et al 2005
TGVVO-Reconnet-Mista2005.pdf (1.6MB)
- E.P.K.Tsang, T.Gosling, B.Virginas, C.Voudouris & G.Owusu,
Retractable contract network for distributed scheduling,
Proceedings, 2nd Multidisciplinary International
Conference on Scheduling: Theory & Applications (MISTA), New York, July 2005, 485-500
- Tsang et al 2005
(early version, 115K)
- Tsang, E.P.K., Markose, S. & Er, H.,
Chance discovery in stock index option and future arbitrage,
New Mathematics and Natural Computation, World Scientific, Vo.1, No.3, 2005, 435-447
- Tsang et al 2006
(TMEG-ChanceDiscovery-NMF2006.pdf, 207K)
- Tsang, E.P.K., Markose, S., Er, H. & Garcia, A., EDDIE for
discovering arbitrary opportunities, Post-conference Proceedings, Keynote Speech,
Numerical Methods for Finance Conference, Dublin, Ireland, 14-15 June
2006 (extended abstract of the work above)
- Tsang & Jin 2006
- Tsang, E.P.K. & Jin, N., An Incentive Method to handle constraints in evolutionary algorithms with a case study,
Proceedings, European Conference on Genetic Programming, 2006, Budapest, 10-12 April 2006, 133-144
- Tsang 2006
(Abstract /
Notes)
- Tsang, E.P.K.,
Wind-tunnel Testing for strategy and market design,
Invited Talk,
Proceedings, Sixth IEEE International Conference on Intelligent System Design and Applications (ISDA06),
Jinan, China, 16-18 October 2006, xxxvii-xxxvii
- Tsang 2008,
The CIDER Theory
(SpringerLink)
- Tsang, E.P.K.,
Computational intelligence determines effective rationality,
International Journal of Automation and Control (IJAC), Vol.5, No.1, January 2008, 63-66
(mirror)
(Early version:
Working Paper
WP015-07,
Centre for Computational Finance and Economic Agents (CCFEA),
University of Essex, December 2007;
SSRN)
- Tsang 2008, IEEE TEC Editorial
(draft)
- Tsang, E.P.K. & Isasi, P., Editorial Introduction, Special Issue on Computational Finance and Economics,
IEEE Transactions on Evolutionary Computation, Vol.13, No.1, February 2009, 1-2
- Tsang 2009,
Forecasting (project overview)
- Tsang, E.P.K., Forecasting -- where computational intelligence meets the stock market,
Frontiers of Computer Science in China, Springer, Vol.3, No.1, March 2009, 53-63
(also filed as Working Paper
WP026-08,
Centre for Computational Finance and Economic Agents (CCFEA),
University of Essex, revised December 2008)
- Tsang 2010
(Book Review)
- Tsang, E.P.K. Book Review, on A.K. Kordon, Applying Computational Intelligence, Springer 2010,
IEEE Computational Intellgience Magazine, May 2010, 108-109
- Tsang, Olsen & Masry 2009-2010
(WP038-10)
- Tsang, E.P.K. & Olsen, R., Event Calculus on high frequency finance,
Workshop in Accounting, Finance and Management, BCS SGAI International Conference on Artificial Intelligence, Cambridge, UK 15 December 2009
(Revised paper filed as Working Paper WP038-10,
Centre for Computational Finance and Economic Agents (CCFEA),
University of Essex, 6 March 2012;
further revised paper, with title changed, to appear in Quantitative Finance, see
Tsang et al 2012)
-
Tsang CP2010
- Tsang, E.P.K., Constraint-directed Search in Computational Finance and Economics,
Extended Abstract, Invited Talk,
in 16th International Conference on Principles and Practices of Constraint Programming, St Andrews, 7 September 2010
-
Tsang CCFEA 2010
- Tsang, E.P.K., New ways to understand financial markets,
Working Paper WP046-10,
Centre for Computational Finance and Economic Agents (CCFEA),
University of Essex, October 2010
-
Tsang CCFEA 2010
- Tsang, E.P.K., Computation in finance: potentials and limitations,
Working Paper WP047-10,
Centre for Computational Finance and Economic Agents (CCFEA),
University of Essex, November 2010
-
Tsang CCFEA 2010
- Tsang, E.P.K., Directional changes, definitions,
Working Paper WP050-10,
Centre for Computational Finance and Economic Agents (CCFEA),
University of Essex, November 2010
- Tsang 2012
- Tsang, E.P.K., Economic markets need warning system to avert crashes, New Scientist, 18 April 2012
- Tsang et al 2013
- Tsang, E.P.K., Olsen, R. & Masry, S.,
A Formalization of Double Auction Market Dynamics,
Quantitative Finance, Vol.13, Iss.7, July 2013, 981-988
(From early Working Paper WP038-10,
revised 2012 with title changed)
- Tsang 2014
- Tsang, E.P.K.,
Notations for Directional Change (DC) research,
Research Note, 17 April 2014
- Tsang et al 2017
- Edward P K Tsang, Ran Tao, Antoaneta Serguieva and Shuai Ma,
Profiling High Frequency Equity Price Movements in Directional Changes,
Quantitative Finance, Vol.17, Issue 2, 2017, 217-225
(published on line: 07 June 2016)
(An earlier version of this paper appeared as
Working Paper WP077-15,
Centre for Computational Finance and Economic Agents (CCFEA), University of Essex, June 2015)
- Tsang 2017
- Tsang, E.P.K.,
Directional changes: a new way to look at price dynamics,
In: Mandal J., Dutta P., Mukhopadhyay S. (eds) Computational Intelligence, Communications, and Business Analytics (CICBA),
Communications in Computer and Information Science, Vol. 775, Springer, 2017, 45-55
(early version)
- Tsang and Chen 2018
- E.P.K.Tsang & J. Chen,
Regime change detection using directional change indicators in the foreign exchange market to chart Brexit,
IEEE Transactions in Emerging Technology in Computational Intelligence (TETCI), Vol.2, Issue 3, June 2018, pages 185-193
(DOI: 10.1109/TETCI.2017.2775235 / Electronic ISSN: 2471-285X)
- Tsang 2021
- E.P.K.Tsang,
Directional change for handling tick-to-tick data,
Journal of Chinese Economic and Business Studies, 2021
(DOI: 10.1080/14765284.2021.1989883)
(early version)
- Tsang 2023
- E.P.K.Tsang,
AI for Finance, CRC Press, June 2023
- Tsang et al 2024
- E.P.K.Tsang, S. Ma & V.L. Raju Chinthalapati,
Nowcasting directional change in high frequency FX markets,
Intelligent Systems in Accounting, Finance and Management, Wiley, Vol.31, Issue 1, e1552, March 2024
(Archive)
- Voicu 2012
- Voicu, S.,
Directional change trading trategies in the foreign exchange markets, MSc Thesis, Centre for Computational Finance and Economic Agents (CCFEA), University of Essex, 2012
- Wang et al 2010
- P. Wang, E.P.K. Tsang, T. Weise, K. Tang & X. Yao, Using GP to evolve decision rules for classification in financial data sets, The 9th IEEE International Conference on Cognitive Informatics (ICCI 2010), Beijing, 7-9 July 2010
- Wang et al 2011
- P. Wang, K. Tang, E.P.K. Tsang, X. Yao,
A memetic genetic programming with decision tree-based local search for classification problems,
in Proceedings of the 12th IEEE Congress on Evolutionary Computation (CEC’11), 2011, pp. 917–924
(mirror)
-
Wang et al 2012
- P. Wang, K. Tang, T. Weise, E.P.K. Tsang & X. Yao, Multiobjective Genetic Programming for Maximizing ROC Performance, Neurocomputing, accepted for publication, July 2012
(mirror)
-
Yang 2011
- Yang, Y.,
Technical analysis of trading rules in stock market within FTSE 100 stock data
MSc Dissertation,
Centre for Computational Finance and Economic Agents (CCFEA),
University of Essex, 2011
- Ye et al 2017
- Ye, A., Chinthalapati, V.L.R., Serguieva, A. & Tsang, E.,
Developing sustainable trading strategies using directional changes with high frequency data,
IEEE International Conference on Big Data, Boston, 11-14 December 2017
-
Zhang et al 2010
- Zhang, Q., Li, H., Maringer, D. & Tsang, E.P.K.,
MOEA/D with NBI-style Tchebycheff approach for Portfolio Management,
Proceedings, Congress on Evolutionary Computation, Barcelona, Spain, 18-23 July, 2010, 3008-3015
(IEEE Explore)
