Reading List
CF963, CCFEA, Autumn Term 2016-2017
Learning and Computational Intelligence in Economics and Finance

No single source covers the whole module. The field is developing very fast. Following are useful material.
(If you can't find any of the following material in our library, please recommend it to the library or let me know.)

Core Material:

• Tsang, E.P.K., Computational intelligence determines effective rationality, International Journal on Automation and Control, Vol.5, No.1, January 2008, 63-66 (pdf)
• Tsang, E.P.K. & Li, J., 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 (pdf)
• Tsang, E.P.K., Forecasting -- where computational intelligence meets the stock market, Frontiers of Computer Science in China, Springer, 2009, 53-63 (mirror)
• 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, 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, E.P.K., Olsen, R. & Masry, S. A Formalization of Double Auction Market Dynamics, Quantitative Finance, Vol.13, Iss.7, July 2013, 981-988 WP038-10, Centre for Computational Finance and Economic Agents (CCFEA), University of Essex, October 2012)
• Tsang, E.P.K., Directional changes, definitions, Working Paper WP050-10, Centre for Computational Finance and Economic Agents (CCFEA), University of Essex, November 2010
• 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 (early version)
• Alentorn, A., Moraglio, A. & Johnson, C., Heuristic Portfolio Optimisation for a Hedge Fund Strategy using the Geometric Nelder-Mead Algorithm, UK Workshop on Computational Intelligence, Colchester, UK, 8-10 September 2010

Specialized computational techniques:

• 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)
• Tsang, E.P.K., Yung, P. & Li, J., 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 (pdf)
• 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 (pdf)
• 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)
• 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 (pdf)
• 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 (early version)
• On multi-objective optimization: [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
• Significant discoveries (directional changes): 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 (pdf / early version)

General references:

• Computational Finance: Brabazon, A. & O'Neill, M., Biologically inspired algorithms for Financial Modelling, Springer-Verlag 2006
• On high-frequency finance: Dacorogna, M.M., Gencay, R., Muller, U., Olsen, R.B. & Picktet, O.V., An introduction to high frequency finance, Academic Press 2001
• New results on high-frequency finance: Bisig, T., Dupuis, A., Impagliazzo, V & Olsen, R.B., The scale of market quakes, Quantitative Finance Vol.12, No.4, 2012, 501-508
• New ideas on high-frequency finance: [Olsenworld] Key insights, OlsenWorld, http://www.olsen.ch/key-insights/
• Forecasting application: 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
• Agent-based Economics: The economy needs agent-based modelling J.D.Farmer & D.Foley, Nature, Vol.460, 6 August 2009 (cache)
• On agent technology: M.Fasli, Agent technology for e-commerce, John Wiley and Sons, 2007
• On computer games: 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
• On artificial intelligence: Russell, S. & Norvig, P., Artificial Intelligence, A Modern Approach, Prentice Hall, Third Edition, 2011
• On constraint satisfaction: Tsang, E.P.K., Foundations of constraint satisfaction, Academic Press, London, 1993
• On heuristic search: Gendreau, M. & Potvin, J-Y. (ed.), Handbook of Metaheuristics, Springer-Verlag, 2011
• On machine learning: Mitchell, T., Machine Learning, McGraw Hill, 1997
• On machine learning and optimization: Battiti, R. & Brunato, M., The LION Way, LIONlab, University of Trento, 2014
• On machine learning with Neural Network: Bishop, C., Pattern Recognition and Machine Learning, Springer-Verlag 2007
• On portfolio optimization: Maringer, D., Portfolio management with heuristic optimization, Springer-Verlag 2005
• Computational Intelligence and its applications: Kordon, A.K. Applying Computational Intelligence, Springer-Verlag 2010 (new book, useful for practitioners, see Tsang's review)
• VBA Implementations: Webber, N., Implementing models of financial derivatives, object oriented applications with VBA, Wiley Finance, 2011
• Fractal in finance: Mandelbrot, B. & Hudson, R.L., The (Mis)Behavior of Markets: A Fractal View of Risk, Ruin, and Reward, Basic Books, 2004
• Alternative view to Money: Rothbard, M., What has Government Done to Our Money?, Ludwig von Mises Institute, fifth edition, 2005
• Opinions that are well worth reading: Willem Buiter's blog on FT.COM (Professor Buiter has moved on in 2010)
• Games, background reading (EDDIE mentioned): Epstein, R., The theory of gambling and statistical logic, Academic Press 2009
• Trading strategies: Robert Krausz, W.D. Gann Treasure Discovered, Marketplace Books, 2005

High Frequency Trading resources from Olsen:

• FX Heatmap
• Olsenscale
• Open Position Summary
• OANDA FX trading