Expertise in High-frequency Finance Research, CCFEA
HFF Platform |
Richard Olsen is the CEO of Olsen & Associates and an authority in high-frequency finance
[Dacorogna et al 2001].
OlsenWorld presents key insights in high-frequency research
[OlsenWorld]. Glattfelder, Dupuis and Olsen discovered striking power law patterns in the foreign exchange market
et al 2008]
Wing Lon Ng is an expert in high-frequency finance [Ng 2008].
Nick Constantinou has extensive commercial experience (HSBC) in risk management [Giampaoli et al 2009].
Sheri Markose has general interest in computational economics,
in particular the Red Queen Principle [Markose et al 2005].
CCFEA has broad interest in the application of computational intelligence techniques in
finance and economics [Tsang & Martinez-Jaramillo 2004.
Steve Phelps' interest in algorithmic trading
[Phelps et al 2009]
is shared by other members in the group, including Richard Olsen, Alex Dupuis and Edward Tsang.
Maria Fasli, Steve Phelps and Edward Tsang are all interested in modelling trading agents.
Games unites research by Simon Lucas (expert in computer games)
Edward Tsang (bargaining games)
[Jin et al 2009]
and Maria fasli (trading games)
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
[Zhang & Li 2007],
constraint satisfaction [Tsang 1993],
fuzzy logic [Hagras et al 2007].
- [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
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
- 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
Edward Tsang; Last