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CIFEr 2014: London, UK
- IEEE Conference on Computational Intelligence for Financial Engineering & Economics, CIFEr 2014, London, UK, March 27-28, 2014. IEEE 2014
- Mateusz Wilinski, Wei Cui, Anthony Brabazon
:
An analysis of price impact functions of individual trades on the London Stock Exchange. 1-8 - Efstathios Panayi, Gareth W. Peters
Survival models for the duration of bid-ask spread deviations. 9-16 - Christian Oesch:
An agent-based model for market impact. 17-24
Session 1B: Forecasting 1
- Yicun Ouyang, Hujun Yin:
Time series prediction with a non-causal neural network. 25-31 - Scott McDonald, Sonya A. Coleman
A comparison of forecasting approaches for capital markets. 32-39 - Leandro Maciel
Exchange rate forecasting using echo state networks for trading strategies. 40-47
Session 1C: Text Mining and Sentiment Analysis 1
- Samuel Rönnqvist, Peter Sarlin:
From text to bank interrelation maps. 48-54 - Steve Y. Yang, Sheung Yin Kevin Mo, Xiaodi Zhu:
An empirical study of the financial community network on Twitter. 55-62 - Steve Y. Yang, Anqi Liu
Twitter financial community modeling using agent based simulation. 63-70
Session 2A: Financial Markets 2
- Takanobu Mizuta
Do dark pools stabilize markets and reduce market impacts? Investigations using multi-agent simulations. 71-76 - Yi Cao
Detecting price manipulation in the financial market. 77-84 - Yi Cao
Detecting wash trade in the financial market. 85-91 - Manuel Kleinknecht, Wing Lon Ng:
Improving portfolio risk profile with threshold accepting. 92-99 - Giuseppe Carlo Calafiore
Multi-period asset allocation with lower partial moments criteria and affine policies. 100-106 - Gerda Cabej, Manfred Gilli, Enrico Schumann:
Better portfolios with options. 107-113 - Sven F. Crone, Christian Koeppel:
Predicting exchange rates with sentiment indicators: An empirical evaluation using text mining and multilayer perceptrons. 114-121 - Fan Sun, Ammar Belatreche, Sonya A. Coleman
Pre-processing online financial text for sentiment classification: A natural language processing approach. 122-129 - John Robert Yaros, Tomasz Imielinski:
Diversification improvements through news article co-occurrences. 130-137
Session 3A: Financial Markets 3
- Takanobu Mizuta
Regulations' effectiveness for market turbulence by large erroneous orders using multi agent simulation. 138-143 - Kiyotaka Ide, Ryota Zamami, Akira Namatame:
A mesoscopic approach to modeling and simulation of systemic risks. 144-151 - Yoshiharu Maeno, Satoshi Morinaga, Kenji Nishiguchi, Hirokazu Matsushima:
Impact of credit default swaps on financial contagion. 152-157
Session 3B: Portfolios 2
- António Silva, Rui Ferreira Neves
Portfolio optimization using fundamental indicators based on multi-objective EA. 158-165 - Chetan Saran Mehra, Adam Prügel-Bennett, Enrico H. Gerding
Constructing smart portfolios from data driven quantitative investment models. 166-173 - Phil Maguire, Philippe Moser, Kieran O'Reilly, Conor McMenamin, Robert Kelly, Rebecca Maguire
Maximizing positive porfolio diversification. 174-181
Session 3C: Risk and Forecasting
- Adam W. Kowalewski, Owen D. Jones, Kotagiri Ramamohanarao
Volatility homogenisation decomposition for forecasting. 182-189 - Jia-Wen Gu, Wai-Ki Ching, Harry Zheng:
A hidden Markov reduced-form risk model. 190-196 - Robert Max van Essen, Viorel Milea, Flavius Frasincar
A framework for Web news items analysis in relation to share prices. 197-202
Plenary: Poster Session
- Andranik S. Akopov
Modelling the dynamics of the "Smarter Region". 203-209 - Giulio Carlone
High frequency trading an analysis regarding volatility and liquidity starting from a base case of algorithms and a dedicated software architecture. 210-214 - Christian Brugger, Christian de Schryver
Mixed precision multilevel Monte Carlo on hybrid computing systems. 215-222 - José M. Merigó
Bibliometric analysis in financial research. 223-230 - Gary D. Boetticher:
Engineering Financial Engineering. 231-238 - Aistis Raudys:
Optimal negative weight moving average for stock price series smoothing. 239-246 - Pawel Fiedor:
Frequency effects on predictability of stock returns. 247-254 - Sven Koschnicke, Vasco Grossmann, Christoph Starke, Manfred Schimmler:
Quality and consistency assurance of quote data for algorithmic trading strategies. 255-261 - Eduardo A. Gerlein
Multi-agent pre-trade analysis acceleration in FPGA. 262-269 - Zvonko Kostanjcar, Branko Jeren, Zeljan Juretic:
Modelling the relationship between developed equity markets and emerging equity markets. 270-277 - Jianjun Yang, Yunhai Tong, Xinhai Liu, Shaohua Tan:
Causal inference from financial factors: Continuous variable based local structure learning algorithm. 278-285 - Ash Booth, Enrico H. Gerding
Predicting equity market price impact with performance weighted ensembles of random forests. 286-293 - Andrew Todd, Roy Hayes, Peter A. Beling, William T. Scherer:
Micro-price trading in an order-driven market. 294-297 - Bin-Tzong Chie, Shu-Heng Chen
Role of Price in industry dynamics: A modular perspective. 298-302
Session 4A: Volatility Modeling
- Jia Zhai, Yi Cao
On the calibration of stochastic volatility models: A comparison study. 303-309 - Nikolay Y. Nikolaev, Lilian M. de Menezes
Nonlinear filtering of asymmetric stochastic volatility models and Value-at-Risk estimation. 310-317 - Felipe A. Tobar, Marcos E. Orchard, Danilo P. Mandic, Anthony G. Constantinides:
Estimation of financial indices volatility using a model with time-varying parameters. 318-324
Session 4B: Forecasting and Algorithmic Trading
- Ming Shao, Dafni Smonou, Michael Kampouridis
Guided Fast Local Search for speeding up a financial forecasting algorithm. 325-332 - Babatunde Aluko, Dafni Smonou, Michael Kampouridis
Combining different meta-heuristics to improve the predictability of a Financial Forecasting algorithm. 333-340 - Yauheniya Shynkevich, T. Martin McGinnity
Forecasting stock price directional movements using technical indicators: Investigating window size effects on one-step-ahead forecasting. 341-348
Special Session 4C: Agent-Based Computational Economics 1
- Claudius Gräbner:
How agent-based modeling and simulation relates to CGE and DSGE modeling. 349-356 - Ben Vermeulen
Technological progress and effects of (Supra) regional innovation and production collaboration. An agent-based model simulation study. 357-364 - Robert E. Marks:
Learning to be risk averse? 365-369
Session 5A: Derivative Pricing
- Yu Tian
Pricing window barrier options with a hybrid stochastic-local volatility model. 370-377 - Gerasimos G. Rigatos:
A Kalman filtering approach for detection of option mispricing in the Black-Scholes PDE model. 378-383 - Chuan-Ju Wang, Ming-Yang Kao:
Optimal search for parameters in Monte Carlo simulation for derivative pricing. 384-390
Session 5B: Algorithmic Trading 1
- Yun Shen, Ruihong Huang, Chang Yan, Klaus Obermayer:
Risk-averse reinforcement learning for algorithmic trading. 391-398 - John Robert Yaros, Tomasz Imielinski:
Using equity analyst coverage to determine stock similarity. 399-406 - Dietmar Maringer
Transition variable selection for regime switching recurrent reinforcement learning. 407-413
Special Session 5C: Agent-Based Computational Economics 2
- Ali Asjad Naqvi
Simulating natural disasters - A complex systems framework. 414-421 - Weihong Huang, Yu Zhang:
Wealth inequality and wealth effect. 422-426 - Bernhard Rengs
A computational agent-based simulation of an artificial monetary union for dynamic comparative institutional analysis. 427-434
Session 6A: Hedging
- Dong-Mei Zhu, Yue Xie, Wai-Ki Ching, Harry Zheng:
On pricing and hedging basket credit derivatives with dependent structure. 435-440 - Farzad Noorian, Philip Heng Wai Leong
Dynamic hedging of foreign exchange risk using stochastic model predictive control. 441-448 - Easwar Subramanian, VijaySekhar Chellaboina:
Explicit solutions of discrete-time quadratic optimal hedging strategies for European contingent claims. 449-456
Session 6B: Algorithmic Trading and High Frequency Trading
- Dieter Hendricks
A reinforcement learning extension to the Almgren-Chriss framework for optimal trade execution. 457-464 - Vince Vella, Wing Lon Ng:
Enhancing intraday trading performance of Neural Network using dynamic volatility clustering fuzzy filter. 465-472 - Patrick Gabrielsson, Ulf Johansson, Rikard König:
Co-evolving online high-frequency trading strategies using grammatical evolution. 473-480
Session 6C: Forecasting 2
- Raul Rosa, Leandro Maciel
Evolving hybrid neural fuzzy network for realized volatility forecasting with jumps. 481-488 - Zhe Sun, Marco A. Wiering, Nicolai Petkov:
Classification system for mortgage arrear management. 489-496 - Rui Jorge Almeida, Nalan Bastürk, Uzay Kaymak
Probabilistic fuzzy systems for seasonality analysis and multiple horizon forecasts. 497-504
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