Get Computational Economics: A Perspective from Computational PDF

By Shu-Heng Chen

ISBN-10: 1591406498

ISBN-13: 9781591406495

Chen, Jain, and Tai assemble various fascinating functions of computational intelligence techniques of their edited Computational Economics: A viewpoint from Computational Intelligence ebook. Contributions during this quantity exhibit how mixtures of neural networks, genetic algorithms, wavelets, fuzzy units, and agent-based modeling are used in fixing a number of managerial decision-making difficulties. the amount is wealthy with purposes in monetary modeling, alternative pricing, market-making, optimization of industry suggestions, optimization for site visitors coverage, expense estimation, coverage appraisal in a legal justice procedure, capital keep watch over, and fixing association idea difficulties.

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By simulating the traders’ price forecasts and their trading strategy evolution, the agents’ economic performance is found to be best with a 1-year forward time horizon, and it deteriorates significantly for tests with horizons exceeding 2 years, supporting the idea of frequent structural breaks. 2% of trade value. Average return improvement over B/H strategy is 20%, with the first five outperforming the benchmark by 50% and the last three by 2%. The primary strategy (in profitability terms) superiority over B/H strategy was 72%.

At the same time, for the whole set of trading strategies investigated, there is no dominance by strategies with a particular training horizon. Therefore, my results do not support a claim that longer training generates more statistically accurate or profitable strategies. To maximize ANN generalization, with dividing the data into training, cross validation, and testing sets, I have considered a number of distributions. With all three time Copyright © 2006, Idea Group Inc. Copying or distributing in print or electronic forms without written permission of Idea Group Inc.

Paper presented at the Parallel Problem Solving from Nature-Applications in Statistics and Economics Workshop, Germany. , & Wooten, D. (2003). Help and manual. , & Willams, J. T. (1977). Estimating betas from nonsynchronous data. Journal of Financial Economics, 5(3), 309-327. Sweeney, R. J. (1988). Some filter rule tests: Methods and results. Journal of Financial and Quantitative Analysis, 23, 285-301. ENDNOTES 1 2 3 CI is a development paradigm of intelligent systems with data-driven methodologies to model intelligence observed from natural behavior.

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Computational Economics: A Perspective from Computational Intelligence by Shu-Heng Chen

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