Papers

The Computational Finance & Economics Research Laboratory
University of Essex

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 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, Society for Computational Economics, Montréal 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, to appear
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 Esesx, 2007
Alexandrova et al 2007 AlKrTs-PaymentCardMarket-Ideal2007.pdf (200K)
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
Garcia & Tsang 2006a GarciaTsang-Scenariomethod-Cec2006.pdf (812K)
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
A. García-Almanza & E.P.K. Tsang, 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
A. García-Almanza & E.P.K. Tsang, 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, to appear
A. García-Almanza & E.P.K. Tsang, Detection of stock price movements using chance discovery and genetic programming, Submission to KES (Innovation in Knowledge-Based & Intelligent Engineering Systems) Journal, September 2006, accepted for publication
Garcia & Tsang 2007 GarciaTsang-Repositorymethod-Cec2007.pdf (300K)
García-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)
García-Almanza, A. & Tsang, E.P.K., Evolving decision rules to predict investment opportunities, International Journal on Automation and Control, Vol.5, No.1, January 2008, 22-31
García-Almanza et al 2008
A. García-Almanza, E.P.K. Tsang & E Galván-López, 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
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 JinTsang-OutsideOptions-Cec2006.pdf (132K)
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
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
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
Li & Tsang 2000 LiTsa-LowRF-Cef2000.ps (754K) PDF (92K) (zip ps 110K)
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
Li 2001
Li, J., FGP: a genetic programming based tool for financial forecasting, PhD Thesis, University of Essex, Colchester, Essex CO4 3SQ, UK, 2001
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, 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)
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 2007 (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, accepted for publication, 2007
Tsang, Li & Butler 1998 (An early version in pdf 171K)
Tsang, E.P.K., Li, J. & Butler, J.M., 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 (ISDA’06), 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 on Automation and Control, Vol.5, No.1, January 2008, 63-66
(Early version: Working Paper WP015-07, Centre for Computational Finance and Economic Agents, University of Essex, December 2007) (mirror)


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