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Special issue on algorithms in computational finance. (English) Zbl 1427.00043

From the text: Algorithms play an important part in finance. Financial markets have been transformed from human-driven to predominantly algorithm-driven. Algorithms have not only been used for traditional applications such as forecasting, trading, risk analysis and portfolio optimisation, they have also been used in new areas such as data sampling. This Special Issue collects eight papers. They provide readers with a glimpse of the state-of-the-art research in algorithms in computational finance.

MSC:

00B15 Collections of articles of miscellaneous specific interest
91-06 Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance
91Gxx Actuarial science and mathematical finance
91-08 Computational methods for problems pertaining to game theory, economics, and finance
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References:

[1] Li, Z.; Tam, V.; A Machine Learning View on Momentum and Reversal Trading; Algorithms: 2018; Volume 11 . · Zbl 1461.91368
[2] Plakandaras, V.; Gogas, P.; Papadimitriou, T.; The Effects of Geopolitical Uncertainty in Forecasting Financial Markets: A Machine Learning Approach; Algorithms: 2019; Volume 12 . · Zbl 1461.91370
[3] Das, S.R.; Mokashi, K.; Culkin, R.; Are Markets Truly Efficient? Experiments Using Deep Learning Algorithms for Market Movement Prediction; Algorithms: 2018; Volume 11 . · Zbl 1461.91005
[4] Ma, L.; Delahaye, J.-P.; An Algorithmic Look at Financial Volatility; Algorithms: 2018; Volume 11 . · Zbl 1461.91369
[5] Wang, D.; McGroarty, F.; Cheah, E.-T.; Chronotype, Risk and Time Preferences, and Financial Behaviour; Algorithms: 2018; Volume 11 . · Zbl 1461.91372
[6] Ren, Y.; Ye, T.; Huang, M.; Feng, S.; Gray Wolf Optimization Algorithm for Multi-Constraints Second-Order Stochastic Dominance Portfolio Optimization; Algorithms: 2018; Volume 11 . · Zbl 1461.91284
[7] Bakhach, A.; Chinthalapati, V.L.R.; Tsang, E.P.K.; El Sayed, A.R.; Intelligent Dynamic Backlash Agent: A Trading Strategy Based on the Directional Change Framework; Algorithms: 2018; Volume 11 . · Zbl 1461.91207
[8] Chen, J.; Tsang, E.P.K.; Classification of Normal and Abnormal Regimes in Financial Markets; Algorithms: 2018; Volume 11 . · Zbl 1461.91293
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.