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講座議程:

主題 : Genetic Programming in Computational Finance

場次

時間

地點

講題

1

11/15 ( 二 )

1:30pm – 3:30pm

真理大學

管理學院十樓演講廳

Lecture 1 - GP in Computational Finance, Overview

  • What is Genetic Programming?
  • What is Computational Finance?
  • Why is genetic programming useful for computational finance?
  • Overview of GP applications in computational finance
    • Financial forecasting
    • Automated bargaining
    • Artificial markets

2

11/16 ( 三 )

1:30pm – 3:30pm

真理大學

管理學院十樓演講廳

Lecture 2 - EDDIE for financial forecasting

  • Financial forecasting, the research agenda
  • Basic financial forecasting (collaboration with Korczak)
  • EDDIE: a genetic programming forecasting tool (architecture)
  • Data preparation
  • How to assess results?
  • Experimental results
  • Using constraints to guide the search

3

11/16 ( 三 )

7:00pm – 10:00pm

政治大學

綜合院館 271034 室

Lecture 3 - EDDIE in arbitrage

  • What is financial arbitrage?
  • How can EDDIE help to find arbitrage opportunities?
  • EDDIE-Arb, specialized EDDIE for arbitrage (system architecture)
  • Data preparation
  • Experimental results
  • Business opportunities

4

11/17 ( 四 )

2:00pm – 4:30pm

逢甲大學

商學大樓 804B 室

Lecture 4 - GP in automated bargaining

  • What is automated bargaining? (the simple bargaining game)
  • Why study automated bargaining?
  • Bargaining in game theory (Rubinstein 82 bargaining model)
  • Why should one use GP in bargaining? (Approximating subgame equilibrium)
  • One population or two? (co-evolution)
  • Constrained fitness function
  • Uncertainty
  • Outside options

5

11/19 ( 六 )

2:00pm – 5:00pm

政治大學

綜合院館 271034 室

Lecture 5 - GP in Artificial Markets

  • Why study artificial market? (The wind-tunnel thesis)
  • Artificial market with GP agents (the AI-ECON approach)
  • Co-evolution (the business school approach)
  • Understanding real markets through studying artificial markets
  • Exhibiting stylized facts