Title

Intelligence in Markets: Asset Pricing, Mechanism Design, and Natural Computation

Abstract

Researchers are increasingly using evolution, human and animal cognition as autonomous agents in the exploration of market interaction. Agent-based Computational Economics (ACE) gives economists the ability to model large-scale agent-based environments in order to make new discoveries of the economic and financial systems. ACE approaches analyze an economy from an angle different from that of analytical models. It is called a constructive approach accounting for its focus on the fundamental elements of the system, as opposed to global dynamics. The computational intelligence techniques of ADP, which are capable of generating solutions to the dynamic programming problem in complex changing environments, might prove useful in taking the approach to a level in which it could be used by asset managers in the field. The computational intelligence engine provides an understanding of the price of the assets and then the efficient frontier is searched for the optimal portfolio based on comfortable risk levels.

Department(s)

Electrical and Computer Engineering

International Standard Serial Number (ISSN)

1556-603X

Document Type

Article - Journal

Document Version

Citation

File Type

text

Language(s)

English

Rights

© 2008 Institute of Electrical and Electronics Engineers (IEEE), All rights reserved.


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