193.174.19.232Abstract: J. Li, X. Li, C. M. Frayn, P. Tino, X. Yao (2005)

Proceedings of the 10th Annual Workshop on Economic Heterogeneous Interacting Agents, Essex, UK (WEHIA 2005) (2005)

Understanding and Predicting Dynamical Behaviours in Financial Markets: Financial Application Research in CERCIA

J. Li, X. Li, C. M. Frayn, P. Tino, X. Yao

The Centre of Excellence for Research in Computational Intelligence and Applications (CERCIA) is a unique new initiative, aimed to be an international leader in applied research and knowledge transfer of computational intelligence techniques for the benefit of industry and business. Computational finance research is one of the applied areas, which is of interest to CERCIA.

In this paper, we shall very briefly present some of our research work in computational finance that has been carried out so far since the inception of CERCIA. Six research studies with different subjects are summarised here. The techniques that we employ in the studies vary from evolutionary computation approaches (e.g. genetic programming), signal processing techniques (e.g. the power spectrum, the wavelet analysis, the correlation) to fractal analysis methods (e.g. detrended fluctuation analysis, fractal geometry). The applied areas range from stock market predictions, stock picking, automatic trading strategies and financial market understanding, etc. Some of the studies have already been published, whilst some are still in the pipeline and others are just in their initial stages. Thus, the quality of work is varied.

The purpose of this paper is to seek for useful comments, recommendations, suggestions, criticisms or whatever, from the practitioners and researchers in financial and economic communities, on our work presented below. We also very much welcome any potential collaboration with any other centres/groups in the future.

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