Financial Decision Making Using Computational Intelligence

Issue 70. Dordrecht , L. , Heidelberg , NY : Springer, 2012.

Under the general editorship: Doumpos M., Zopounidis C., Pardalos P. M.

Financial Decision Making Using Computational Intelligence covers all the recent developments in complex financial decision making through computational intelligence approaches. Computational intelligence has evolved rapidly in recent years and it is now one of the most active fields in operations research and computer science. The increasing complexity of financial problems and the enormous volume of financial data often make it difficult to apply traditional modeling and algorithmic procedures. In this context, the field of computational intelligence provides a wide range of useful techniques, including new modeling tools for decision making under risk and uncertainty, data mining techniques for analyzing complex data bases, and powerful algorithms for complex optimization problems.

Chapters

Markov Chains in Modelling of the Russian Financial Market

Bautin G. A., Kalyagin V. A., , in: Financial Decision Making Using Computational IntelligenceIssue 70.: Dordrecht, L., Heidelberg, NY: Springer, 2012. P. 233–251.

We use a Markov chains models for the analysis of Russian stock market. First problem studied in the paper is the multiperiod portfolio optimization. We show that known approaches applied for the Russian stock market produce the phenomena of non stability and propose a new methods in order to smooth it. The second problem addressed ...

Added: May 7, 2013

Keywords: управление финансовыми рисками, data mining, financial risk management, исследование операций, computational intelligence, evolutionary computation & metaheuristics, operations research, вычислительный интеллект, поиск данных, эволюционные вычисления и метахоиеристика