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Email Franco
Busetti with comments, ideas, suggested
links
and broken
links.
Note that articles and
references are normally linked to the actual
documents, usually in PDF
format. You can
left-click to
open in
Adobe
Acrobat
or right-click to save while
continuing to
browse.
General
optimisation / AI
resources |
Databases |
Another
core quantitative site is the
Condensed Matter (cond-mat)
section of the Los Alamos National laboratory
site of downloadable
papers, which is
searchable. A key
resource.
South
African
users can
use the local
mirror
site
for more
speed..
CiteSeer
Autonomously
creates
citation
indexes
of
scientific literature. An
excellent search
tool
for literature
searches.
Economic
Documents
Search
Useful
for
economics-orientated
research
information
on-line. BibEc includes
printed
economics
publications,
not
available on-line
as
downloadable files, while
WoPEc
includes
information
about
documents
that are
available in
electronic form.
MathSciNet.
American
Mathematical
Society
database.
Superior
database
but
subscription
required.
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to
the
top |
General articles |
Mathematical
Optimisation An excellent overview of
classical and heuristic
optimisation
techniques.
Relatively
easy
reading.
A superb collection of
papers can be found on
the SmartQuant site. Areas
covered
include
neural networks,
CAPM, portfolio
selection, general
optimization, portfolio
optimization,
heuristic
optimization,
neural
optimization,
VAR,
genetic algorithms,
prospect
theory,
simulated
annealing,
technical
analysis, tabu
search, data
patterns,
game
theory, bond
pricing,
multi-agent
simulations,
option pricing, monte
carlo
simulations,
volatility estimations, time
series analysis,
swap
pricing, fuzzy logic,
arbitrage
trading,
fractals and
chaos and term
structure. |
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References |
First, a list of
selected,
market-orientated
Top
References
we
have
compiled. A huge time-saver, the
distillation of many
hours of
hunting!
Emphasis is on
optimisation
of
investment
problems,
using
heuristic
methods,
particularly
genetic
algorithms.
Financial
AI This page, maintained by Robert R.
Trippi (co-author
with
Lee, J.K. (1992) of
State-of-the-Art
Portfolio Selection.
Chicago, Illinois.
Probus. - a useful
reference) is
intended
to
provide
short cuts
for
visiting
places of
interest to
persons
involved
in
applying
AI
to
finance and
investment
problems.
In the same vein, a short bibliography of
some
of
the Top
Texts
in these
fields.
Buy them at Amazon.
AI
Worldwide
Navigator.
A huge
meta-list of
AI journals
Loads of FAQs on all
AI
topics
from
the
Center for
Scientific
Computing (CSC), the
Finnish national
large-scale computing
facility.
A
Survey
of
Global
Optimization
Methods.
Succinct
taxonomy of
optimisation
techniques,
with a
couple of
relevant
references and
software
links.
Oasis library search
- Unisa |
to
the
top |
Journals |
Scientific
Publications of Science & Finance
provides a list of
scientific
publications
from
science and
finance
researchers, tackling
topics such as
financial
markets,
options,
risk management
and portfolio
optimisation.
Registration
required to
access
the
research
library..
A young journal which publishes
articles that reflect the increasing
use
of
quantitative
methods
in
finance
such as
asset
creation,
pricing and risk management is
Quantitative
Finance.
It
also
covers
new
developments
such as
agent-based
modelling
and
evolutionary game
theory. Subscription
required.
Econophysics.
Problems
in
economy
and
finance
have
recently
started to
attract the
interest of
statistical
physicists.
A
fundamental problem is
the
existence or not of
long-range
power-law
correlations
in economic
systems as
well as
the
presence of
economic
cycles. For
serious
quants, such
as
statistical
physicists.
Journal
of
Econometrics. You
need to subscribe in
order to download
papers.
Informs
Online.
Database
and
general
OR
resource.
Journal
of
Heuristics. A
forum
for
advancing
the
state-of-the-art
in the
theory and
practical
application of
techniques
for
solving
problems
that cannot be
solved
exactly.
Search
engine
can be
used for
general
literature
searches, but requires
subscription.
Journal of
Financial and Quantitative Analysis The
JFQA
publishes
theoretical
and
empirical
research in
financial
economics. Topics include corporate
finance,
investments,
capital
and
security
markets, and
quantitative methods of
particular relevance to
financial
researchers.
Financial
Analysts
Journal
Topical
Index. An
extremely
useful
resource.
Electronic
copies
of
papers are now
available
back to
1997.
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to
the
top |
Software |
Lindo and Lingo
are classical linear and
nonlinear
programming
solvers from Lindo Systems. The
demo versions are fully functional but
have a restricted number of constraints and
variables.
Taygeta
Scientific Simulated annealing
software.
Optimisation
Software
An
interactive
decision
tree
approach
to
selecting
software.
Fairly limited
in scope.
The Neos
Optimisation
Software
Guide
run
by
Mittelmann and
Spellucci,
provides
software
sorted
by type
of
problem to
be solved,
as
well as benchmarks
and
test
cases.
If you are willing to eschew commercial
software and get your
hands dirty, try The
Stony Brook Algorithm
Repository.
SmartQuant is
a
software
toolbox,
which
provides
a
researcher or
quantitative
investor
with an
advanced
object-oriented
data
mining
and
analysis
framework. NNs,
GAs
and
the usual
AI
suspects
are
offered.
Simtools
is
an
add-in for
Excel,
providing
statistical
functions
and
procedures for doing
Monte
Carlo simulation
and risk analysis in
spreadsheets.
Insight
is a
suite
of
Excel
add-ins
for
quantitative
analysis,
along with
its
accompanying
tutorial
documentation,
and
provides Monte
Carlo
simulation,
decision
trees,
queuing
simulations,
optimization,
Markov
chains, and
forecasting.
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to
the
top |
.... and some
helpful Excel add-ins |
Frontline
Systems,
the
creator of
Excel's
Solver,
supplies
a range of
spreadsheet
solvers,
including the
GA-based
Premium
Solver.
The Power
Utility
Pack trial provides all the utilities you've
ever wanted for Excel
from THE best
Excel
resource: J. Walker and
Associates.
Operations
Research
Add-ins.
Optimisation-related
add-ins, from Paul
Jensen
at the University
of Texas. Some good
stuff.
Tired of manually adding labels to Excel
scatter plots? Download here: Addlabel by
Rob Bovey , which does it
automatically. We've
used it for ages without
any problems.
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to
the
top |
General optimisation /
AI
links |
Michael
Trick’s Operation Research Page (now the
INFORMS OR/MS Resource
Collection) is arguably
the premier OR
site.
The IFORS Tutor
site
provides
many
useful
interactive
tools
for
classic OR
problems,
and
also has a
dissertation
database.
Operations
Research
Surf:
another
general
and
comprehensive
AI site by
Yves Rochat.
WORMS
-
World-Wide Web
for
Operations
Research
and
Management
Science - an
Australian
OR site.
The CMU
Artificial
Intelligence
Group
contains
public domain
and
freely
distributable
software,
publications,
and
other
materials of
interest
to AI
researchers,
educators,
students, and
practitioners.
Newsgroups: comp.ai.* e.g. comp.ai.alife,
comp.ai.games, comp.ai.genetic,
comp.ai.neural-nets,
etc. These forums often
provide swift and helpful guidance for
specific problems.
A brand-new resource is EU/ME
(get
it?),
the
EUropean
chapter on
MEtaheuristics.
Their
working group
on
metaheuristics
intends
to provide a
forum
for
researchers in the
field
of metaheuristics
and to
provide
its
members with
information on
this
topic.
Financial Engineering
News is a
bi-monthly
newspaper
on financial engineering. It examines the use
of financial
instruments
to solve problems and
exploit
opportunities,
particularly with the
use of
quantitative
methods
and
computer
technology.
Yahoo
AI.
A
good
general
starting
point to
various AI
areas such as
optimisation, fuzzy
logic,
inference and
neural networks.
KD
Nuggets. A guide
to
data mining, web
mining,
knowledge
discovery
and
eCRM.
Kaisa
Miettinen,
a
Finnish
page of
links.
A
slightly
different slant
to
the
usual, so
it
doesn't
overlap too
much
with
the others.
And for a different twist on
things, provides tools
which process
qualitative
data
and
produce
qualitative
information
where
quant
stuff
doesn’t work. For
a quick
introduction, read
this
paper. |
to
the
top |
...and some
maths links |
Eric
Weisstein's World of Mathematics.
Encyclopaedic in scope: 9590
entries, 168634
cross-references, 3830
figures, 86 animated
graphics, 936 live Java
applets. Sponsored by
Mathematica. An absolutely
superb site.
Math on the Web. A general
mathematical meta-site.
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to
the
top |
Conferences &
courses
For
ongoing education, the following
sites are
worth
keeping an
eye
on:
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The Amsterdam
Institute of Finance
offers
courses
in
finance, derivatives,
asset
management and
credit risk.
Fame.
The
International
Center for
Financial Asset
Management and
Engineering is a private
foundation. Similar
topics
are
offered.
Financial
Conferences.
A
searchable
database
of
conferences/courses
worldwide, although the
emphasis is on the
UK.
ICBI the International
Centre for Business Information.
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to
the
top |
Education
(links to their operations research
activities) |
Imperial
College. Management School-OR Library.
Strong operations
research centre.
The
OR-Library is a
collection of test
data
sets for a variety
of
problems and the site
is
a
useful source of
references and working
papers.
Cambridge
operations
research
London
School of Economics
operational
research
Harvard Business
School - Technology and
Operations Management
MIT Operations
Research Centre
Princeton
Operations
Research
and
Financial
Engineering
London
Business
School
Centre
For
Operations
Management
For distance
learning:
Unisa -
Department of Quantitative
Research
Walden
University now offers a Ph.D. in applied
management and
decision sciences
The following
site provides
rankings of US
colleges
and
universities
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