Soft computing in financial engineering (Q5906386)
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scientific article; zbMATH DE number 1307408
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English | Soft computing in financial engineering |
scientific article; zbMATH DE number 1307408 |
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Soft computing in financial engineering (English)
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23 June 1999
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Soft computing is a term coined by L. A. Zadeh (Univ. of California at Berkeley) and consists in a number of interrelated disciplines that are trying to solve complex problems with the aid of computers but using a philosophy based on tools that humans apply in current problem solving, namely based on fuzzy sets theory, neural networks, genetic computing, probabilistic methods etc. Characteristic ideas in soft computing are, for instance, that: (a) Precision is sometimes neither possible nor desirable (!); (b) Generalization is based upon an assumption of loal continuity; (c) Prototypical situations provide guidelines to be solved in the spirit of case-based reasoning etc. The present book is a collection of high quality papers that apply soft computing techniques to the new emerging disciplines of financial engineering. The book is made up of six sections, with a total of 27 papers: Section I: Imprecise Data and Decision Making under Fuzziness. (1) Vagues of Verbal Variables (M. Mareš, R. Mesiar); (2) Decision Making under Uncertainty with Nonnumeric Payoffs (R. R. Yager, M. T. Lamata); (3) Fuzzy Measures and Equilibrium Conditions on the Financial Market (S. Greco); (4) Sharing Vague Profit in Fuzzy Cooperation (M. Mareš). Section II: Time Series Analyses and Prediction. (5) Time Series Filtering and Reconstruction Using Fuzzy Weighted Local Regression (S. Giove, P. Pellizzari); (6) Automated Mathematical Modelling for Financial Time Series Prediction Combining Fuzzy Logic and Fractal Theory (O. Castillo, P. Melin); (7) A 2-Stage Artificial Neural Network Pedictor with Application to Financial Time Series (P. L. Belcaro, M. Corazza); (8) Generic Neuro-Fuzzy-Chaos Methodology for Time-Series Analysis and Building Intelligent Adaptive Systems (R. Kozma, N. K. Kasabov); (9) Dynamic Programming and Fuzzy Reinforcement of Backpropagation for Interest Rate Prediction (M. Krawczak). Section III: Stock and Currency Markets. (10) Portfolio Section Based on Possibility Theory (H. Tanaka, P. Guo); (11) Neuro-Fuzzy Methods Applied to the German Stock Index DAX (S. Siekmann et al.); (12) IBOVESTA Neuro-Fuzzy Forecasting: A case Study in Brazilian Capital Markets (M. A. Soares Machado et al.); (13) Application of Fuzzy Regression Models to Predict Exchange Rates for Composite Currencies (K. K. Yen, S. Ghoshray); (14) A Fuzzy Inferencing Approach Towards the Chaotic Nature of Foreign Currency Interactions (S. Ghoshray, K. K. Yen); (15) Application of Fuzzy Methodologies to Financial Fields: FOREX, Case Studies and Generalizations (S. Tano). Section IV: Corporate Financial Analyses. (16) Possibilistic Rule-Based Inference: A Case in Financial Analysis (S. Benferhat, H. Farreny, H. Prade); (17) Financial Analysis of Non-Financial Companies with Neural Networks (R. A. Ribeiro, F. Moura-Pires); (18) Customer Segmentation with Fuzzy Clustering (P. Hofmeister); (19) A Rejects Management Information System by Means of Fuzzy Logic (N. Vojdani, M. Bellmann). Section V: Analyses and Calculation of Risk and Value. (20) Fuzzy Logic Based Systems for Checking Credit Solvency of Small Business Firms (H. J. Rommelfanger); (21) Applications of Fuzzy Logic for Creditworthiness Evaluation (R. Weber); (22) Rough Sets Predictor of Business Failure (R. Slowinski et al.); (23) Fuzzy Insurance Premium Principles (M. R. Simonelli); (24) Second-Order Data Mining: Fire Risk Classification in a Newly-Developed Country (G. Gim, Th. Whalen); (25) Automated Residential Property Valuation: An Accurate and Reliable Approach Based on Soft Computing (P. P. Bonissone et al.). Section VI: Auditing and Reporting. (26) Theoretical Investigation of Belief Revisions in Auditing (S. K. Dutta, R. P. Srivastava); (27) Self-Organizing Fuzzy and MLP Approaches to Detecting Fraudulent Financial Reporting (E. H. Feroz, T. M. Kwon).
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soft computing
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financial engineering
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neural networks
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genetic computing
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probabilistic methods
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fuzzy measures
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time series
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fuzzy logic
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portfolio selection
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rough sets
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