Constraint-directed Search in Computational Finance and

Economics

Edward Tsang +

Centre for Computational Finance and Economic Agents (CCFEA)

University of Essex

Saturday 22 April 2023 Edward Tsang (Copyright)2

Use The Force Constraints brought the problem here They also guide us to solutions Experts will follow the lead by constraints E.g.

– Constraint propagation, learning no goods– Guided Local Search (GLS)– Guided Genetic Algorithm (GGA)– The Incentive Method (used in financial

forecasting and bargaining)

Constraints in financial forecasting

EDDIE

Use constraints to reflect market expectation or risk preference

22 April 2023 All Rights Reserved, Edward Tsang

Constraints in Bargaining

The Incentive Method

Use constraints to focus the search in promising areas

22 April 2023 All Rights Reserved, Edward Tsang

Conclusions

Constraints could guide us to solutions Forecasting:

– Repeated patterns were found

Bargaining:– Evolutionary computation provides an alternative

approach to approximate subgame equilibrium

In both applications, constraints-directed search is crucial

22 April 2023 All Rights Reserved, Edward Tsang

22 April 2023 All Rights Reserved, Edward Tsang

Centre for Computational Finance and Economic Agents 2010

Computing & Maths Economics

– Interdisciplinary; ~ 57 Master & PhD Students– City links: Olsen Ltd, HSBC, Old Mutual, Ionic Sharescope, etc

CCFEA

Qingfu ZhangOptimisation

Edward TsangEDDIE / GP

MonaghanSoftware

Sheri MarkoseEconomics

Winglon NgHi-frequency

Richard OlsenForex

Olsen Ltd

EBS

ConstantinouBanking

HSBC

John O’HaraRisk

Steve PhelpsAgents

Maria FasliAgents

John FosterAlg. trading

Abhinay MuthooGame Theory

Warwick

Alex DupuisForex

Olsen Ltd