The Oxford Handbook of Computational Economics and Finance

Edited by Shu-Heng Chen, Mak Kaboudan, and Ye-Rong Du

Oxford Handbooks

This is an insightful survey of approaches to computational analysis of economics and finance
Provides insight into the foundations and recent developments in an emerging field of research

The Oxford Handbook of Computational Economics and Finance

Edited by Shu-Heng Chen, Mak Kaboudan, and Ye-Rong Du

Description

The Oxford Handbook of Computational Economics and Finance provides a survey of both the foundations of and recent advances in the frontiers of analysis and action. It is both historically and interdisciplinarily rich and also tightly connected to the rise of digital society. It begins with the conventional view of computational economics, including recent algorithmic development in computing rational expectations, volatility, and general equilibrium. It then moves from traditional computing in economics and finance to recent developments in natural computing, including applications of nature-inspired intelligence, genetic programming, swarm intelligence, and fuzzy logic. Also examined are recent developments of network and agent-based computing in economics. How these approaches are applied is examined in chapters on such subjects as trading robots and automated markets. The last part deals with the epistemology of simulation in its trinity form with the integration of simulation, computation, and dynamics. Distinctive is the focus on natural computationalism and the examination of the implications of intelligent machines for the future of computational economics and finance. Not merely individual robots, but whole integrated systems are extending their "immigration" to the world of Homo sapiens, or symbiogenesis.

The Oxford Handbook of Computational Economics and Finance

Edited by Shu-Heng Chen, Mak Kaboudan, and Ye-Rong Du

Oxford Handbooks

1. Computational Economics in the Era of Natural Computationalism: 50 Years after "The Theory of Self-Reproducing Automata"
Shu-Heng Chen, Mak Kaboudan, and Ye-Rong Du
2. Dynamic Stochastic General EquilibriumModels: A Computational Perspective
Michel Juillard
3.Tax-rate Rules for Reducing Government Debt: An Application of Computational Methods for Macroeconomic Stabilization
G. C. Lim and Paul D. McNelis
4.Solving Rational Expectations Models
Jean Barthélemy and Magali Marx
5.Computable General EquilibriumModels for Policy Evaluation and Economic Consequence Analysis
Ian Sue Wing and Edward J. Balistreri
6. Multifractal Models in Finance: Their Origin, Properties, and Applications
Thomas Lux and Mawuli Segnon
7. Particle Filters for Markov Switching Stochastic Volatility Models
Yun Bao, Carl Chiarella, and Boda Kang
8. Economic and Financial Modeling with Genetic Programming - A Review
Clíodhna Tuite, Michael O'Neill, and Anthony Brabazon
9. Algorithmic Trading Based on Biologically-inspired Algorithms
Vassilios Vassiliadis and Georgios Dounias
10. Algorithmic Trading in Practice
Peter Gomber and Kai Zimmermann
11. Computational Spatiotemporal Modeling of Southern California Home Prices
Mak Kaboudan
12. Business Applications of Fuzzy Logic
Petr Dostál and Chia-Yang Lin
13. Modeling of Desirable Socio-economic Networks
Akira Namatame and Takanori Komatsu
14. ComputationalModels of Financial Networks, Risk and Regulatory Policies
Kimmo Soramäki
15. From Minority Games to$-Games
Jorgen Vitting Andersen
16. An Overview and Evaluation of The CAT Market Design Competition
Tim Miller, Jinzhong Niu, Martin Chapman, and Peter McBurney
17. Agent-Based Macroeconomic Modeling and Policy Analysis: The Eurace@Unibi Model
Herbert Dawid, Simon Gemkow, Philipp Harting, Sander van der Hoog, and Michael Neugart
18. Agent-Based Models for Economic Policy Design: Two Illustrative Examples
Frank Westerhoff and Reiner Franke
19. Computational Economic Modeling of Migration
Anna Klabunde
20. Computational Industrial Economics - A Generative Approach to Dynamic Analysis in Industrial Organization
Myong-Hun Chang
21. Agent-Based Modeling for Financial Markets
Giulia Iori and James Porter
22. Agent-Based Models of the Labor Market
Michael Neugart and Matteo Richiardi
23. The Emerging Standard Neurobiological Model of Decision Making: Strengths, Weaknesses, and Future Directions
Shih-Wei Wu and Paul W. Glimcher
24. The Epistemology of Simulation, Computation and Dynamics in Economics
K. Vela Velupillai
Index

The Oxford Handbook of Computational Economics and Finance

Edited by Shu-Heng Chen, Mak Kaboudan, and Ye-Rong Du

Oxford Handbooks

Author Information

Edited by Shu-Heng Chen, Professor of Economics, National Chengchi University, Edited by Mak Kaboudan, Professor of Business, University of Redlands, and Edited by Ye-Rong Du, Postdoctoral Researcher, AI-Econ Research Center

Shu-Heng Chen is a Distinguished Professor in the Department of Economics, Vice-President, Director of the AI-ECON Research Center, and the organizer of Experimental Economics Laboratory at National Chengchi University.

Mak Kaboudan is a former Professor of Economics and Statistics at the University of Redlands' School of Business.

Ye-Rong Du is a Postdoctoral research fellow at AI-ECON Research Center, National Chengchi University.

Contributors:

Jorgen Vitting Andersen is Senior Researcher, CNRS

Edward J. Balistreri is Associate Professor in the Division of Economics and Business, Colorado School of Mines

Yun Bao, Toyota Financial Services

Jean Barthélemy is Economist in the Monetary Policy Research Division, Banque de France

Anthony Brabazon is Associate Dean and Director of the Smurfit Graduate School of Business, University College Dublin

Myong-Hun Chang is Professor of Economics, Cleveland State University

Martin Chapman is Research Associate in Data Provenance, King's College London

Shu-Heng Chen is Vice President, National Chengchi University

Carl Chiarella is Emeritus Professor in the Finance Discipline Group, The University of Technology, Sydney

Herbert Dawid is Chair for Economic Theory and Computational Economics, Bielefeld University

Petr Dostál is Professor of Economy and Management, Brno University of Technology

Georgios Dounias is Professor in the Department of Financial and Management Engineering, University of the Aegean

Ye-Rong Du is Postdoctoral Researcher at AI-ECON Research Center, Department of Economics, National Chengchi University

Reiner Franke, Department of Economics, University of Kiel

Simon Gemkow, Department of Business Administration and Economics, Bielefeld University

Paul W. Glimcher is Director of the Institute for the study of Decision Making and Julius Silver Professor of Neural Science, Economics, and Psychology, New York University

Peter Gomber is Professor and Chair of e-Finance in the Faculty of Economics and Business Administration, University of Frankfurt

Philipp Harting, Department of Business Administration and Economics, Bielefeld University

Giulia Iori is Professor in Economics, City University of London

Michel Juillard is Adviser, Bank of France

Mak Kaboudan is Retired Professor of Economics & Statistics, The University of Redlands

Boda Kang is Admission Tutor of MSc in Mathematical Finance, University of York

Anna Klabunde is Research Scientist in International Migration, Max Planck Institute for Demographic Research

Takanori Komatsu, Department of Computer Science, National Defense Academy

G. C. Lim is Professorial Research Fellow at the Melbourne Institute of Applied Economic and Social Research, University of Melbourne.

Chia-Yang Lin is Research Fellow at AI-ECON Research Center, Department of Economics, National Chengchi University

Thomas Lux is Professor of Monetary Economics and International Finance in the Department of Economics, University of Kiel

Magali Marx is Professor of Economics, Sciences Po

Peter McBurney is Professor of Computer Science, King's College London

Paul D. McNelis is Robert Bendheim Professor of Economic & Financial Policy, Fordham University

Tim Miller is Senior Lecturer in the School of Computing and Information Systems, The University of Melbourne

Akira Namatame, Department of Computer Science, National Defense Academy

Michael Neugart is Full Professor of Public Economics and Economic Policy in the Department of Law and Economics, Technical University of Darmstadt

Jinzhong Niu is Assistant Professor of Information Technology at Stella & Charles Guttman Community College, The City University of New York

Michael O'Neill is Icon Full Professor of Business Analytics at the UCD College of Business, University College Dublin

James Porter, Department of Economics, School of Social Sciences, City University London

Matteo Richiardi is Assistant Professor in the Department of Economics and Statistics, University of Torino

Mawuli Segnon, Department of Economics, University of Kiel

Kimmo Soramäki is Founder and CEO of Financial Network Analytics (FNA)

Clíodhna Tuite, School of Computer Science and Informatics, University College Dublin

Sander van der Hoog is Research Fellow in Computational Economics and Chair for Economic Theory and Computational Economics in the Department of Business Administration and Economics, Bielefeld University

Vassilios Vassiliadis, Management and Decision Engineering Laboratory, Department of Financial and
Management Engineering, University of the Aegean

K. Vela Velupillai is Professor of Economics, University of Trento

Frank Westerhoff is Chair of Economic Policy in the Department of Economics, University of Bamberg

Ian Sue Wing is Associate Professor in the Department of Earth & Environment, Boston University

Shih-Wei Wu is Associate Professor at the Institute of Neuroscience, National Yang-Ming University

Kai Zimmerman is Research Assistant in the Chair of e-Finance at the Faculty of Economics and Business
Administration, University of Frankfurt