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This
site is intended to be succinct rather than overwhelming. Only the best and most focused
resources are included. 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. Email Franco Busetti with comments, ideas, suggested links
and broken links.
General optimisation / AI resources |
Databases |
ResearchIndex
(formerly 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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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 R-Quant's 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. AI in Finance and Investment Gems 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.
Greenbergs
page at the University of Colorado at Denver. A very long list of links, comprehensive
but not very focused.
A Survey of Global
Optimization Methods. Succinct taxonomy of optimisation techniques, with a couple of
relevant references and software links.
Oasis library search - Unisa |
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Journals |
Scientific
Publications of Science & Finance provides a list of outstanding scientific
publications from science and finance researchers, tackling topics such as financial
markets, options, risk management and portfolio optimisation. A very new 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.
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. A very pertinent resource, but when will they put the
actual papers on the site for downloading? |
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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. Exatech optimisation and financial software. The
only commercial simulated annealing software Ive found (but haven't tested).
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.
R-Quant 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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.... and some helpful Excel add-ins |
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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General optimisation / AI links |
Michael Tricks Operation
Research Page 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 Repository contains 2 GB of 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 competely different twist on things, Natural Language Processing provides tools
which process qualitative data and produce qualitative information where
quant stuff doesnt work. For a quick introduction, read this paper. |
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...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.
Unfortunately (and hopefully only temporarily) closed. Math on the Web. A general mathematical meta-site. |
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Conferences & courses
For ongoing education, the following sites are worth keeping an
eye on: |
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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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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