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Research Output 2002 2018

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Chapter
2015

Systemic Risk

Krause, A., 2015, Investment Risk Management. Baker, H. K. & Filbeck, G. (eds.). Oxford University Press, p. 179-196

Research output: Chapter in Book/Report/Conference proceedingChapter

2011
2 Citations (Scopus)

Performance of evolving trading strategies with different discount factors

Krause, A., Jun 2011, 2011 IEEE Congress of Evolutionary Computation, CEC 2011. Piscataway, NJ: IEEE, p. 186-191 6 p. 5949617. (2011 IEEE Congress of Evolutionary Computation, CEC 2011).

Research output: Chapter in Book/Report/Conference proceedingChapter

Discount factor
Trading strategies
Prediction model
Minorities
Assets
2010
1 Citation (Scopus)

An evolutionary multi-objective optimization of market structures using PBIL

Li, X. & Krause, A., 2010, Intelligent Data Engineering and Automated Learning – IDEAL 2010 11th International Conference, Paisley, UK, September 1-3, 2010. Proceedings. Springer, p. 78-85 8 p. (Lecture Notes in Computer Science; vol. 6283).

Research output: Chapter in Book/Report/Conference proceedingChapter

Trading rules
Market structure
Evolutionary
Multi-objective optimization
Bid/ask spread

Beyond VaR: Expected shortfall and other coherent risk measures

Krause, A., 2010, The Risk Modeling Evaluation Handbook. Gregoriou, G. N., Hoppe, C. & Wehn, C. S. (eds.). McGrawHill, p. 289-303 15 p.

Research output: Chapter in Book/Report/Conference proceedingChapter

2009
2 Citations (Scopus)

A Comparison of Market Structures with Near-Zero-Intelligence Traders

Li, X. Y. & Krause, A., 2009, Intelligent Data Engineering and Automated Learning, Proceedings. Corchado, E. & Yin, H. (eds.). Springer, Vol. 5788. p. 703-710 8 p. (Lecture Notes in Computer Science).

Research output: Chapter in Book/Report/Conference proceedingChapter

Trading rules
Market structure
Traders
Double auction
Auction market
2008
7 Citations (Scopus)

Evolutionary learning of the optimal pricing strategy in an artificial payment card market

Alexandrova-Kabadjova, B., Tsang, E. & Krause, A., 2008, Natural Computing in Computational Finance. Brabazon, A. & O'Neill, M. (eds.). Springer, p. 233-251 (Studies in Computational Intelligence; vol. 100, no. Part III).

Research output: Chapter in Book/Report/Conference proceedingChapter

Payment card
Merchants
Optimal pricing
Pricing strategy
Evolutionary learning
2007
3 Citations (Scopus)

An agent-based model of interactions in the payment card market

Alexandrova-Kabadjova, B., Krause, A. & Tsang, E., 2007, Intelligent Data Engineering and Automated Learning - IDEAL 2007. Yin, H., Tino, P., Corchado, E., Byrne, W. & Yao, X. (eds.). Springer, Vol. 4881. p. 1063-1072 10 p. (Lecture Notes in Computer Science).

Research output: Chapter in Book/Report/Conference proceedingChapter

Agent-based model
Payment card
Interaction
Market share
Subscription
2006

Generating networks with realistic properties: the topology of locally evolving random graphs

Krause, A., 2006, Adaptation in Artificial and Biological Systems. Bristol, U. K.: Society for the Study of Artificial Intelligence and the Simulation of Behaviour, Vol. 3. p. 145-149

Research output: Chapter in Book/Report/Conference proceedingChapter

1 Citation (Scopus)

Herding without following the herd: the dynamics of case-based decisions with local interactions

Krause, A., 2006, The Complex Networks of Economic Interactions: Essays in Agent-Based Economics and Econophysics. Namatame, A., Kaizouji, T. & Aruka, Y. (eds.). Springer, p. 179-191 (Lecture Notes in Economics and Mathematical Systems; vol. 567, no. Part IV).

Research output: Chapter in Book/Report/Conference proceedingChapter

Local interaction
Herding
Long period
Case-based decision theory
Time horizon
2004

Herding behavior of financial analysts: a model of self-organized criticality

Krause, A., 2004, The Complex Dynamics of Economic Interaction: Essays in Economics and Econophysics. Galegatti, M., Kirman, A. & Marsili, M. (eds.). London, U. K.: Springer, p. 257-267 (Lecture Notes in Economics and Mathematical Systems; vol. 531, no. Part IV).

Research output: Chapter in Book/Report/Conference proceedingChapter

Herding behavior
Industry
Financial analysts
Self-organized criticality
Complex dynamics
2002

Predicting crashes in a model of self-organized criticality

Krause, A., 2002, Complex Systems 2002: Complexity with Agent-Based Modeling. Namatame, A., Green, D., Aruka, Y. & Sato, H. (eds.). p. 278-283

Research output: Chapter in Book/Report/Conference proceedingChapter