This book presents a new computational finance approach combining a Symbolic Aggregate approximation (SAX) technique with an optimization kernel based on genetic algorithms (GA). While the SAX representation is used to describe the financial time series, the evolutionary optimization kernel is used in order to identify the most relevant patterns and generate investment rules. The proposed approach considers several different chromosomes structures in order to achieve better results on the trading platform The methodology presented in this book has great potential on investment markets.

The management of financial portfolios or funds constitutes a widely known problematic in financial markets which normally requires a rigorous analysis in order to select the most profitable assets. This subject is becoming popular among computer scientists which try to adapt known Intelligent Computation techniques to the market's domain. This book proposes a potential system based on Genetic Algorithms, which aims to manage a financial portfolio by using technical analysis indicators. The results are promising since the approach clearly outperforms the remaining approaches during the recent market crash.

This book is based on the papers presented at the International Conference 'Quality Improvement through Statistical Methods' in Cochin, India during December 28-31, 1996. The Conference was hosted by the Cochin University of Science and Technology, Cochin, India; and sponsored by the Institute for Improvement in Quality and Productivity (IIQP) at the University of Waterloo, Canada, the Statistics in Industry Committee of the International Statistical Institute (lSI) and by the Indian Statistical Institute. There has been an increased interest in Quality Improvement (QI) activities in many organizations during the last several years since the airing of the NBC television program, "If Japan can ... why can't we?" Implementation of QI meth ods requires statistical thinking and the utilization of statistical tools, thus there has been a renewed interest in statistical methods applicable to industry and technology. This revitalized enthusiasm has created worldwide discussions on Industrial Statistics Research and QI ideas at several international conferences in recent years. The purpose of this conference was to provide a forum for presenting and ex changing ideas in Statistical Methods and for enhancing the transference of such technologies to quality improvement efforts in various sectors. It also provided an opportunity for interaction between industrial practitioners and academia. It was intended that the exchange of experiences and ideas would foster new international collaborations in research and other technology transfers."

Swaps, futures, options, structured instruments - a wide range of derivative products is traded in today's financial markets. Analyzing, pricing and managing such products often requires fairly sophisticated quantitative tools and methods. This book serves as an introduction to financial mathematics with special emphasis on aspects relevant in practice. In addition to numerous illustrative examples, algorithmic implementations are demonstrated using "Mathematica" and the software package "UnRisk" (available for both students and teachers). The content is organized in 15 chapters that can be treated as independent modules.

In particular, the exposition is tailored for classroom use in a Bachelor or Master program course, as well as for practitioners who wish to further strengthen their quantitative background.

The current volume presents four chapters touching on some of the most important and modern areas of research in Mathematical Finance: asset price bubbles (by Philip Protter); energy markets (by Fred Espen Benth); investment under transaction costs (by Paolo Guasoni and Johannes Muhle-Karbe); and numerical methods for solving stochastic equations (by Dan Crisan, K. Manolarakis and C. Nee).The Paris-Princeton Lecture Notes on Mathematical Finance, of which this is the fifth volume, publish cutting-edge research in self-contained, expository articles from renowned specialists. The aim is to produce a series of articles that can serve as an introductory reference source for research in the field.

This book contains essays in honour of Claus Weddepohl who, after 22 years, is retiring as professor of mathematical economics at the Department of Quantitative Economics of the University of Amsterdam. Claus Weddepohl may be viewed as th first Dutch mathematical economist in the general equi librium tradition of Arrow, Debreu and Hahn. The essays in this book are centered around the themes Equilibrium, Markets and Dynamics, that have been at the heart of Weddepohl's work on mathematical economics for more than three decades. The essays have been classified according to these three themes. Admittedly such a classification always is somewhat arbitrary, and most essays would in fact fit into two or even all three themes. The essays have been written by international as well as Dutch friends and colleagues including Weddepohl's former Ph. D. students. The book starts with a review of Claus Weddepohl's work by Roald Ramer, who has been working with him in Amsterdam for all those years. The review describes how Weddepohl became fascinated by general equilibrium theory in the early stages of his career, how he has been working on the theory of markets throughout his career, and how he turned to applications of nonlinear dynamics to price adjustment processes in a later stage of his career. The first part of the book, Equilibrium, collects essays with general equilib rium theory as the main theme."

Inverse limits with set-valued functions are quickly becoming a popular topic of research due to their potential applications in dynamical systems and economics. This brief provides a concise introduction dedicated specifically to such inverse limits. The theory is presented along with detailed examples which form the distinguishing feature of this work. The major differences between the theory of inverse limits with mappings and the theory with set-valued functions are featured prominently in this book in a positive light. The reader is assumed to have taken a senior level course in analysis and a basic course in topology. Advanced undergraduate and graduate students, and researchers working in this area will find this brief useful.

This book constitutes the refereed proceedings of the 5th International Symposium on Algorithmic Game Theory, SAGT 2012, held in Barcelona, Spain, in October 2012. The 22 revised full papers presented together with 2 invited lectures were carefully reviewed and selected from 65 submissions. The papers present original research at the intersection of Algorithms and Game Theory and address various current topics such as solution concepts in game theory; efficiency of equilibria and price of anarchy; complexity classes in game theory; computational aspects of equilibria; computational aspects of fixed-point theorems; repeated games; evolution and learning in games; convergence of dynamics; coalitions, coordination and collective action; reputation, recommendation and trust systems; graph-theoretic aspects of social networks; network games; cost-sharing algorithms and analysis; computing with incentives; algorithmic mechanism design; computational social choice; decision theory, and pricing; auction algorithms and analysis; economic aspects of distributed computing; internet economics and computational advertising.

Multifractal Financial Markets explores appropriate models for estimating risk and profiting from market swings, allowing readers to develop enhanced portfolio management skills and strategies. Fractals in finance allow us to understand market instability and persistence. When applied to financial markets, these models produce the requisite amount of data necessary for gauging market risk in order to mitigate loss. This brief delves deep into the multifractal market approach to portfolio management through real-world examples and case studies, providing readers with the tools they need to forecast profound shifts in market activity.

This book offers a self-contained introduction to the theory of guiding functions methods, which can be used to study the existence of periodic solutions and their bifurcations in ordinary differential equations, differential inclusions and in control theory. It starts with the basic concepts of nonlinear and multivalued analysis, describes the classical aspects of the method of guiding functions, and then presents recent findings only available in the research literature. It describes essential applications in control theory, the theory of bifurcations, and physics, making it a valuable resource not only for "pure" mathematicians, but also for students and researchers working in applied mathematics, the engineering sciences and physics.

This book collects some recent works on the application of dynamic game and control theory to the analysis of environmental problems. This collec tion of papers is not the outcome of a conference or of a workshop. It is rather the result of a careful screening from among a number of contribu tions that we have solicited across the world. In particular, we have been able to attract the work of some of the most prominent scholars in the field of dynamic analyses of the environment. Engineers, mathematicians and economists provide their views and analytical tools to better interpret the interactions between economic and environmental phenomena, thus achiev ing, through this interdisciplinary effort, new and interesting results. The goal of the book is more normative than descriptive. All papers include careful modelling of the dynamics of the main variables involved in the game between nature and economic agents and among economic agents themselves, as well-described in Vrieze's introductory chapter. Fur thermore, all papers use this careful modelling framework to provide policy prescriptions to the public agencies authorized to regulate emission dy namics. Several diverse problems are addressed: from global issues, such as the greenhouse effect or deforestation, to international ones, such as the management of fisheries, to local ones, for example, the control of effluent discharges. Moreover, pollution problems are not the only concern of this book."

The book brings together an overview of standard concepts in cooperative game theory with applications to the analysis of social networks and hierarchical authority organizations. The standard concepts covered include the multi-linear extension, the Core, the Shapley value, and the cooperative potential. Also discussed are the Core for a restricted collection of formable coalitions, various Core covers, the Myerson value, value-based potentials, and share potentials. Within the context of social networks this book discusses the measurement of centrality and power as well as allocation rules such as the Myerson value and hierarchical allocation rules. For hierarchical organizations, two basic approaches to the exercise of authority are explored; for each approach the allocation of the generated output is developed. Each chapter is accompanied by a problem section, allowing this book to be used as a textbook for an advanced graduate course on game theory.

Risk has become one of the main topics in fields as diverse as engineering, medicine and economics, and it is also studied by social scientists, psychologists and legal scholars. This Springer Essentials version offers an overview of the in-depth handbook and highlights some of the main points covered in the Handbook of Risk Theory. The topic of risk also leads to more fundamental questions such as: What is risk? What can decision theory contribute to the analysis of risk? What does the human perception of risk mean for society? How should we judge whether a risk is morally acceptable or not? Over the last couple of decades questions like these have attracted interest from philosophers and other scholars into risk theory. This brief offers the essentials of the handbook provides for an overview into key topics in a major new field of research and addresses a wide range of topics, ranging from decision theory, risk perception to ethics and social implications of risk. It aims to promote communication and information among all those who are interested in theoretical issues concerning risk and uncertainty. The Essentials of Risk Theory brings together internationally leading philosophers and scholars from other disciplines who work on risk theory. The contributions are accessibly written and highly relevant to issues that are studied by risk scholars. The Essentials of Risk Theory will be a helpful starting point for all risk scholars who are interested in broadening and deepening their current perspectives.

Over the last years, stochastic analysis has had an enormous progress with the impetus originating from different branches of mathematics: PDE's and the Malliavin calculus, quantum physics, path space analysis on curved manifolds via probabilistic methods, and more.

This volume contains selected contributions which were presented at the 8th Silivri Workshop on Stochastic Analysis and Related Topics, held in September 2000 in Gazimagusa, North Cyprus.

The topics include stochastic control theory, generalized functions in a nonlinear setting, tangent spaces of manifold-valued paths with quasi-invariant measures, and applications in game theory, theoretical biology and theoretical physics.

Contributors: A.E. Bashirov, A. Bensoussan and J. Frehse, U. Capar and H. Aktuglul, A.B. Cruzeiro and Kai-Nan Xiang, E. Hausenblas, Y. Ishikawa, N. Mahmudov, P. Malliavin and U. Taneri, N. Privault, A.S. Ustunel"

Our everyday life is in?uenced by many unexpected (dif?cult to predict) events usually referred as a chance. Probably, we all are as we are due to the accumulation point of a multitude of chance events. Gambling games that have been known to human beings nearly from the beginning of our civilization are based on chance events. These chance events have created the dream that everybody can easily become rich. This pursuit made gambling so popular. This book is devoted to the dynamics of the mechanical randomizers and we try to solve the problem why mechanical device (roulette) or a rigid body (a coin or a die) operating in the way described by the laws of classical mechanics can behave in such a way and produce a pseudorandom outcome. During mathematical lessons in primary school we are taught that the outcome of the coin tossing experiment is random and that the probability that the tossed coin lands heads (tails) up is equal to 1/2. Approximately, at the same time during physics lessons we are told that the motion of the rigid body (coin is an example of suchabody)isfullydeterministic. Typically,studentsarenotgiventheanswertothe question Why this duality in the interpretation of the simple mechanical experiment is possible? Trying to answer this question we describe the dynamics of the gambling games based on the coin toss, the throw of the die, and the roulette run.

Are people ever rational? Consider this: You auction off a one-dollar bill to the highest bidder, but you set the rules so that the second highest bidder also has to pay the amount of his last bid, even though he gets nothing. Would people ever enter such an auction? Not only do they, but according to Martin Shubik, the game's inventor, the average winning bid (for a dollar, remember) is $3.40. Many winners report that they bid so high only because their opponent "went completely crazy." This game lies at the intersection of three subjects of eternal fascination: human psychology, morality, and John von Neumann's game theory. Hungarian game-theorist Laszlo Mero introduces us to the basics of game theory, including such concepts as zero-sum games, Prisoner's Dilemma and the origins of altruism; shows how game theory is applicable to fields ranging from physics to politics; and explores the role of rational thinking in the context of many different kinds of thinking. This fascinating, urbane book will interest everyone who wonders what mathematics can tell us about the human condition.

This book provides a comprehensive study of asymmetric territorial conflict combining game theory, statistical empirical analysis and historiographic analysis. Using the Israeli-Palestine conflict as a case study, it tests the model on a database of almost four hundred territorial conflicts.

Applications of operant techniques in treatment and education have proliferated in recent years. Among the various techniques, the token economy has been particu larly popular. The token economy has been extended to many populations included in psychiatry, clinical psychology, education, and the mental health fields in general. Of course, merely because a technique is applied widely does not neces sarily argue for its efficacy. Yet, the token economy has been extensively re searched. The main purpose of this book is to review, elaborate, and evaluate critically research bearing on the token economy. The book examines several features of the token economy including the variables that contribute to its efficacy, the accomplishments, limitations, and potential weaknesses, and recent advances. Because the token economy literature is vast, the book encompasses programs in diverse treatment, rehabilitation, and educational settings across a wide range of populations and behaviors. Within the last few years, a small number of books on token economies have appeared. Each of these books describes a particular token economy in one treatment, etting, details practical problems encountered, and provides suggestions for ad ministering the program. This focus is important but neglects the extensive scholarly research on token economies. The present book reviews research across diverse settings and clients. Actually, this focus is quite relevant for implementing token economies because the research reveals those aspects and treatment variations that contribute to or enhance client performance."

Recent years have witnessed a surge of activity in the field of dynamic both theory and applications. Theoretical as well as practical games, in problems in zero-sum and nonzero-sum games, continuous time differential and discrete time multistage games, and deterministic and stochastic games games are currently being investigated by researchers in diverse disciplines, such as engineering, mathematics, biology, economics, management science, and political science. This surge of interest has led to the formation of the International Society of Dynamic Games (ISDG) in 1990, whose primary goal is to foster the development of advanced research and applications in the field of game theory. One important activity of the Society is to organize biannually an international symposium which aims at bringing together all those who contribute to the development of this active field of applied science. In 1992 the symposium was organized in Grimentz, Switzerland, under the supervision of an international scientific committee and with the help of a local organizing committee based at University of Geneva. This book, which is the first volume in the new Series, Annals of the International Society of Dynamic Games (see the Preface to the Series), is based on presentations made at this symposium. It is however more than a book of proceedings for a conference. Every paper published in this volume has passed through a very selective refereeing process, as in an archival technical journal.

Issues relating to the emergence, persistence, and stability of cooperation among social agents of every type are widely recognized to be of paramount importance. They are also analytically difficult and intellectually challenging. This book, arising from a NATO Advanced Study Institute held at SUNY in 1994, is an up-to-date presentation of the contribution of game theory to the subject. The contributors are leading specialists who focus on the problem from the many different angles of game theory, including axiomatic bargaining theory, the Nash program of non-cooperative foundations, game with complete information, repeated and sequential games, bounded rationality methods, evolutionary theory, experimental approaches, and others. Together they offer significant progress in understanding cooperation.

The aim of" the present monograph is two-fold: (a) to give a short account of the main results concerning the theory of random systems with complete connections, and (b) to describe the general learning model by means of random systems with complete connections. The notion of chain with complete connections has been introduced in probability theory by ONICESCU and MIHOC (1935a). These authors have set themselves the aim to define a very broad type of dependence which takes into account the whole history of the evolution and thus includes as a special case the Markovian one. In a sequel of papers of the period 1935-1937, ONICESCU and MIHOC developed the theory of these chains for the homogeneous case with a finite set of states from differ ent points of view: ergodic behaviour, associated chain, limit laws. These results led to a chapter devoted to these chains, inserted by ONI CESCU and MIHOC in their monograph published in 1937. Important contributions to the theory of chains with complete connections are due to DOEBLIN and FORTET and refer to the period 1937-1940. They consist in the approach of chains with an infinite history (the so-called chains of infinite order) and in the use of methods from functional analysis."

Predation is an ecological factor of almost universal importance for the biol ogist who aims at an understanding of the habits and structures of animals. Despite its pervasive nature opinions differ as to what predation really is. So far it has been defined only in negative terms; it is thought not to be par asitism, the other great process by which one organism harms another, nor filter-feeding, carrion-eating, or browsing. Accordingly, one could define predation as a process by which an animal spends some effort to locate a live prey and, in addition, spends another effort to mutilate or kill it. Ac cording to this usage of the word a nudibranch, for example, that feeds on hydroids would be a predator inasmuch as it needs some time to locate col onies of its prey which, after being located, scarcely demand more than eating, which differs little from browsing. From the definition just proposed consumption of the prey following its capture has been intentionally omit ted. Indeed, an animal may be disposed of without being eaten. Hence the biological significance of predation may be more than to maintain nutrition al homeostasis. In fact, predation may have something in common with the more direct forms of competition, a facet that will be only cursorily touched upon in this book."

This book was originally conceived as a continuation in theme of the collec- tive monograph Limits of Predictability (Yu. A. Kravtsov, Ed. , Springer Series in Synergetics, Vol. 60, Springer-Verlag, Heidelberg, 1993). The main thrust of that book was to examine the various effects and factors (system non- stationarity, measurement noise, predictive model accuracy, and so on) that may limit, in a fundamental fashion, our ability to mathematically predict physical and man-made phenomena and events. Particularly interesting was the diversity of fields from which the papers and examples were drawn, in- cluding climatology, physics, biophysics, cybernetics, synergetics, sociology, and ethnogenesis. Twelve prominant Russian scientists, and one American (Prof. A. J. Lichtman) discussed their philosophical and scientific standpoints on the problem of the limits of predictability in their various fields. During the preparation of that book, the editor (Yu. A. K) had the great pleasure of interacting with world-renowned Russian scientists such as oceanologist A. S. Monin, geophysicist V. I. Keilis-Borok, sociologist I. V. Bestuzhev-Lada, histo- rian L. N. Gumilev, to name a few. Dr. Angela M. Lahee, managing editor of the Synergetics Series at Springer, was enormously helpful in the publishing of that book. In 1992, Prof. H. Haken along with Dr. Lahee kindly supported the idea of publishing a second volume on the theme of nonlinear system predictability, this time with a more international flavor.

The developments within the computationally and numerically oriented ar eas of Operations Research, Finance, Statistics and Economics have been sig nificant over the past few decades. Each area has been developing its own computer systems and languages that suit its needs, but there is relatively little cross-fertilization among them yet. This volume contains a collection of papers that each highlights a particular system, language, model or paradigm from one of the computational disciplines, aimed at researchers and practitioners from the other fields. The 15 papers cover a number of relevant topics: Models and Modelling in Operations Research and Economics, novel High-level and Object-Oriented approaches to programming, through advanced uses of Maple and MATLAB, and applications and solution of Differential Equations in Finance. It is hoped that the material in this volume will whet the reader's appetite for discovering and exploring new approaches to old problems, and in the longer run facilitate cross-fertilization among the fields. We would like to thank the contributing authors, the reviewers, the publisher, and last, but not least, Jesper Saxtorph, Anders Nielsen, and Thomas Stidsen for invaluable technical assistance.

The ?nite-dimensional nonlinear complementarity problem (NCP) is a s- tem of ?nitely many nonlinear inequalities in ?nitely many nonnegative variables along with a special equation that expresses the complementary relationship between the variables and corresponding inequalities. This complementarity condition is the key feature distinguishing the NCP from a general inequality system, lies at the heart of all constrained optimi- tion problems in ?nite dimensions, provides a powerful framework for the modeling of equilibria of many kinds, and exhibits a natural link between smooth and nonsmooth mathematics. The ?nite-dimensional variational inequality (VI), which is a generalization of the NCP, provides a broad unifying setting for the study of optimization and equilibrium problems and serves as the main computational framework for the practical solution of a host of continuum problems in the mathematical sciences. The systematic study of the ?nite-dimensional NCP and VI began in the mid-1960s; in a span of four decades, the subject has developed into a very fruitful discipline in the ?eld of mathematical programming. The - velopments include a rich mathematical theory, a host of e?ective solution algorithms, a multitude of interesting connections to numerous disciplines, and a wide range of important applications in engineering and economics. As a result of their broad associations, the literature of the VI/CP has bene?ted from contributions made by mathematicians (pure, applied, and computational), computer scientists, engineers of many kinds (civil, ch- ical, electrical, mechanical, and systems), and economists of diverse exp- tise (agricultural, computational, energy, ?nancial, and spatial).