This paper investigates genetic algorithm evolved agents trading on real historical equity market data using technical analysis, the capital asset pricing model and a hybrid model of the two approaches. Three agent groups are generated, each using solely one of the two approaches or their hybrid to determine trading decisions. Each group consists of ten independently evolved populations over a ...

Abstract We present a new term-structure model for commodity futures prices based on Trolle and Schwartz (2009), which we extend by incorporating seasonal stochastic volatility represented with two different sinusoidal expressions. obtain quasi-analytical representation of the characteristic function log-prices closed-form expressions standard European options’ using fast Fourier transform algo...

Climate change mitigation faces two main policy challenges: the need for global cooperation to tackle collective action problem and share burden of carbon pricing fair way following principle common but differentiated responsibility (CBRD). In this paper we explore best ways incentivize regions reduce their CO2 emissions while minimizing welfare losses low-income countries using simulations wit...

In this paper, we consider the problem of finding bounds on prices options depending multiple assets without assuming any underlying model price dynamics but only absence arbitrage opportunities. We formulate as a generalized moment and utilize well-known moment-sum-of-squares hierarchy Lasserre to obtain range possible prices. A complementary approach (also from Lasserre) is employed for compa...

I claim that an argument from the philosophy of statistics can be improved by using Carnapian inductive logic. \citet{GelmanShalizi2012} criticise a philosophical account of how statisticians ought to choose statistical models which they call `the received view of Bayesian inference' and propose a different account inspired by falsificationist philosophy of science. I introduce another philosop...

A computational technique borrowed from the physical sciences is introduced to obtain accurate closed-form approximations for the transition probability of arbitrary diffusion processes. Within the path integral framework the same technique allows one to obtain remarkably good approximations of the pricing kernels of financial derivatives. Several examples are presented, and the application of ...