General optimisation / AI resources
Databases
Another
core quantitative site is the Condensed Matter (cond-mat) section of the Los Alamos
National laboratory site of downloadable papers, which is
searchable. A key resource. South African users can use the local mirror sitefor more
speed..
CiteSeer Autonomously
creates citation indexes of scientific literature. An excellent
search tool for literature searches.
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 the SmartQuant 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 Referenceswe 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.
Financial
AI This page, maintained by Robert R. Trippi (co-author with
Lee, J.K. (1992) ofState-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, Cognitive Science and
Robotics .Artificial intelligence research groups and
resources.
Loads of FAQs on all AI
topics from the Center for Scientific Computing (CSC),
the Finnish national large-scale computing facility.
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 scientific publications from
science and finance researchers, tackling topics such as financial
markets, options, risk management and portfolio optimisation.
Registration required to access the research
library..
A young 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. Subscription required.
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 AnalysisThe 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. An
extremely useful resource. Electronic copies of papers are now
available back to 1997.
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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.
Taygeta
ScientificSimulated annealing software.
Optimization 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, tryThe Stony Brook Algorithm
Repository.
SmartQuant 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
Frontline Systems, the
creator of Excel's Solver, supplies a range of spreadsheet solvers,
including the GA-based Premium Solver.
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 Trick’s Operation Research
Page (now the INFORMS
OR/MS Resource Collection) is arguably the premier OR site.
The IFORS Tutor site provides many useful interactive tools for classic OR
problems.
Tom Cavalieri's Optimization Links Another general and comprehensive AI site.
WORMS -
World-Wide Web for Operations Research and Management Science - an
Australian OR site.
The CMU
Artificial Intelligence Group contains public
domain and freely distributable software, publications, and other
materials of interest to AI researchers, educators, students, and
practitioners.
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.
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 different twist on
things, provides tools which processqualitativedata and
producequalitativeinformation where quant stuff doesn’t
work. For a quick introduction, read this paper
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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
SchoolCentre 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
