Christopher D. Clack

IDEAS for 2005/2006

THIS YEAR I WILL ONLY SUPERVISE PROJECTS IN THE AREA OF FINANCIAL COMPUTING.

Specifically, this means Intelligent Systems applied to finance. In all cases you will/may need to know or learn about:

• Financial markets, trading and investment
  • e.g. see A Random Walk Down Wall Street, Malkiel (from Waterstones or Amazon)
• Evolutionary computing (genetic algorithms "GA", genetic programming "GP") and/or agent-based modelling. There are numerous tutorials available on the web. Here's a few by Darrell Whitley:
  • Slides: Practical Guidelines for Evolutionary Algorithms
    CEC Tutorial in PDF
  • An Overview of Evolutionary Algorithms
    Journal of Information and Software Technology 43:817-831, 2001.
      PDF   Gzipped Postscript
  • A Genetic Algorithm Tutorial
    Statistics and Computing (4):65-85, 1994.
      PDF   Gzipped Postscript
  • Genetic Algorithms and Neural Networks
    Genetic Algorithms in Engineering and Computer Science.
    Winter, Periaux, Galan and Cuesta, eds. pp: 203-216, John Wiley, 1995.
      PDF   Gzipped Postscript
  • Genetic Algorithms and Evolutionary Computing
    Van Nostrand's Scientific Encyclopedia 2002.
      PDF   Gzipped Postscript
• Simulation of an investment fund - including stock selection, buy/sell, trading and lending costs, how to monitor portfolio performance
  • e.g. see a recent (draft) research paper here
• How to get access to real data from the financial markets - using the Reuters 3000 Xtra software (my students can access delayed data direct from Reuters - for teaching and research purposes only)

Example projects include:

• Extending Genetic Programming (GP) to incorporate risk-management techniques, in order to be more robust to (and adapt to) a dynamic and unpredictable environment. The "dynamic & unpredictable environment" in this case is the financial markets, and we are particularly interested in simulating the behaviour of Hedge Funds. The risk-management techniques of interest are:
  1. preserving diversity of phenotypic behaviour - extending previous work;
  2. incorporating a committee structure of high-fitness individuals with differing phenotypic behaviours;
  3. your own idea (?)
• Agent-based models of one or more financial markets
• Automated intelligent business-plan scoring - extending previous work
• Gene dominance in portfolio management - investigating the use of Genetic Algorithms (GA) and "gene dominance" in optimizing Hedge Fund performance
• Gene dominance in GP - a slightly more abstract topic, investigating whether gene dominance (a technique developed for GA) can be successfully applied to GP
• Linkage learning in GP - this is a more theoretical/research project. Gene linkage (epistasis) is well known in nature and well explored in GA, but how is linkage expressed in GP, and how can it be detected?
  • See a recent (draft) research paper here
• Continuous learning in a Financial-Application GA or GP

 

PAST PROJECTS

Intelligent Systems in Finance

1. "Profitable, Return-Enhancing" Portfolio Adjustments - An Application of Genetic Programming with Constrained Syntactic Structure  (Wei Yan, MScCS 2003) (link to Wei's project report)
2. Are Genetic Algorithms and Genetic Programming suited to incremental learning? (David Koo, 3rdyr 2004)
3. An investigation into the application of a continuous learning strategy to the use of GA techniques for trading Portfolio Optimisation (Lisa Billet, MScIS 2004)  (link to Lisa's project report)
4. Dynamic Optimisation of Technical Trading Rules Using Genetic Programming (Thomas Graham, MScIS 2004) (link to Tom's project report)
5. Cytoskeleton Simulation applied in financial portfolio optimisation (Bo Zhang, MScCS 2005) (link to Bo's project report)
6. Financial portfolio optimisation (Nicky Tsang, BSc 2005) (link to Nicky's project report)
7. Financial portfolio optimisation (Fuad Sulejmanovic, MSci 2005) (link to Fuad's project report)
8. Venture Analytics Web Application (Michael Le, MSci 2006) (link to Michael's project report)
9. FTSE 100 Price Prediction with a multi-factor model using Genetic Programming (Harjinder Bagria, BSc 2006) (link to Harjinder's project report) (User Manual) (System Manual) (Test Results) (Stocks) (Code Archive) (Data Archive) (data file manager)
10. Using an agent-bsed simulation to explore hedging pressure in futures markets (Jonathan Duke, MSc IS 2006)
11. A Study of Linkage Identification in Financial Time Series Analysis (Theodore Chiotis, MSc IS 2006)
12. GP portfolio optimisation (Yaning Liu, MSc CS 2006)
13. GP based options pricing (Faisal Muhammed, MSc CS 2006)
14. GP Portfolio optimisation (Nick Watson, MSc CS 2006)
15. Hedging pressure in futures markets (Carl Aranjo, BSc 2007)
16. Experiment support system for parallel GP in finance (Ali Adeli, BSc 2007)
17. GP prediction of American Options Bid-Offer spreads (Jignesh Halai, BSc 2007)
18. VaR optimisation using Genetic Programming (Sunpreet Grewal, MSci 2007)
19. Comparison of GP diversity preservation mechanisms for non-linear portfolio optimisation (Suneer Patel, MSci 2007)
20. GP prediction of American Options Bid-Offer spreads (Amy Willis, MSci 2007)

Intelligent Systems in the Life Sciences

1. Drug Patient Database (Sameera Waheed, MScCS 1994)
2. ECOSERVER (a website where users can request information from a data structure, written in a functional language, capable of producing web pages to display that information dynamically) (Andrew Oldfield, MScCS 1995)
3. Design and Implementation of a Java Application for Interactive Manipulation of Protein Sequence Alignments (Cleopatra Karapanagioti, MScCS 1998)
4. Learning algorithms applied to  Malaria diagnosis (Clarence Sittampalam, MScCS 2004)
5. Simulation of cancer tumour therapy using agent-based programming and a cellular automaton (Mo Radif, BSc 2005) (link to Mo's project report)
6. Simulation of cancer tumour therapy using agent-based programming and a cellular automaton (Anastasia Semenova, MSci, 2005) (link to Anna's project report)
7. Modelling the movement of antibodies towards the tumour in Cancer Chemotherapy. (Chih-Chun Chen, MScCS 2005) (link to Chih-Chun's project report).

Intelligent Systems in Business and underlying technology

1. Development of a Prototype Intelligent Browsing System utilising Boolean Query Generation using Genetic Programming (Dan Morrison, MScCS 1994)
2. Introducing GPMail - A Personalised Email Agent Using Genetic Programming (Youssef Lababidi, MScCS 1996)
3. GUESS: An Adaptive Genetically-Programmed E-mail Assistant written in Haskell (Dzofrain Azmi, MScIT 1996)
4. Optimisation of Sainsbury's Stock Control Data (Daniel Shaya, MScCS 1996)
5. Adaptive e-mail classification and routing, a UCL implementation using Genetic Programming (Jude Umeh, MScCS 1997, Pass)
6. A Natural Selection Solution to a Complete Problem (Steve Evans, MScCS 1998)
7. Supply Chain Scheduling using a genetic algorithm (Prajesh Patel, MScCS 2000)
8. Supply Chain Scheduling Using a Genetic Algorithm (Jaspal Gill, MScCS 2000)
9. Electronic Mail Filtering Using Genetic Algorithms (Smeeta Sharma, MScIT 2003)
10. The Spam Filter System (Amit Sharma, MScCS 2003)
11. A Feasibility Study of a Novel Adaptive Memory Management System (Idris Drief, MScIT 2003) 
12. Selective Crossover Using Gene Dominance as an Adaptive Strategy for Genetic Programming (Chi Yuen, MScIS 2004) (link to Chi's project report)

Memory Management

1. A Simulation Study of an Exact-Fit, Peer-Group Memory Allocator (Sundeep Kooner, MScCS 2000)
2. A Feasibility Study of a Novel Adaptive Memory Management System (Idris Drief, MScIT 2003)
3. Co-evolution of Worst-Case Optimal Memory Management Policies  (David Coffin, MScCS 2004)
4. An Investigation into the fragmentation performance of the Symbian Operating System memory allocator, and a critical assessment of the extensibility of the allocator framework (Dan Kolb, MScCS 2004, Distinction)  (Link to Dan's project report)

Functional Programming

1. GRIP Performance Monitoring (Perminder Thandi, MScCS 1988)
2. High Bandwidth Parallel Interface between GRIP and an HLH Orion (Peter Traps, MScCS 1989)
3. Functional Image Processing (Chung Wing Man, 3rdyr 1990)
4. A DIGRESS SYstem Profile Display Tool (Bruce Attah, MScCS 1993)
5. Haskell Core to FLIC Compiler (Sapna Patel, MScCS 1994)
6. Feasibility study into the implementation of the nuG machine on the DIGRESS system (Steven Crossan, MScCS 1994)
7. A CORE Compiler (Alexandra Crouch, MScCS 1994)
8. ECOSERVER (a website where users can request information from a data structure, written in a functional language, capable of producing web pages to display that information dynamically) (Andrew Oldfield, MScCS 1995)
9. GUESS: An Adaptive Genetically-Programmed E-mail Assistant written in Haskell (Dzofrain Azmi, MScIT 1996)
10. Feasibility Study: Incorporating Lexical Profiling into the Glasgow Haskell Compiler (Tina Callaghan, MScCS 1996)
11. Miranda Functional Spreadsheet (Yat Sun NG, 3rdyr 1997)
12. Analysis and research into errors produced while compiling a Miranda program and examining how these errors can be resolved (Patrick Kielty, 3rdyr 1997)
13. CLOVER Spreadsheet Editor (Sieu Ngu, 3rdyr 1997)
14. A Teaching Program for the Lambda Calculus (Ekaterini Metallinou, MScIT 2003)

Other

1. Multi-User Diagram-Editor (Eli Kalati, 3rdyr 1991)
2. Distributed UNIX Booking System (Lotfi Berrada, MScCS 1993)
3. Amanuensis - Indexing with LaTeX (Steven Gould, MScCS 1994)
4. Access rule-based system for building maintenance (Apostolos Kontogeorgis, 3rdyr 1995)
5. A Feasibility Study into developing a prototype platform-independent program for remote development of platform-independent code (Micah Levy, 3rdyr, 1996)
6. The Production of a Data-Flow Diagram Editor Applet for Use in an Application Development Environment (Oliver Wood, MScIT 1996)
7. Multi-user Spreadsheet Program (Erik Emin, 3rdyr 1998)
8. Dynamic web application for graphical display of result sets (Claire Worledge, MScIT 2001)
9. Real-Time Interactive Data Over the Internet (Mark Hilton, MScCS 2001)
10. A Website that allows Statistical Testing (Sachin Kumar, MScCS 2002)
11. Camera Support for the Symbian OS Emulator for Windows (Aleem Juma, 3rdyr 2004)
12. Extreme Tube - A live view of the tube network, using wireless networks  (Adnaan Shirazi, 3rdyr 2004)