Optimisation, Econometric and Financial Analysis
Advanced computational methods are often employed for the solution of modelling and decision-making problems. This book addresses issues associated with the interface of computing, optimisation, econometrics and financial modelling. Emphasis is given to c
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Erricos John Kontoghiorghes Cristian Gatu Editors
Optimisation, Econometric and Financial Analysis
Advances in Computational Management Science Editors: H.M. Amman, Eindhoven, The Netherlands B. Rustem, London, UK
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Erricos John Kontoghiorghes · Cristian Gatu (Eds.)
Optimisation, Econometric and Financial Analysis
Editors Prof. Erricos John Kontoghiorghes University of Cyprus Department of Public and Business Administration 75 Kallipoleos St. CY-1678 Nicosia Cyprus [email protected]
School of Computer Science and Information Systems Birkbeck College University of London Malet Street London WC1E 7HX UK
Dr. Cristian Gatu Universit´e de Neuchatel Institut d’ Informatique Rue Emile-Argand 11, CP2 CH-2007 Neuchatel Switzerland [email protected]
Library of Congress Control Number: 2006931767 ISSN print edition: 1388-4307 ISBN-10 3-540-36625-3 Springer Berlin Heidelberg New York ISBN-13 978-3-540-36625-6 Springer Berlin Heidelberg New York This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable for prosecution under the German Copyright Law. Springer is a part of Springer Science+Business Media springer.com c Springer-Verlag Berlin Heidelberg 2007 The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Typesetting: Cover design: design & production GmbH, Heidelberg Printed on acid-free paper
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Preface
“Optimisation, Econometric and Financial Analysis” is a volume of the book series on “Advances on Computational Management Science”. Advanced computational methods are often employed for the solution of modelling and decision-making problems. This book addresses issues associated with the interface of computing, optimisation, econometrics and financial modelling. Emphasis is given to computational optimisation methods and techniques. The first part of the book addresses optimisation problems and decision modelling. Three chapters focus on applications of supply chain and worstcase modelling. The two further chapters consider advances in the methodological aspects of optimisation techniques. The second part of the book is devoted to optimisation heuristics, filtering, signal extraction and various time series models. There are five chapters in this part that cover the application of threshold accepting in econometrics, the investigation o
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