Centre for Computational Finance and Economic Agents (CCFEA)

Computational Finance workshop

We held this workshop at the University of Essex in September 2017. Our invited speaker was Richard Olsen founder of Blockchain and Financial product provider Lykke.

AI Seminar

We held an AI seminar on 28 November 2018 with speaker Ioannis Caragiannis from the University of Patras.

Economics and Computer Science seminar series

In 2018/19 this seminar series was run jointly by CCFEA and the Economics department with very distinguished world-leading scientists as invited speakers.

• November 7: Nina Bobkova (EUI)
• November 16: Elias Koutsoupias (University of Oxford)
• December 13: Noam Nisan (Hebrew University)
• May 1: Larry Samuelson (Yale University)
• May 15: George Christodoulou (University of Liverpool)
• May 22: Paul Goldberg (University of Oxford)
• June 4: Philipp Strack (Berkeley University)
• June 19: Gabriel Carroll (Stanford University)

Anniversary lecture

We celebrated the 18-year anniversary of our centre in October 2020 with a talk by Professor Edward Tsang. Edward is an emeritus professor at the University of Essex. He is a co-founder (2002) and previous Director (2009-2016) of the Centre for Computational Finance and Economic Agents (CCFEA). Professor Tsang discussed "Detecting regime change in computational finance" on Friday 16th October.

We have a collated a selection of papers published by our academics in a range of journals. More papers and other information can be found on individual academic profiles.

Dr John O’Hara

• "Classifying High-Frequency FX Rate Movements with Technical Indicators and Inception Model." Z. Gong, C. Ventre, and J. O’Hara. ACM International Conference on AI in Finance (ICAIF), 2020.
• "Pricing holder-extendable call options with mean-reverting stochastic volatility." S. N. I. Ibrahim, A. Diaz-Hernandez, and J. G. O’HARA, N Constantinou. The ANZIAM Journal, volume 61 (4), pages 382-397, 2019.
• "Lie symmetry analysis of a fractional Black-Scholes equation." K. Y. Chong and J. G. O’Hara. AIP Conference Proceedings 2153, 020007, 2019.

Dr Michael Kampouridis

• "Machine Learning Classification and Regression Models for Predicting Directional Changes Trend Reversal in FX Markets." A. Adegboye and M. Kampouridis. Expert Systems with Applications, volume 173, article 114645, 2021.
• "Stochastic Model Genetic Programming: Deriving Pricing Equations for Rainfall Weather Derivatives." S. Cramer, M. Kampouridis, A. A. Freitas, and A. Alexandridis. Swarm and Evolutionary Computation, volume 46, pages 184-200, 2019.
• "Decomposition Genetic Programming: An Extensive Evaluation on Rainfall Prediction in the Context of Weather Derivatives." S. Cramer, M. Kampouridis, and A. A. Freitas Applied Soft Computing, volume 70C, pages 208-224, 2018.

Dr Panagiotis Kanellopoulos

• "Stable fractional matchings." I. Caragiannis, A. Filos-Ratsikas, P. Kanellopoulos, and R. Vaish. Artificial Intelligence, volume 295, article 103416, 2021.
• "On the price of stability of some simple graph-based hedonic games." C. Kaklamanis, P. Kanellopoulos, K. Papaioannou, and D. Patouchas. Theoretical Computer Science, volume 855, pages 1-15, 2021.

Dr Maria Kyropoulou

• "Almost envy-freeness in group resource allocation." M. Kyropoulou, W. Suksompong, and A. A. Voudouris. Theoretical Computer Science, volume 841, pages 110-123, 2020.
• "Obviously Strategyproof Single-Minded Combinatorial Auctions." B. de Keijzer, M. Kyropoulou, and C. Ventre. 47th International Colloquium on Automata, Languages and Programming (ICALP), 2020.
• "Fair Cake-Cutting in Practice." M. Kyropoulou, J. Ortega, and E. Segal-Halevi. 20th ACM Conference on Economics and Computation (EC), 2019.

Dr Alexandros Voudouris

• "Peeking behind the ordinal curtain: Improving distortion via cardinal queries." G. Amanatidis, G. Birmpas, A. Filos-Ratsikas, and A. A. Voudouris. Artificial Intelligence, volume 296, article 103488, 2021.
• "Protecting elections by recounting ballots." E. Elkind, J. Gan, S. Obraztsova, Z. Rabinovich, and A. A. Voudouris. Artificial Intelligence, volume 290, article 103401, 2021.
• "The distortion of distributed voting." A. Filos-Ratsikas, E. Micha, and A. A. Voudouris. Artificial Intelligence, volume 286, article 103343, 2020.

• Knowledge Transfer Partnership project "Novel applications of optimisation, game theory and machine learning methods for the legal sector" funded by InnovateUK. Partners: University of Essex and Stephenson Harwood LLP.
• ESRC Funded Project "An evaluation of the school admission experience: minimising contact and appeals as a cost reduction measure". Partners: Essex County Council, School of Computer Science and Electronic Engineering at the University of Essex, and Essex Business School at the University of Essex.

Relevant degrees:

• MSc Computational Finance
• MSc Algorithmic Trading
• MSc Financial Technology (Computer Science)

PhD students:

• Chen Chen
• Eva Christodoulaki
• Kam Yoon Chong
• Zheng Gong
• Fatima Habbab
• Bosiu Clement Kaibe
• Shengnan Li
• Xinpeng Long
• Shaui Ma
• Ahoora Rostamian
• G.S. Rukanda
• Ozgur Salman
• Rongsen Zhang
• Qi Zhao
• Hao Zhou

MSc by Dissertation:

• Jessica Fernanda Cebrian Aguirre.

Committee participation

Dr Michael Kampouridis is the Chair of the IEEE Computational Finance and Economics Technical Committee (TC), and all CCFEA academics are members of the TC.

Workshops

Workshops organised by CCFEA academics:

• Workshop on Fair Resource Allocation: Concepts, Algorithms and Complexity - In conjunction with the 22nd ACM Conference on Economics and Computation (EC 2021).
• IEEE Symposium on Computational Intelligence for Financial Engineering and Economics.
• Workshop on the Distortion and Information-Efficiency Tradeoffs - In conjunction with the 21st ACM Conference on Economics and Computation (EC 2020).
• Workshop on Theoretical Aspects of Fairness - In conjunction with the 46th International Colloquium on Automata, Languages and Programming (ICALP 2019).