We have a vibrant research environment covering a range of areas. Our staff and PhD students publish papers in prestigious international conferences, and often attract the attention of industry and government.
We are affiliated to the School of Computer Science and Electronic Engineering, from which we benefit from expertise in computational intelligence. We have an international reputation in optimization, evolutionary computation, constraint satisfaction, games, fuzzy logic and agent-based technology.
We work in different several areas of computer science, economics and finance.
A first theme looks at the interplay between computation and incentives, an area usually called Algorithmic Game Theory. Here the economic and computational concepts blend to highlight meaningful and challenging problems at the intersection of the two areas (e.g. would your algorithm return good solutions in presence of selfish agents? Are equilibria computed quickly by the market?)
Other themes cover the use of computational tools to design better trading strategies.
High-frequency data is the real-time record of all trading activities and their associated characteristics observed in an electronic exchange system. These "tick-by-tick" data sets provide deeper insights into the price formation process at the micro level and have been widely used to study various market microstructure issues, such as price discovery, order choice behaviour of market participants and optimal order placement strategy.
Our research in this area includes:
Our research in computational economics is focused on algorithmic game theory (AGT) and agent-based computational economics (ACE). This includes the use of artificially intelligent agents in the study of self-organising systems and risk and market-based institutions, and the design of real time trading. This also has the potential to provide policy makers and financial institutions with a powerful interactive tool to find answers for 'what-if' questions and to do 'wind tunnel tests' for market and policy design.
Our work is oriented to the non-Gaussian characteristics of financial markets and operational aspects of financial markets, financial engineering, portfolio and risk management. Computational methods include adaptive and reinforced learning techniques, heuristic optimisation and evolutionary computing.
Software developed by the Centre includes:
A. Brabazon, M. Kampouridis, M. O’Neill. Applications of Genetic Programming to Finance and Economics: Past, Present, Future. Genetic Programing and Evolvable Machines (Invited Article), vol. 21, Springer, pp. 33-53, 2020. https://doi.org/10.1007/s10710-019-09359-z
B. de Keijzer, M. Kyropoulou and C. Ventre. Obviously Strategyproof Single-Minded Combinatorial Auctions. Proceedings of the 47th International Colloquium on Automata, Languages and Programming (ICALP), 2020.
G. Amanatidis, G. Birmpas, A. Filos-Ratsikas, A. Hollender, and A. A. Voudouris. Maximum Nash welfare and other stories about EFX. Proceedings of the 29th International Joint Conference on Artificial Intelligence (IJCAI), 2020.