Working Papers

Evolving robust GP solutions for hedge fund stock selection in emerging markets

@inproceedings{hassan2009robustness,
title={Robustness of multiple objective GP stock-picking in unstable financial markets: real-world applications track},
author={Hassan, Ghada and Clack, Christopher D},
booktitle={Proceedings of the 11th Annual conference on Genetic and evolutionary computation},
pages={1513–1520},
number={},
year={2009},
organization={ACM}
}

Stock selection for hedge fund portfolios is a challenging problem for Genetic Programming (GP) because the markets (the environment in which the GP solution must survive) are dynamic, unpredictable and unforgiving. How can GP be improved so that solutions are produced that are robust to non-trivial changes in the environment? We explore two new approaches. The first approach uses subsets of extreme environments during training and the second approach uses a voting committee of GP individuals with differing phenotypic behaviour.

Groundstate splitting around rotating mini Blackholes

@article{sturm2007groundstate,
title={Groundstate splitting around rotating mini Blackholes},
author={Sturm, I and Witte, FMC},
journal={arXiv preprint arXiv:0707.2676},
year={2007}
}

In this letter we present the result of a spin-dependent groundstate-energy calculation for fermionic boundstates in the spacetime around a rotating blackhole. Using a slow rotation approximation and a minimax variational approach we find boundstate energies of 0 to 5 percent of the fermions flatspace restmass. The groundstate displays a spin-dependent splitting with an energy difference of about 10 percent of the binding energy. For a dilute gas of primordial mini blackholes with gravitationally bound electrons spin-flip transitions could possibly give rise to observable signatures in the observed soft X-ray spectrum for sources at cosmological distances

Groundstate splitting around rotating mini Blackholes

### Example ###
@Techreport{drakeassum2015,
Title = {Working Paper No. 33},
Author = {Drake, John and Assum, Berek},
Year = {2015},
Number = {2}
}

In this letter we present the result of a spin-dependent groundstate-energy calculation for fermionic boundstates in the spacetime around a rotating blackhole. Using a slow rotation approximation and a minimax variational approach we find boundstate energies of 0 to 5 percent of the fermions flatspace restmass. The groundstate displays a spin-dependent splitting with an energy difference of about 10 percent of the binding energy. For a dilute gas of primordial mini blackholes with gravitationally bound electrons spin-flip transitions could possibly give rise to observable signatures in the observed soft X-ray spectrum for sources at cosmological distances.

High frequency trading – bugs, glitches, false liquidity and open warfare

@article{clack2011high,
title={High frequency trading-bugs, glitches, false liquidity and open warfare},
author={CLACK, C},
year={2011},
publisher={Euromoney Trading Limited}
}

High Frequency trading (HFT) – love it or hate it? Does it provide much-needed liquidity to the markets, or distort the markets and remove investment opportunities for lower-frequency traders? Financial markets are becoming increasingly unstable, but is HFT helping to smooth the effects of market instability or is it the root cause of some of these instabilities? The Flash Crash of May 6, 2010 was not the first time the financial markets have displayed aberrant behaviour, and it won’t be the last, but it has sparked a fierce debate about the effects of HFT and its role in ameliorating or creating market instability.

Identifying Multi-Level Emergent Behaviors in Agent-Directed Simulations using Complex Event Type Specifications

@article{chen2010identifying,
title={Identifying multi-level emergent behaviors in agent-directed simulations using complex event type specifications},
author={Chen, Chih-Chun and Clack, Christopher D and Nagl, Sylvia B},
journal={Simulation},
volume={86},
number={1},
pages={41–51},
year={2010},
publisher={Sage Publications}
}

Agent-directed simulations (ADS) are used in many domains to study complex systems. These are systems where non-linear effects can result from these emergent behaviors, making them difficult to analyze and predict. Correspondingly, in ADS, as well as explicitly specified behaviors of individual agents, higher level behaviors can emerge spontaneously from agent action sequences and agent—agent interactions. We have previously introduced the complex event formalism for specifying emergent behaviors in dynamically executing ADS [1, 2]. Based on the formalism, we also described a method for detecting and analyzing emergent behaviors in multi-agent simulations, giving us an effective means of studying, and a more reliably way of predicting, these systems. Complex event types define sets of multi-dimensional structures of interrelated events arising from the actions of one or more agents. They are therefore directly related to the agent specifications, which determine the behavior of individual agents. Although the abstract constructs of the formalism have already been introduced in [1] and [2], they have not yet been related to a specific agent-based specification language. Here, we define the constructs in terms of the X-machine formalism, which is widely used to specify multi-agent systems. This extends the existing X-machine framework to model higher level emergent behaviors as well as agent-level state transitions. Thus, emergent behaviors at any level of abstraction can be specified for detection and analysis in a dynamically executing ADS.

Left-Ideals, Dirac Fermions and SU(2)-Flavour

@article{witte2006left,
title={Left-Ideals, Dirac fermions and SU (2)-Flavour},
author={Witte, FMC},
journal={arXiv preprint math-ph/0612081},
year={2006}
}

In this paper I reconsider the use of the left ideals of the even-grade subalgebra of spacetime algebra to describe fermionic excitations. When interpreted as rotors the general elements of an even-grade left-ideal describe massless particles in chiral flavour doublets. To study the application of these ideas to the standard Dirac formalism I construct a 2×2-matrix representation with bivector insertions for the Dirac algebra. This algebra has four ideals, and this approach clarifies how the identification of Dirac $\g_{\mu}$-matrices with orthonormal basisvectors eν annihilates half of the ideals. For one possible choice of this mapping the remaining ideals the chiral left- and righthanded components of the fermion coincide with the even- and odd elements of spacetime algebra.

Lightlike infinity in GCA models of Spacetime

@a@article{schmeikal2012reconstructing,
title={Reconstructing space–time},
author={Schmeikal, Bernd},
journal={Clifford analysis, Clifford Algebras and their Applications},
volume={1},
number={2},
pages={117–133},
year={2012}
}

This paper discusses a 7 dimensional conformal geometric algebra model for spacetime based on the notion that spacelike and timelike infinities are distinct. I show how naturally of the dimensions represents the lightlike infinity and appears redundant in computations, yet usefull in interpretation

Local cascades induced global contagion: How heterogeneous thresholds, exogenous effects, and unconcerned behaviour govern online adoption spreading

### Example ###
@Techreport{wpkertezs1,
Title = {Local cascades induced global contagion: How heterogeneous thresholds, exogenous effects, and unconcerned behaviour govern online adoption spreading},
Author = {M Karsai and G Iñiguez and R Kikas and K Kaski and J Kertész}
}

Smart Contract Templates: foundations, design landscape and research directions

@article{atzeisurvey,
title={A survey of attacks on Ethereum smart contracts},
author={Atzei, Nicola and Bartoletti, Massimo and Cimoli, Tiziana}
}

In this position paper, we consider some foundational topics regarding smart contracts (such as terminology, automation, enforceability, and semantics) and define a smart contract as an agreement whose execution is both automatable and enforceable. We explore a simple semantic framework for smart contracts, covering both operational and non-operational aspects. We describe templates and agreements for legally-enforceable smart contracts, based on legal documents. Building upon the Ricardian Contract triple, we identify operational parameters in the legal documents and use these to connect legal agreements to standardised code. We also explore the design landscape, including increasing sophistication of parameters, increasing use of common standardised code, and long-term academic research. We conclude by identifying further work and sketching an initial set of requirements for a common language to support Smart Contract Templates.

Systemic Risk Identification, Modelling, Analysis, and Monitoring: An Integrated Approach

@inproceedings{serguieva2013systemic,
title={Systemic risk identification, modelling, analysis, and monitoring: An integrated approach},
author={Serguieva, Antoaneta},
booktitle={2013 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr)},
pages={viii–viii},
year={2013},
organization={IEEE}
}

Research capacity is critical in understanding systemic risk and informing new regulation. Banking regulation has not kept pace with all the complexities of financial innovation. The academic literature on systemic risk is rapidly expanding. The majority of papers analyse a single source or a consolidated source of risk and its effect. A fraction of publications quantify systemic risk measures or formulate penalties for systemically important financial institutions that are of practical regulatory relevance. The challenges facing systemic risk evaluation and regulation still persist, as the definition of systemic risk is somewhat unsettled and that affects attempts to provide solutions. Our understanding of systemic risk is evolving and the awareness of data relevance is rising gradually; this challenge is reflected in the focus of major international research initiatives. There is a consensus that the direct and indirect costs of a systemic crisis are enormous as opposed to preventing it, and that without regulation the externalities will not be prevented; but there is no consensus yet on the extent and detail of regulation, and research expectations are to facilitate the regulatory process. This report outlines an integrated approach for systemic risk evaluation based on multiple types of interbank exposures through innovative modelling approaches as tensorial multilayer networks, suggests how to relate underlying economic data and how to extend the network to cover financial market information. We reason about data requirements and time scale effects, and outline a multi-model hypernetwork of systemic risk knowledge as a scenario analysis and policy support tool. The argument is that logical steps forward would incorporate the range of risk sources and their interrelated effects as contributions towards an overall systemic risk indicator, would perform an integral analysis of …