Soft Computing in Economics and Finance (eBook)
XII, 295 Seiten
Springer Berlin (Verlag)
978-3-642-17719-4 (ISBN)
An essential feature of economic and financial problems it that there are always at least two criteria to be taken into account: profit maximization and risk minimization. Therefore, the economic and financial problems are multiple criteria ones. In this book, a new systematization of the problems of multiple criteria decision making is proposed which allows the author to reveal unsolved problems. The solutions of them are presented as well and implemented to deal with some important real-world problems such as investment project's evaluation, tool steel material selection problem, stock screening and fuzzy logistic.
It is well known that the best results in real -world applications can be obtained using the synthesis of modern methods of soft computing. Therefore, the developed by the author new approach to building effective stock trading systems, based on the synthesis of fuzzy logic and the Dempster-Shafer theory, seems to be a considerable contribution to the application of soft computing method in economics and finance.
An important problem of capital budgeting is the fuzzy evaluation of the Internal Rate of Return. In this book, this problem is solved using a new method which makes it possible to solve linear and nonlinear interval and fuzzy equations and systems of them. The developed new method allows the author to obtain an effective solution of the Leontjev's input-output problem in the interval setting.
Title Page 1
Foreword 6
Contents 8
Introduction 12
References 16
Applications of Modern Mathematics in Economics and Finance 17
Fuzzy Set Theory and Applied Interval Analysis 17
Economic and Financial Applications of Rough Sets Theory 23
Artificial Neural Network-Based Applications in Economics and Finance 24
Applications of Multiple Criteria Decision Making in Economics and Finance 32
Summary and Discussion 39
References 40
The Methods for Uncertainty Modeling 50
Fuzzy Set Theory 50
Basic Definitions 50
Operations on Fuzzy Sets 53
Operations on Fuzzy Numbers 57
Generalizations of Fuzzy Set Theory 61
Interval Arithmetic 70
Dempster-Shafer Theory of Evidence 75
Basic Definitions 75
Combination of Evidence in the Dempster-Shafer Theory 79
The Methods for Interval and Fuzzy Numbers Comparison Based on the Probabilistic Approach and Dempster-Shafer Theory 82
Intuitionistic Fuzzy Sets in the Framework of Dempster-Shafer Theory 101
Summary and Discussion 106
References 107
MCDM with Applications in Economics and Finance 115
MCDM in the Fuzzy Setting 115
Tool Steel Material Selection Problem 120
Subsethood Measure for Linguistic Representation of Fuzzy Numbers 124
Common Representation of Different Types of Local Criteria 128
Probabilistic Method for Fuzzy Numbers Comparison 132
Aggregation of Local Criteria and Aggregating Modes 135
Multiple Criteria Investment Project Evaluation in the Fuzzy Setting 145
Local Criteria Building 145
Ranking the Local Criteria 148
Numerical Evaluation of the Comparing Investment Projects 151
Hierarchical Structure of Local Criteria 153
Fuzzy MCDM and Optimization in the Stock Screening 154
Multiple Criteria Performance of Firms 157
General Criterion of Firm's ``Health'' Based on Financial Rations 158
Two-Criteria Performance of Firm Based on Stocks Prices History 160
The Comparison of Stocks Ranking Methods 162
Stock Ranking with the Use of Multiple Criteria Optimization 166
Multiple Criteria Fuzzy Evaluation and Optimization in Budgeting 171
The Problem Formulation 171
Fuzzy NPV and Risk Evaluation 174
The Set of Crisp IRR Estimations Based on Fuzzy Cash Flows 179
A Method for Numerical Solution of the Project Optimization Problem 183
Summary and Discussion 186
References 187
Interval and Fuzzy Arithmetic in Logistic 195
Fuzzy Linear Programming Approach to the Distribution Planning Problem 196
The Methods for the Solution of Fuzzy Linear Programming Problem 196
The Direct Fuzzy Extension of the Simplex Method 198
Numerical Studies 201
Multiple Criteria Fuzzy Distribution Planning Problem 204
The Problem Formulation 205
The Solution of Multiple Criteria Fuzzy Distribution Problem Using the Aggregation of Aggregation Modes 207
Summary and Discussion 210
References 211
The Synthesis of Fuzzy Logic and DST in Stock Trading Decision Support Systems 215
Stock Trading Systems Based on Conventional Fuzzy Logic 216
Modern Approaches to Building Stock Trading Systems 216
Technical Analysis Indicators and Their Fuzzy Representation 218
Stock Trading System Based on the Mamdani's Approach 221
Expert System Based on Logic-Motivated Fuzzy Logic Operators 222
Comparing the Trading Systems Based on Mamdani's Approach and Logic-Motivated Fuzzy Logic Operators 226
The Stock Trading System Based on Fuzzy Logic and Evidential Reasoning 229
Experts Systems Based on Rule-Base Evidential Reasoning 229
A Modern Approach to the Rule-Base Evidential Reasoning 232
Stock Trading Expert System 237
Summary and Discussion 245
References 246
Application of Interval and Fuzzy Analysis in Economic Modeling 249
Basics of ``Interval Zero Extension'' Method 249
The Problem Formulation 250
Solution Linear Fuzzy Equations 263
Solving Interval Linear Systems and the Interval Leontiev's Input-Output Problem 266
Solving Systems of Interval Linear Equations 266
Application to the Interval Leontief'S Input-Output Model of Economics 272
Solving Nonlinear Interval and Fuzzy Equations 275
Fuzzy Internal Rate of Return in Budgeting 283
The Problem Formulation 284
Fuzzy Internal Rate of Return for Crisp Interval Cash Flows. Basics. 286
Numerical Solution of the Nonlinear Fuzzy Problem of Internal Rate of Return Calculation 288
Possible Applications 293
Summary and Discussion 295
References 296
Index 300
| Erscheint lt. Verlag | 21.1.2011 |
|---|---|
| Reihe/Serie | Intelligent Systems Reference Library |
| Zusatzinfo | XII, 295 p. |
| Verlagsort | Berlin |
| Sprache | englisch |
| Themenwelt | Informatik ► Theorie / Studium ► Künstliche Intelligenz / Robotik |
| Technik | |
| Wirtschaft ► Betriebswirtschaft / Management ► Planung / Organisation | |
| Schlagworte | Economics • Finance • Intelligent Systems • Soft Computing |
| ISBN-10 | 3-642-17719-0 / 3642177190 |
| ISBN-13 | 978-3-642-17719-4 / 9783642177194 |
| Haben Sie eine Frage zum Produkt? |
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