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Proceedings First International Conference on Artificial Intelligence Applications on Wall Street

9-11 Oct. 1991

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Displaying Results 1 - 25 of 52
  • A constraint-oriented decision support system for option-based investment strategies

    Publication Year: 1991, Page(s):146 - 151
    Cited by:  Patents (3)
    Request permission for commercial reuse | Click to expandAbstract | PDF file iconPDF (457 KB)

    With the advent of options and futures on financial instruments, investors have the opportunity to form complex strategies that meeting their investment objectives. However, this opportunity gives rise to a difficult task for finding a desired strategy among a large amount of investment strategies. The authors describe an intelligent decision-support system for generating option-based investment s... View full abstract»

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  • A knowledge-based approach to solving hedge design problems

    Publication Year: 1991, Page(s):140 - 145
    Cited by:  Papers (1)
    Request permission for commercial reuse | Click to expandAbstract | PDF file iconPDF (592 KB)

    Problems such as the explosive number of hedging alternatives that is constantly growing, the quick decisions risk managers need to make in response to the speed in which information flows, and the lack of appropriate computerized support in the early phases of the hedge design process, suggest that there is ample scope for risk managers to make suboptimal decisions. The authors formulate hedge de... View full abstract»

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  • Program traffic locator-a knowledge based expert system

    Publication Year: 1991, Page(s):135 - 138
    Request permission for commercial reuse | Click to expandAbstract | PDF file iconPDF (220 KB)

    A program basket contains a specified set of stocks in a certain proportion. It is a difficult problem to recognize a program basket when the orders comprising the basket are interspersed with the large number of individual retail orders arriving at the stock exchange. A knowledge based expert system was designed to identify and 'learn' the basket properties so that it can be used to identify bask... View full abstract»

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  • The collateral perfection analysis and recommendation knowledgebases-CPARK

    Publication Year: 1991, Page(s):132 - 134
    Request permission for commercial reuse | Click to expandAbstract | PDF file iconPDF (241 KB)

    In any large corporation the number of policy manuals, regulatory guides and product documents is often overwhelming. To find a quick answer to a question, be it simple or complex, is rarely easy. There is just too much information. Turning information into knowledge is a major corporate challenge moving into the 1990s. Manufacturers Hanover's (MH), internal audit department, charged with responsi... View full abstract»

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  • Margin credit evaluation system

    Publication Year: 1991, Page(s):128 - 131
    Cited by:  Patents (1)
    Request permission for commercial reuse | Click to expandAbstract | PDF file iconPDF (388 KB)

    The Management Science Group developed an expert system for the Credit Administration Department at Merrill Lynch to assist them with their primary responsibility of setting credit limits on margin accounts. Every account with a debit balance over $100000 is delivered daily to the system, appraised, and prioritized by its risk, using a combination of analytic and heuristic reasoning to evaluate it... View full abstract»

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  • SEPT: a hybrid intelligent support system for the bank treasury dealing room

    Publication Year: 1991, Page(s):122 - 127
    Request permission for commercial reuse | Click to expandAbstract | PDF file iconPDF (354 KB)

    The treasurers of Italian commercial banks manage liquidity mainly by short-term interbank operations in lira. After the introduction of a telematic domestic money market, such operations cannot be planned effectively without computer support. The planning of liquidity flows and the exploitation of arbitrage opportunities cannot be done by sheer calculations since future trends can be predicted on... View full abstract»

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  • Case-based reasoning for market surveillance

    Publication Year: 1991, Page(s):116 - 121
    Cited by:  Patents (4)
    Request permission for commercial reuse | Click to expandAbstract | PDF file iconPDF (366 KB)

    Stock market surveillance is an enormously difficult task. Exchange surveillance departments must sift through data on thousands of transactions each day, pick out suspicious price movements, investigate the transactions, and determine if action is necessary. Knowledge-based systems have been applied in this domain with mixed results, primarily due to a lack of clear-cut criteria for identifying a... View full abstract»

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  • AI solutions in support of global trading

    Publication Year: 1991, Page(s):109 - 113
    Request permission for commercial reuse | Click to expandAbstract | PDF file iconPDF (430 KB)

    SWIFT runs a global financial network in support of financial transactions. To increase the level of efficiency and service, the use of AI techniques have made a significant impact on SWIFT operations. It is perhaps the only example to date where AI techniques have had an important impact on a company's core business function. The author describes the application environment, surveys research and ... View full abstract»

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  • Achieving excellence in the global marketplace using knowledge-based simulation

    Publication Year: 1991, Page(s):103 - 108
    Request permission for commercial reuse | Click to expandAbstract | PDF file iconPDF (407 KB)

    The continuous improvement of global real-time processes is an essential element in establishing and maintaining a world class operation. Process re-engineering efforts are undertaken to redesign and implement process improvements for white-collar processes from a business process and information technology perspective, but are often biased and short-sighted in their analyses and recommendations. ... View full abstract»

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  • A new perspective on conflict resolution in market forecasting

    Publication Year: 1991, Page(s):97 - 102
    Cited by:  Papers (1)  |  Patents (3)
    Request permission for commercial reuse | Click to expandAbstract | PDF file iconPDF (443 KB)

    What has been most problematical in the application of expert systems technology to market forecasting, as well as a significant theoretical issue with respect to the relative 'insensitivity' of the control structure of the expert system shell to global changes in the nature of the dynamism of the predictive domain has been that the market is sometimes predictable by one mechanism, sometimes by an... View full abstract»

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  • TRADER: an expert system for trading commodities futures

    Publication Year: 1991, Page(s):92 - 96
    Cited by:  Papers (2)  |  Patents (6)
    Request permission for commercial reuse | Click to expandAbstract | PDF file iconPDF (408 KB)

    An expert system is described, written in PROLOG, for trading commodities futures. The system uses a blackboard architecture to develop a set of confidence factors for buying and selling futures. It also has an elaborate user interface, which displays the technical studies that its decisions are based on in graphical form and provides feedback to the user on its decisions. This interface played a ... View full abstract»

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  • A technical analysis expert system with knowledge refinement mechanism

    Publication Year: 1991, Page(s):86 - 91
    Cited by:  Papers (1)  |  Patents (1)
    Request permission for commercial reuse | Click to expandAbstract | PDF file iconPDF (347 KB)

    A refinement system is given which tries to refine a rule base, using task and domain strategies. In particular, the task strategy has domain-free rule primitives which are just relevant to generic tasks (signal processing or pattern recognition) and tries to move the initial rule space into a new better one, testing the applicability of new rule candidates in the new rule space with real data. An... View full abstract»

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  • The ALEXSYS mortgage pool allocation system

    Publication Year: 1991, Page(s):79 - 84
    Request permission for commercial reuse | Click to expandAbstract | PDF file iconPDF (517 KB)

    Various approaches are given for the allocation of mortgage pools, a combinatorial optimization problem, faced by financial institutions that trade in mortgage-backed securities. The authors review the problem, describe and compare the approaches taken to solve it, and demonstrate how this work motivates further research and the development of a high-level parallel rule language that uses meta-rul... View full abstract»

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  • The SPLENDORS real time portfolio management system

    Publication Year: 1991, Page(s):73 - 78
    Cited by:  Papers (2)  |  Patents (8)
    Request permission for commercial reuse | Click to expandAbstract | PDF file iconPDF (501 KB)

    Voluminous amounts of rapidly changing data in financial markets create a challenging problem for portfolio managers attempting to exploit such changes to achieve their investment objectives. The SPLENDORS real time portfolio management system, built using the PROFIT language, is such a system which allows great flexibility in creating such portfolio managers for the sophisticated C programmer and... View full abstract»

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  • The FLiPSiDE Blackboard: a financial logical programming system for distributed expertise

    Publication Year: 1991, Page(s):64 - 72
    Cited by:  Papers (1)
    Request permission for commercial reuse | Click to expandAbstract | PDF file iconPDF (677 KB)

    The blackboard model of problem solving is applied to the domain of portfolio management. A client-server blackboard architecture to control and integrate heterogeneous knowledge sources is presented. Software engineering benefits of the general approach, such as modularity, incremental development and ease of maintenance are discussed. Advantages of working with distributed, high granularity know... View full abstract»

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  • Winning management support: cost justifying AI projects on Wall Street

    Publication Year: 1991, Page(s):60 - 61
    Request permission for commercial reuse | Click to expandAbstract | PDF file iconPDF (166 KB)

    Risk and uncertainty are present during all phases of an artificial intelligence project. Therefore, it is necessary to combine methods for dealing with uncertainty with conventional cost-benefit analyses and cost reduction techniques. The author elaborates on the risk factors of each phase and explores some ways of maximizing return on investment under uncertainty.<<ETX>> View full abstract»

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  • Predicting short and long term financial trends

    Publication Year: 1991, Page(s):58 - 59
    Request permission for commercial reuse | Click to expandAbstract | PDF file iconPDF (149 KB)

    For short term predictions of trends in financial statistical data, the author shows the connection between using back data and differentiability assumptions and uses the theory to present new trend extrapolation schemes. For long term prediction, Keynes's fundamental equations are formulated in a mathematically acceptable manner and its shown how to use these equations to model economic developme... View full abstract»

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  • Neural networks and the mathematics of chaos-an investigation of these methodologies as accurate predictors of corporate bankruptcy

    Publication Year: 1991, Page(s):52 - 57
    Cited by:  Patents (1)
    Request permission for commercial reuse | Click to expandAbstract | PDF file iconPDF (372 KB)

    Research is given which investigates the use of neural networks as a classification tool to predict corporate bankruptcy. It also examines if a branch of chaos theory could be used as a forecasting tool. It compares neural networks with an alternative corporate bankruptcy prediction model Altman's Z-score model (1977) on a small data sample and illustrates that neural networks can yield superior r... View full abstract»

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  • An intelligent trend prediction and reversal recognition system using dual-module neural networks

    Publication Year: 1991, Page(s):42 - 51
    Cited by:  Papers (1)  |  Patents (1)
    Request permission for commercial reuse | Click to expandAbstract | PDF file iconPDF (643 KB)

    Short-term trends of price movement for common stocks traded on the Taiwan stock market have been modelled and predicted using the dual-module neural networks (dual net) proposed. Both neural network modules of the dual net learn the correlations between the trends of price movement and the retrospective technical indices. An adaptive reversal recognition mechanism which can self-tune the threshol... View full abstract»

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  • Selecting neural network architectures via the prediction risk: application to corporate bond rating prediction

    Publication Year: 1991, Page(s):35 - 41
    Cited by:  Papers (23)  |  Patents (13)
    Request permission for commercial reuse | Click to expandAbstract | PDF file iconPDF (407 KB)

    The notion of generalization can be defined precisely as the prediction risk, the expected performance of an estimator on new observations. The authors propose the prediction risk as a measure of the generalization ability of multi-layer perceptron networks and use it to select the optimal network architecture. The prediction risk must be estimated from the available data. The authors approximate ... View full abstract»

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  • Using neural nets to predict several sequential and subsequent future values from time series data

    Publication Year: 1991, Page(s):30 - 34
    Cited by:  Patents (1)
    Request permission for commercial reuse | Click to expandAbstract | PDF file iconPDF (399 KB)

    Analysing time series data in order to recognize patterns or make predictions about future values is important in many application areas, for example, failure prediction in nuclear power plants and machinery, the stock market, inventory control, marketing sales forecasts, bankruptcy prediction, forest fire predictions, etc. Solutions to many of these problems exist in nonlinear mathematics, which ... View full abstract»

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  • Natural language interface to a corporate cash management system

    Publication Year: 1991, Page(s):23 - 27
    Request permission for commercial reuse | Click to expandAbstract | PDF file iconPDF (389 KB)

    The development is described of a natural language interface to the corporate cash management software of a major bank. The author presents an overview of natural language processing technology, discusses the project's advantages and limitations, and suggests other applications for NLP in banking systems.<<ETX>> View full abstract»

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  • Name classification in noisy domains

    Publication Year: 1991, Page(s):16 - 22
    Request permission for commercial reuse | Click to expandAbstract | PDF file iconPDF (469 KB)

    Many problems in trading and regulation depend on textual data that identifies objects, events, and relationships. In general, these trading and regulatory activities require data from a variety of sources that must be 'intelligently integrated', in order to draw attention to a particular object or group of objects to indicate unusual trading opportunities or to help indicate unusual market behavi... View full abstract»

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  • A wide area network information filter

    Publication Year: 1991, Page(s):10 - 15
    Cited by:  Patents (127)
    Request permission for commercial reuse | Click to expandAbstract | PDF file iconPDF (443 KB)

    A discussion is given on an intelligent wide area network-based clipping service used as a test-bed for the development and effectiveness measurement of high-performance retrieval algorithms. The system taps news wire and other information sources aperiodically, several times daily. It maintains a local 100 Mbyte news database that changes at a rate of 10 Mbytes per day. The system stores and mana... View full abstract»

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  • Adding value to financial news by computer

    Publication Year: 1991, Page(s):2 - 8
    Cited by:  Papers (1)  |  Patents (2)
    Request permission for commercial reuse | Click to expandAbstract | PDF file iconPDF (487 KB)

    Recent advances in software permit applications where computers can intelligently process text based on its content. Since so much financial information is available first (and sometimes only) in textual form, these developments have great significant for Wall Street. The authors describe a deployed application that enhances access to financial news stories by categorizing them (as corporate acqui... View full abstract»

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