DEPARTMENT OF ENGINEERING MANAGEMENT AND SYSTEMS ENGINEERING Computational Intelligence for Price and Volatility Forecasting, Economic Modeling, and Risk Management Intelligent Volatility and Price Forecasting • Forecasting Volatility and Stock Option Strike Prices for Hedging and Financial Risk Management • Intelligent Technical Trading and Investing Rules Financial Decision Support Systems • Adaptive Stock Index Trading Decision Support Systems • Intelligent Portfolio Management Economic Loss Estimation; Cost-Benefit Analysis • Estimation of Direct and Indirect Economic Loss from Earthquake Damaged Bridges; Cost-Benefit Comparison Energy Investment Analysis • Market-Oriented Models for Transmission Investment • Economics of Alternative Energy Investments & Biofuels PoC: David Enke, Curators’ Distinguished Teaching Professor, EMSE, Missouri S&T, 221 Engineering Management, Rolla, MO, 65409-0370, 573-341-4749, [email protected] , http://web.mst.edu/~enke/ Past Funding Sources • The Boeing Company • New York State Gas and Electric; Ameren • King Saud University Intelligent Systems and Economic Models for Financial Decision Making, Investment, and Risk Management Keywords • #Computational Intelligence, #Forecasting, #Price Estimation, #Volatility Modeling, #Economic Modeling, #Risk Management, #Neural Networks, #Evolutionary Computation, #Energy Recognition • Eight best paper awards for research (journal & proceedings) • Twelve teaching awards (on-campus and distance) • Advisor for three students who have won outstanding graduate student research awards CEC Research … … … … Inputs Output Forecast Total Loss Related Factors Cost per time unit Time Difference Loss from time difference Loss from distance difference Cost per distance unit Distance Difference Related Factors

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Page 1: DEPARTMENT OF ENGINEERING MANAGEMENT AND …

DEPARTMENT OF ENGINEERING MANAGEMENT AND SYSTEMS ENGINEERING

Computational Intelligence for Price and Volatility Forecasting, Economic Modeling, and Risk Management Intelligent Volatility and Price Forecasting

•  Forecasting Volatility and Stock Option Strike Prices for Hedging and Financial Risk Management

•  Intelligent Technical Trading and Investing Rules Financial Decision Support Systems

•  Adaptive Stock Index Trading Decision Support Systems •  Intelligent Portfolio Management

Economic Loss Estimation; Cost-Benefit Analysis •  Estimation of Direct and Indirect Economic Loss from

Earthquake Damaged Bridges; Cost-Benefit Comparison Energy Investment Analysis

•  Market-Oriented Models for Transmission Investment •  Economics of Alternative Energy Investments & Biofuels

PoC: David Enke, Curators’ Distinguished Teaching Professor, EMSE, Missouri S&T, 221 Engineering Management, Rolla, MO, 65409-0370, 573-341-4749, [email protected], http://web.mst.edu/~enke/

Past Funding Sources •  The Boeing Company •  New York State Gas and Electric; Ameren •  King Saud University

Intelligent Systems and Economic Models for Financial Decision Making, Investment, and Risk Management

Keywords •  #Computational Intelligence, #Forecasting, #Price Estimation,

#Volatility Modeling, #Economic Modeling, #Risk Management, #Neural Networks, #Evolutionary Computation, #Energy

Recognition •  Eight best paper awards for research (journal & proceedings) •  Twelve teaching awards (on-campus and distance) •  Advisor for three students who have won outstanding graduate

student research awards

CEC Research

…………

Inputs

OutputForecast

Total Loss

RelatedFactors

Cost per timeunit

TimeDifference

Loss fromtime

difference

Loss fromdistance