Recent work on complex adaptive systems for modeling financialmarkets is surveyed. Financia1 markets areviewed as evolutionary systems between different, competing tradingstrategies. Agents are boundedly rational inthe sense that they tend to follow strategies that have performedwell, according...

We generate a reliable implied volatility surface without arbitrage in space and in time by parametrising a mixture of shifted lognormal densities under constraints and use a Differential Evolution algorithm to calibrate the model's parameters to a finite set of option prices. It is used for...

The fact that human economic behaviour has a significant irrational element - one that is simultaneously hard-to-explain and highly predictable - has fascinated economists for decades from Fechner, 1860 to Shiller, 2005 and beyond. In this dissertation, I investigate the field from various...