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- Creators: Economics Program in CLAS
Description
Agent Based modeling has been used in computer science to simulate complex phenomena. The introduction of Agent Based Models into the field of economics (Agent Based Computational Economics ACE) is not new, however work on making model environments simpler to design for individuals without a background in computer science or computer engineering is a constantly evolving topic. The issue is a trade off of how much is handled by the framework and how much control the modeler has, as well as what tools exist to allow the user to develop insights from the behavior of the model. The solutions looked at in this thesis are the construction of a simplified grammar for model construction, the design of an economic based library to assist in ACE modeling, and examples of how to construct interactive models.
ContributorsAnderson, Brandon David (Author) / Bazzi, Rida (Thesis director) / Kuminoff, Nicolai (Committee member) / Roberts, Nancy (Committee member) / Computer Science and Engineering Program (Contributor) / Economics Program in CLAS (Contributor) / Barrett, The Honors College (Contributor)
Created2016-05
Description
\English is a programming language, a method of allowing programmers to write instructions such that a computer may understand and execute said instructions in the form of a program. Though many programming languages exist, this particular language is designed for ease of development and heavy optimizability in ways that no other programming language is. Building on the principles of Assembly level efficiency, referential integrity, and high order functionality, this language is able to produce extremely efficient code; meanwhile, programmatically defined English-based reusable syntax and a strong, static type system make \English easier to read and write than many existing programming languages. Its generalization of all language structures and components to operators leaves the language syntax open to project-specific syntactical structuring, making it more easily applicable in more cases. The thesis project requirements came in three parts: a compiler to compile \English code into NASM Assembly to produce a final program product; a standard library to define many of the basic operations of the language, including the creation of lists; and C translation library that would utilize \English properties to compile C code using the \English compiler. Though designed and partially coded, the compiler remains incomplete. The standard library, C translation library, and design of the language were completed. Additional tools regarding the language design and implementation were also created, including a Gedit syntax highlighting configuration file; usage documentation describing in a tutorial style the basic usage of the language; and more. Though the thesis project itself may be complete, the \English project will continue in order to produce a new language capable of the abilities possible with the design of this language.
ContributorsDavey, Connor (Author) / Gupta, Sandeep (Thesis director) / Bazzi, Rida (Committee member) / Calliss, Debra (Committee member) / Barrett, The Honors College (Contributor)
Created2016-05
Description
With the coming advances of computational power, algorithmic trading has become one of the primary strategies to trading on the stock market. To understand why and how these strategies have been effective, this project has taken a look at the complete process of creating tools and applications to analyze and predict stock prices in order to perform low-frequency trading. The project is composed of three main components. The first component is integrating several public resources to acquire and process financial trading data and store it in order to complete the other components. Alpha Vantage API, a free open source application, provides an accurate and comprehensive dataset of features for each stock ticker requested. The second component is researching, prototyping, and implementing various trading algorithms in code. We began by focusing on the Mean Reversion algorithm as a proof of concept algorithm to develop meaningful trading strategies and identify patterns within our datasets. To augment our market prediction power (“alpha”), we implemented a Long Short-Term Memory recurrent neural network. Neural Networks are an incredibly effective but often complex tool used frequently in data science when traditional methods are found lacking. Following the implementation, the last component is to optimize, analyze, compare, and contrast all of the algorithms and identify key features to conclude the overall effectiveness of each algorithm. We were able to identify conclusively which aspects of each algorithm provided better alpha and create an entire pipeline to automate this process for live trading implementation. An additional reason for automation is to provide an educational framework such that any who may be interested in quantitative finance in the future can leverage this project to gain further insight.
ContributorsYurowkin, Alexander (Co-author) / Kumar, Rohit (Co-author) / Welfert, Bruno (Thesis director) / Li, Baoxin (Committee member) / Economics Program in CLAS (Contributor) / School of Mathematical and Statistical Sciences (Contributor) / Barrett, The Honors College (Contributor)
Created2019-05