Economic Modeling Using Artificial Intelligence Methods PDF
Preview Economic Modeling Using Artificial Intelligence Methods
Advanced Information and Knowledge Processing Tshilidzi Marwala Economic Modeling Using Artifi cial Intelligence Methods Economic Modeling Using Artificial Intelligence Methods Advanced Information and Knowledge Processing SeriesEditors ProfessorLakhmiJain [email protected] ProfessorXindongWu [email protected] Forfurthervolumes: http://www.springer.com/series/4738 Tshilidzi Marwala Economic Modeling Using Artificial Intelligence Methods 123 TshilidziMarwala FacultyofEngineeringandtheBuilt Environment UniversityofJohannesburg Johannesburg SouthAfrica ISSN1610-3947 ISBN978-1-4471-5009-1 ISBN978-1-4471-5010-7(eBook) DOI10.1007/978-1-4471-5010-7 SpringerLondonHeidelbergNewYorkDordrecht LibraryofCongressControlNumber:2013935647 ©Springer-VerlagLondon2013 Thisworkissubjecttocopyright.AllrightsarereservedbythePublisher,whetherthewholeorpartof thematerialisconcerned,specificallytherightsoftranslation,reprinting,reuseofillustrations,recitation, broadcasting,reproductiononmicrofilmsorinanyotherphysicalway,andtransmissionorinformation storageandretrieval,electronicadaptation,computersoftware,orbysimilarordissimilarmethodology nowknownorhereafterdeveloped.Exemptedfromthislegalreservationarebriefexcerptsinconnection with reviews or scholarly analysis or material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work. Duplication of this publication or parts thereof is permitted only under the provisions of the Copyright Law of the Publisher’slocation,initscurrentversion,andpermissionforusemustalwaysbeobtainedfromSpringer. PermissionsforusemaybeobtainedthroughRightsLinkattheCopyrightClearanceCenter.Violations areliabletoprosecutionundertherespectiveCopyrightLaw. Theuseofgeneraldescriptivenames,registerednames,trademarks,servicemarks,etc.inthispublication doesnotimply,evenintheabsenceofaspecificstatement,thatsuchnamesareexemptfromtherelevant protectivelawsandregulationsandthereforefreeforgeneraluse. While the advice and information in this book are believed to be true and accurate at the date of publication,neithertheauthorsnortheeditorsnorthepublishercanacceptanylegalresponsibilityfor anyerrorsoromissionsthatmaybemade.Thepublishermakesnowarranty,expressorimplied,with respecttothematerialcontainedherein. Printedonacid-freepaper SpringerispartofSpringerScience+BusinessMedia(www.springer.com) Foreword Thequesttofindaneconomictheorythatisabletoexplainalleconomicactivities hasalludedboththeoristsandpractitionersalike.Ifsuchatheorycanbediscussedit willusheranewareawhereadesiredeconomicoutcomecanbeengineeredandthe social dividendsthat can be harnessed from this are substantial. However,despite thislimitationithasbeenquitepossibletomodelaspectsoftheeconomyseparately. Forexample,itisquitepossibletomodelinflationandalsoengineerconceptssuch asinflationtargeting. Economic Modeling Using Artificial Intelligence Methods introduces the con- ceptsofartificialintelligenceformodelingeconomicdata.Artificialinteligenceisa scientifictechniquethatlooksathownatureoperatesandemulateit.Forexample, how a human mind works or how a group of ants tackle problems. Artificial intelligence is used particularly in areas where it is incredibly difficult to model aphenomenon. Therecenteconomiccrisishashighlightedtheneedtotreattheareaofeconomic instrumentswith caution. For example complexderivativeshave been responsible forthecollapseofbanksintheUSA.Thisbookdealswiththeareaofunderstanding economicdata, modelingoptions, understandingeconomicgrowth,understanding inflation, controlling inflation, optimizing a portfolio of investment assets and modelling stock market. It also treats the area of interstate peace in promoting economicactivities. Thisbookgivesadifferentperspectiveofeconometrics. Johannesburg,SouthAfrica AdamHabib,Ph.D. March2013 v Preface EconomicModelingUsing ArtificialIntelligenceMethodsintroducesthe concepts of artificial intelligence for modeling economic data. In this book, the artificial intelligence techniques that are used to model economic data include neural networks, support vector machines, rough sets, genetic algorithm, particle swarm optimization, simulated annealing, multi-agent system, incremental learning and fuzzy networks. In addition, this book explores signal processing techniques to analyze economic data and to deal with vital subjects such as stationarity. These signalprocessingtechniquesarethetimedomainmethods,time-frequencydomain methodsandfractalsdimensionapproaches. These techniques are used to solve interesting economic problems such as causality versus correlation, modeling the stock market, modeling inflation and portfoliooptimization.Inaddition,gametheoreticframeworkisusedtosimulatethe stockmarketandcontrolsystemstechniqueisusedforinflationtargeting.Finally, animportantareaoftherelationshipbetweeneconomicdependencyandinterstate conflict is explored and some interesting insights on how economics can be used to foster peace and vice versa are explored. This book specifically addresses the issue of causality in the non-linear domain and applies the automatic relevance determination,the evidenceframework,Bayesian approachand Grangercausality toachievethisgoal. Thisbookmakesanimportantcontributiontotheareaofeconometrics,andisan interestingreadforgraduatestudents,researchersandfinancialpractitioners. UniversityofJohannesburg TshilidziMarwala Johannesburg,SouthAfrica March2013 vii Acknowledgements I would like to thank the following former and current graduate students for their assistance in developing this manuscript: Michael Pires, Msizi Khoza, Ish- mael Sibusiso Msiza, Nadim Mohamed, Dr. Brain Leke, Dr. Sizwe Dhlamini, ThandoTettey,BodieCrossingham,Prof.FulufheloNelwamondo,VukosiMarivate, Dr.ShakirMohamed,Dr.BoXing,Dr.DavidStarfield,Dr.PreteshPatel,Dr.Dalton Lunga,Dr. Linda Mthembu,Dr. Meir Perez, Dr. MeganRussell and Dr. Busisiwe Vilakazi. I thank Mr Evan Hurwitz for developing the ideas in Chap. 9. I also thankcolleaguesandpractitionersthathavecollaborateddirectlyandindirectlyto the writing of the manuscript. In particular, I thank Dr. Ian Kennedy, Dr. Monica Lagazio and the anonymous reviewers for their comments and careful reading of the book. I thank my supervisors Dr. Hugh Hunt, Prof. Stephan Heyns and Prof. PhilippedeWilde. I dedicate this book to Dr. Jabulile Manana as well as my sons Lwazi Thendo andNhloniphoKhathutshelo. UniversityofJohannesburg TshilidziMarwala Johannesburg,SouthAfrica March2013 ix
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