Hedging derivative securities with genetic programming.
Shu-Heng ChenWo-Chiang LeeChia-Hsuan YehPublished in: Intell. Syst. Account. Finance Manag. (1999)
Keyphrases
- genetic programming
- financial markets
- fitness function
- evolutionary computation
- symbolic regression
- stock market
- gene expression programming
- evolutionary algorithm
- portfolio selection
- classification rules
- stock price
- transaction costs
- regression problems
- risk management
- genetic algorithm
- portfolio management
- evolutionary approaches
- grammar guided genetic programming
- convertible bonds
- long term
- decision making
- option pricing
- data sets
- zero crossing
- support vector
- hyper heuristics
- trading strategies
- search engine
- information retrieval
- neural network
- gaussian function
- directional derivatives
- real time
- database