Analyzing the Credit Default Swap Market Using Cartesian Genetic Programming

Created by W.Langdon from gp-bibliography.bib Revision:1.4221

  author =       "Laleh Zangeneh and Peter Bentley",
  title =        "Analyzing the Credit Default Swap Market Using
                 Cartesian Genetic Programming",
  booktitle =    "PPSN 2010 11th International Conference on Parallel
                 Problem Solving From Nature",
  year =         "2010",
  editor =       "Robert Schaefer and Carlos Cotta and 
                 Joanna Kolodziej and Guenter Rudolph",
  volume =       "6238",
  series =       "Lecture Notes in Computer Science",
  pages =        "434--444",
  address =      "Krakow, Poland",
  month =        "11-15 " # sep,
  publisher =    "Springer",
  keywords =     "genetic algorithms, genetic programming, Cartesian
                 Genetic Programming",
  DOI =          "doi:10.1007/978-3-642-15844-5_44",
  abstract =     "The credit default swap has become well-known as one
                 of the causes of the 2007-2010 credit crisis but more
                 research is vitally needed to analyse and define its
                 impact more precisely and help the financial market
                 transparency. This paper uses cartesian genetic
                 programming as a discovery tool for finding the
                 relationship between credit default swap spreads and
                 debts and studying the arbitrage channel. (Arbitrage is
                 the practice of taking advantage of a price difference
                 between markets.) To our knowledge this work is the
                 first attempt toward studying the credit default swap
                 market via an evolutionary process and our results
                 prove that cartesian genetic programming is human
                 competitive and it has the potential to become a
                 regression discovery tool in credit default swap
  affiliation =  "Department of Computer Science, University College
                 London, London, WC1E 6BT UK",

Genetic Programming entries for Laleh Zangeneh Peter J Bentley