Analyzing the Credit Default Swap Market Using Cartesian Genetic Programming
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- @InProceedings{Zangeneh:2010:PPSN,
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author = "Laleh Zangeneh and Peter Bentley",
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title = "Analyzing the Credit Default Swap Market Using
Cartesian Genetic Programming",
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booktitle = "PPSN 2010 11th International Conference on Parallel
Problem Solving From Nature",
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year = "2010",
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editor = "Robert Schaefer and Carlos Cotta and
Joanna Kolodziej and Guenter Rudolph",
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volume = "6238",
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series = "Lecture Notes in Computer Science",
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pages = "434--444",
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address = "Krakow, Poland",
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month = "11-15 " # sep,
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publisher = "Springer",
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keywords = "genetic algorithms, genetic programming, Cartesian
Genetic Programming",
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DOI = "doi:10.1007/978-3-642-15844-5_44",
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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
market.",
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affiliation = "Department of Computer Science, University College
London, London, WC1E 6BT UK",
- }
Genetic Programming entries for
Laleh Zangeneh
Peter J Bentley
Citations