{"id":"https://openalex.org/W2138618469","doi":"https://doi.org/10.1109/cec.2007.4424550","title":"Evolutionary simulation of hedging pressure in futures markets","display_name":"Evolutionary simulation of hedging pressure in futures markets","publication_year":2007,"publication_date":"2007-09-01","ids":{"openalex":"https://openalex.org/W2138618469","doi":"https://doi.org/10.1109/cec.2007.4424550","mag":"2138618469"},"language":"en","primary_location":{"id":"doi:10.1109/cec.2007.4424550","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cec.2007.4424550","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2007 IEEE Congress on Evolutionary Computation","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://discovery.ucl.ac.uk/10087081/1/Duke_Clack_CEC.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5014271238","display_name":"Jonathan Duke","orcid":null},"institutions":[{"id":"https://openalex.org/I45129253","display_name":"University College London","ror":"https://ror.org/02jx3x895","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I45129253"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"J. Duke","raw_affiliation_strings":["Department of Computer Science, University College London, London, UK","Univ. College London, London"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Computer Science, University College London, London, UK","institution_ids":["https://openalex.org/I45129253"]},{"raw_affiliation_string":"Univ. College London, London","institution_ids":["https://openalex.org/I45129253"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5000099020","display_name":"Christopher D. Clack","orcid":"https://orcid.org/0000-0002-2274-8568"},"institutions":[{"id":"https://openalex.org/I45129253","display_name":"University College London","ror":"https://ror.org/02jx3x895","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I45129253"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"C. D. Clack","raw_affiliation_strings":["Department of Computer Science, University College London, London, UK","Univ. College London, London"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Computer Science, University College London, London, UK","institution_ids":["https://openalex.org/I45129253"]},{"raw_affiliation_string":"Univ. College London, London","institution_ids":["https://openalex.org/I45129253"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I45129253"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.16013086,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"2","issue":null,"first_page":"782","last_page":"789"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9980000257492065,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9980000257492065,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.988099992275238,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9812999963760376,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/speculation","display_name":"Speculation","score":0.9284767508506775},{"id":"https://openalex.org/keywords/futures-contract","display_name":"Futures contract","score":0.9122247695922852},{"id":"https://openalex.org/keywords/profitability-index","display_name":"Profitability index","score":0.6121774315834045},{"id":"https://openalex.org/keywords/futures-market","display_name":"Futures market","score":0.5777391791343689},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.5299364328384399},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.5107884407043457},{"id":"https://openalex.org/keywords/forward-market","display_name":"Forward market","score":0.42396265268325806},{"id":"https://openalex.org/keywords/spread-trade","display_name":"Spread trade","score":0.42326316237449646},{"id":"https://openalex.org/keywords/financial-market","display_name":"Financial market","score":0.41278672218322754},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3922131657600403},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.33603140711784363},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.19744354486465454}],"concepts":[{"id":"https://openalex.org/C47941915","wikidata":"https://www.wikidata.org/wiki/Q107885","display_name":"Speculation","level":2,"score":0.9284767508506775},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.9122247695922852},{"id":"https://openalex.org/C129361004","wikidata":"https://www.wikidata.org/wiki/Q2470236","display_name":"Profitability index","level":2,"score":0.6121774315834045},{"id":"https://openalex.org/C2983622608","wikidata":"https://www.wikidata.org/wiki/Q2298435","display_name":"Futures market","level":3,"score":0.5777391791343689},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5299364328384399},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5107884407043457},{"id":"https://openalex.org/C52837651","wikidata":"https://www.wikidata.org/wiki/Q5473279","display_name":"Forward market","level":3,"score":0.42396265268325806},{"id":"https://openalex.org/C169871336","wikidata":"https://www.wikidata.org/wiki/Q7580274","display_name":"Spread trade","level":5,"score":0.42326316237449646},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.41278672218322754},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3922131657600403},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.33603140711784363},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.19744354486465454},{"id":"https://openalex.org/C206757995","wikidata":"https://www.wikidata.org/wiki/Q1665188","display_name":"Institutional investor","level":3,"score":0.0},{"id":"https://openalex.org/C39389867","wikidata":"https://www.wikidata.org/wiki/Q380767","display_name":"Corporate governance","level":2,"score":0.0},{"id":"https://openalex.org/C155301685","wikidata":"https://www.wikidata.org/wiki/Q493177","display_name":"Open-end fund","level":4,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1109/cec.2007.4424550","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cec.2007.4424550","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2007 IEEE Congress on Evolutionary Computation","raw_type":"proceedings-article"},{"id":"pmh:oai:eprints.ucl.ac.uk.OAI2:10087081","is_oa":true,"landing_page_url":"https://discovery.ucl.ac.uk/id/eprint/10087081/","pdf_url":"https://discovery.ucl.ac.uk/10087081/1/Duke_Clack_CEC.pdf","source":{"id":"https://openalex.org/S4306400024","display_name":"UCL Discovery (University College London)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I45129253","host_organization_name":"University College London","host_organization_lineage":["https://openalex.org/I45129253"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"     In:  Proceedings of the 2007 IEEE Congress on Evolutionary Computation.  (pp. pp. 782-789).  IEEE: Singapore, Singapore. (2008)     ","raw_type":"Proceedings paper"},{"id":"pmh:oai:eprints.ucl.ac.uk.OAI2:130210","is_oa":false,"landing_page_url":"http://discovery.ucl.ac.uk/130210/","pdf_url":null,"source":{"id":"https://openalex.org/S4306400024","display_name":"UCL Discovery (University College London)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I45129253","host_organization_name":"University College London","host_organization_lineage":["https://openalex.org/I45129253"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"     In:   (Proceedings) IEEE Congress on Evolutionary Computation. (pp. pp. 782-789).  IEEE (2007)     ","raw_type":"Proceedings paper"}],"best_oa_location":{"id":"pmh:oai:eprints.ucl.ac.uk.OAI2:10087081","is_oa":true,"landing_page_url":"https://discovery.ucl.ac.uk/id/eprint/10087081/","pdf_url":"https://discovery.ucl.ac.uk/10087081/1/Duke_Clack_CEC.pdf","source":{"id":"https://openalex.org/S4306400024","display_name":"UCL Discovery (University College London)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I45129253","host_organization_name":"University College London","host_organization_lineage":["https://openalex.org/I45129253"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"     In:  Proceedings of the 2007 IEEE Congress on Evolutionary Computation.  (pp. pp. 782-789).  IEEE: Singapore, Singapore. (2008)     ","raw_type":"Proceedings paper"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2138618469.pdf","grobid_xml":"https://content.openalex.org/works/W2138618469.grobid-xml"},"referenced_works_count":23,"referenced_works":["https://openalex.org/W101303166","https://openalex.org/W1571438983","https://openalex.org/W1577789187","https://openalex.org/W1751210771","https://openalex.org/W1754742701","https://openalex.org/W1990060640","https://openalex.org/W2081694341","https://openalex.org/W2091653681","https://openalex.org/W2097865495","https://openalex.org/W2107592233","https://openalex.org/W2113778701","https://openalex.org/W2120022262","https://openalex.org/W2121681609","https://openalex.org/W2124177043","https://openalex.org/W2143063348","https://openalex.org/W2150259063","https://openalex.org/W3099273368","https://openalex.org/W3100643943","https://openalex.org/W3121338556","https://openalex.org/W3122275712","https://openalex.org/W4254127210","https://openalex.org/W4254152607","https://openalex.org/W6637727187"],"related_works":["https://openalex.org/W2061018361","https://openalex.org/W1509488274","https://openalex.org/W2001134447","https://openalex.org/W3124189739","https://openalex.org/W1536454482","https://openalex.org/W2071492582","https://openalex.org/W2255786044","https://openalex.org/W1974473853","https://openalex.org/W2560797116","https://openalex.org/W2134889213"],"abstract_inverted_index":{"We":[0],"present":[1],"a":[2,8,22,34],"real":[3,45],"world":[4],"application":[5],"that":[6,77,105],"models":[7],"financial":[9],"futures":[10,46,55],"market.":[11,31],"The":[12,54],"agent-based":[13],"simulation":[14,36,69],"includes":[15],"speculator":[16],"agents":[17],"each":[18],"of":[19,44,65,95],"which":[20],"uses":[21],"Genetic":[23],"Algorithm":[24],"to":[25,42,62,72,111],"improve":[26,112],"its":[27],"profitability":[28],"in":[29],"the":[30,68,74,93],"This":[32],"is":[33,40,70],"realistic":[35],"whose":[37],"rates-of-return":[38],"distribution":[39],"similar":[41],"those":[43],"markets":[47,56],"such":[48],"as":[49],"corn":[50],"and":[51,67,100],"FTSE100":[52],"futures.":[53],"have":[57],"never":[58],"before":[59],"been":[60],"simulated":[61],"this":[63],"level":[64],"detail,":[66],"used":[71,110],"test":[73],"long-held":[75],"belief":[76],"speculators":[78],"are":[79],"more":[80],"profitable":[81],"if":[82],"they":[83],"incorporate":[84],"\u201chedging":[85],"pressure\u201d":[86],"into":[87],"their":[88],"price":[89],"calculations":[90],"-":[91],"essentially,":[92],"use":[94],"market":[96],"knowledge":[97],"about":[98],"supply":[99],"demand.":[101],"Surprisingly,":[102],"we":[103],"show":[104],"hedging":[106],"pressure":[107],"cannot":[108],"be":[109],"profits":[113],"for":[114],"speculators.":[115]},"counts_by_year":[],"updated_date":"2026-07-02T09:51:11.867554","created_date":"2025-10-10T00:00:00"}
