{"id":"https://openalex.org/W1603927026","doi":"https://doi.org/10.1109/cec.2015.7257304","title":"A genetic programming approach for delta hedging","display_name":"A genetic programming approach for delta hedging","publication_year":2015,"publication_date":"2015-05-01","ids":{"openalex":"https://openalex.org/W1603927026","doi":"https://doi.org/10.1109/cec.2015.7257304","mag":"1603927026"},"language":"en","primary_location":{"id":"doi:10.1109/cec.2015.7257304","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cec.2015.7257304","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2015 IEEE Congress on Evolutionary Computation (CEC)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5101833453","display_name":"Zheng Yin","orcid":"https://orcid.org/0000-0001-5107-0429"},"institutions":[{"id":"https://openalex.org/I100930933","display_name":"University College Dublin","ror":"https://ror.org/05m7pjf47","country_code":"IE","type":"education","lineage":["https://openalex.org/I100930933"]}],"countries":["IE"],"is_corresponding":true,"raw_author_name":"Zheng Yin","raw_affiliation_strings":["University College Dublin, Complex Adaptive Systems Laboratory and School of Business, Dublin, Ireland","Complex Adaptive Systems, Laboratory and School of Business, University College Dublin, Ireland"],"affiliations":[{"raw_affiliation_string":"University College Dublin, Complex Adaptive Systems Laboratory and School of Business, Dublin, Ireland","institution_ids":["https://openalex.org/I100930933"]},{"raw_affiliation_string":"Complex Adaptive Systems, Laboratory and School of Business, University College Dublin, Ireland","institution_ids":["https://openalex.org/I100930933"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5045190581","display_name":"Anthony Brabazon","orcid":"https://orcid.org/0000-0001-8070-294X"},"institutions":[{"id":"https://openalex.org/I100930933","display_name":"University College Dublin","ror":"https://ror.org/05m7pjf47","country_code":"IE","type":"education","lineage":["https://openalex.org/I100930933"]}],"countries":["IE"],"is_corresponding":false,"raw_author_name":"Anthony Brabazon","raw_affiliation_strings":["University College Dublin, Complex Adaptive Systems Laboratory and School of Business, Dublin, Ireland","Complex Adaptive Systems, Laboratory and School of Business, University College Dublin, Ireland"],"affiliations":[{"raw_affiliation_string":"University College Dublin, Complex Adaptive Systems Laboratory and School of Business, Dublin, Ireland","institution_ids":["https://openalex.org/I100930933"]},{"raw_affiliation_string":"Complex Adaptive Systems, Laboratory and School of Business, University College Dublin, Ireland","institution_ids":["https://openalex.org/I100930933"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5102505828","display_name":"Conall O\u2019Sullivan","orcid":null},"institutions":[{"id":"https://openalex.org/I100930933","display_name":"University College Dublin","ror":"https://ror.org/05m7pjf47","country_code":"IE","type":"education","lineage":["https://openalex.org/I100930933"]}],"countries":["IE"],"is_corresponding":false,"raw_author_name":"Conall O'Sullivan","raw_affiliation_strings":["University College Dublin, Dublin, IE","School of Business University College Dublin Ireland"],"affiliations":[{"raw_affiliation_string":"University College Dublin, Dublin, IE","institution_ids":["https://openalex.org/I100930933"]},{"raw_affiliation_string":"School of Business University College Dublin Ireland","institution_ids":["https://openalex.org/I100930933"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5001619292","display_name":"Michael O\u2019Neill","orcid":"https://orcid.org/0000-0001-8734-417X"},"institutions":[{"id":"https://openalex.org/I100930933","display_name":"University College Dublin","ror":"https://ror.org/05m7pjf47","country_code":"IE","type":"education","lineage":["https://openalex.org/I100930933"]}],"countries":["IE"],"is_corresponding":false,"raw_author_name":"Michael O'Neill","raw_affiliation_strings":["University College Dublin, Complex Adaptive Systems Laboratory and School of Business, Dublin, Ireland","Complex Adaptive Systems, Laboratory and School of Business, University College Dublin, Ireland"],"affiliations":[{"raw_affiliation_string":"University College Dublin, Complex Adaptive Systems Laboratory and School of Business, Dublin, Ireland","institution_ids":["https://openalex.org/I100930933"]},{"raw_affiliation_string":"Complex Adaptive Systems, Laboratory and School of Business, University College Dublin, Ireland","institution_ids":["https://openalex.org/I100930933"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5101833453"],"corresponding_institution_ids":["https://openalex.org/I100930933"],"apc_list":null,"apc_paid":null,"fwci":0.9993,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.8494014,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":"1","issue":null,"first_page":"3312","last_page":"3318"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9753000140190125,"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/T11059","display_name":"Market Dynamics and Volatility","score":0.9753000140190125,"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/T11976","display_name":"Capital Investment and Risk Analysis","score":0.9581000208854675,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9560999870300293,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/hedge","display_name":"Hedge","score":0.7866001129150391},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.7764701843261719},{"id":"https://openalex.org/keywords/replicating-portfolio","display_name":"Replicating portfolio","score":0.6555240154266357},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5659515261650085},{"id":"https://openalex.org/keywords/market-liquidity","display_name":"Market liquidity","score":0.524018406867981},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.5164434909820557},{"id":"https://openalex.org/keywords/derivative","display_name":"Derivative (finance)","score":0.4740842580795288},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.4716600179672241},{"id":"https://openalex.org/keywords/portfolio-insurance","display_name":"Portfolio insurance","score":0.4506613314151764},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.44987526535987854},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.43286484479904175},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3966851830482483},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.3269365429878235},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.3080286383628845},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.24731400609016418},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.19645318388938904},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.11626783013343811}],"concepts":[{"id":"https://openalex.org/C70771513","wikidata":"https://www.wikidata.org/wiki/Q235779","display_name":"Hedge","level":2,"score":0.7866001129150391},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7764701843261719},{"id":"https://openalex.org/C21099588","wikidata":"https://www.wikidata.org/wiki/Q7314068","display_name":"Replicating portfolio","level":4,"score":0.6555240154266357},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5659515261650085},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.524018406867981},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.5164434909820557},{"id":"https://openalex.org/C111771559","wikidata":"https://www.wikidata.org/wiki/Q66295","display_name":"Derivative (finance)","level":2,"score":0.4740842580795288},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.4716600179672241},{"id":"https://openalex.org/C128694398","wikidata":"https://www.wikidata.org/wiki/Q7231722","display_name":"Portfolio insurance","level":5,"score":0.4506613314151764},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.44987526535987854},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.43286484479904175},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3966851830482483},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3269365429878235},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3080286383628845},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.24731400609016418},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.19645318388938904},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.11626783013343811},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/cec.2015.7257304","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cec.2015.7257304","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2015 IEEE Congress on Evolutionary Computation (CEC)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320320847","display_name":"Science Foundation Ireland","ror":"https://ror.org/0271asj38"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":25,"referenced_works":["https://openalex.org/W20981729","https://openalex.org/W69750804","https://openalex.org/W1483736078","https://openalex.org/W1981112221","https://openalex.org/W1984256125","https://openalex.org/W2011698647","https://openalex.org/W2025565143","https://openalex.org/W2035841654","https://openalex.org/W2040394324","https://openalex.org/W2055289715","https://openalex.org/W2058558534","https://openalex.org/W2077252204","https://openalex.org/W2077791698","https://openalex.org/W2098124071","https://openalex.org/W2103975365","https://openalex.org/W2113883339","https://openalex.org/W2114971059","https://openalex.org/W2136364195","https://openalex.org/W2157445050","https://openalex.org/W2161836471","https://openalex.org/W2175456627","https://openalex.org/W3121709065","https://openalex.org/W3216707380","https://openalex.org/W6602816863","https://openalex.org/W6804293118"],"related_works":["https://openalex.org/W4298434486","https://openalex.org/W4225528185","https://openalex.org/W4206877017","https://openalex.org/W2367990330","https://openalex.org/W4360613713","https://openalex.org/W1603927026","https://openalex.org/W2742339422","https://openalex.org/W2982204698","https://openalex.org/W4312927297","https://openalex.org/W3126118824"],"abstract_inverted_index":{"Effective":[0],"hedging":[1,46,115,148,182,189],"of":[2,6,100,120,163,174,205],"derivative":[3,22],"securities":[4],"is":[5,24,52],"paramount":[7],"importance":[8],"to":[9,13,20,107,114,160],"derivatives":[10],"investors":[11],"and":[12,54,122,176],"market":[14,131],"makers.":[15],"The":[16,179],"standard":[17],"approach":[18],"used":[19],"hedge":[21,42],"instruments":[23],"delta":[25,34],"hedging.":[26],"In":[27,48,71,133],"a":[28,31,40,65,97,138,146,172],"Black-Scholes":[29],"setting,":[30],"continuously":[32],"rebalanced":[33],"hedged":[35],"portfolio":[36,66,74,113,153],"will":[37,110],"result":[38],"in":[39,118],"perfect":[41],"with":[43],"no":[44],"associated":[45],"error.":[47],"reality,":[49],"continuous":[50],"rehedging":[51,90],"impossible":[53],"this":[55,134,208],"raises":[56],"the":[57,69,92,112,125,143,152,161,164,168,185,201],"important":[58,209],"practical":[59],"question":[60],"such":[61,82,103,203],"as":[62,83,124],"when":[63,91,191],"should":[64],"manager":[67],"rebalance":[68],"portfolio?":[70],"practice,":[72],"many":[73],"managers":[75],"employ":[76],"relatively":[77],"simple":[78],"deterministic":[79,186],"rebalancing":[80,84,139],"strategies,":[81],"at":[85],"uniform":[86],"time":[87,187],"intervals,":[88],"or":[89],"underlying":[93],"asset":[94],"moves":[95],"by":[96],"fixed":[98],"number":[99,173],"ticks.":[101],"While":[102],"strategies":[104,126],"are":[105],"easy":[106],"implement":[108],"they":[109],"expose":[111],"risk,":[116],"both":[117],"terms":[119],"timing":[121],"also":[123],"do":[127],"not":[128],"adequately":[129],"consider":[130],"conditions.":[132],"study":[135],"we":[136],"propose":[137],"trigger":[140],"based":[141,154,188],"on":[142,155,193],"output":[144],"from":[145,167],"GP-evolved":[147,181],"strategy":[149,183],"that":[150],"rebalances":[151],"dynamic":[156],"nonlinear":[157],"factors":[158],"related":[159],"condition":[162],"market,":[165],"derived":[166],"theoretical":[169],"literature,":[170],"including":[171],"liquidity":[175],"volatility":[177],"factors.":[178],"developed":[180],"outperforms":[184],"methods":[190],"tested":[192],"FTSE":[194],"100":[195],"call":[196],"options.":[197],"This":[198],"paper":[199],"represents":[200],"first":[202],"application":[204],"GP":[206],"for":[207],"application.":[210]},"counts_by_year":[{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
