Authors: Lawrance Amaldass, Nareyus
Lucas, Cormac
Mladenović, Nenad 
Title: Variable neighbourhood search for financial derivative problem
Journal: Yugoslav Journal of Operations Research
Volume: 29
Issue: 3
First page: 359
Last page: 373
Issue Date: 1-Jan-2019
Rank: M52
ISSN: 0354-0243
DOI: 10.2298/YJOR180515016L
Abstract: 
We propose a new matching problem for combinatorial optimization in financial markets. The problem studied here has arisen from the financial regulators that collect transaction data across regulated assets classes. Unlike previous matching problems, our focus is to identify any unhedged/unmatched derivative, Contract for Difference (CFD) with its corresponding underlying asset that has been reported to the corresponding component authorities. The underlying asset and CFD transaction contain variables like volume and price. Therefore, we are looking for a combination of underlying asset variables that may hedge/match the equivalent CFD variables. Our aim is to identify unhedged/unmatched CFD's. This problem closely relates to the goal programming problem with variable parameters. In this paper, we construct and implement a variant of Basic Variable Neighborhood Search (BVNS) with our newly constructed local search techniques that performs efficient neighbourhood search to solve these types of problems. Computational results show that the proposed approach achieve good solutions.
Keywords: Contract for Difference | Equity | Goal Programming problem | Metaheuristics | Variable Neighborhood Search
Publisher: Faculty of Organizational Sciences, University of Belgrade

Show full item record

SCOPUSTM   
Citations

3
checked on Feb 28, 2021

Page view(s)

11
checked on Mar 1, 2021

Google ScholarTM

Check

Altmetric

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.