Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/19884
Title: Variable neighbourhood search for financial derivative problem
Authors: Lawrance Amaldass, N
Lucas, C
Mladenovic, N
Keywords: Goal Programming problem;Contract for Difference;Equity;Metaheuristics;Variable Neighborhood Search
Issue Date: 27-Jun-2019
Publisher: University of Belgrade
Citation: Yugoslav Journal of Operations Research, 2019, 29 (3), pp. 359 - 373
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 contains 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 Neighbourhood Search (BVNS), with our newly constructed local search techniques that performs efficient neighbourhood search to solve these types of problems. Computational results show our proposed approach achieves good solutions.
URI: http://bura.brunel.ac.uk/handle/2438/19884
DOI: http://dx.doi.org/10.2298/yjor180515016l
ISSN: 0354-0243
Appears in Collections:Dept of Mathematics Research Papers

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