About: Stochastic Model Genetic Programming: Deriving Pricing Equations for Rainfall Weather Derivatives

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type	http://eprints.org/ontology/ArticleEPrint http://eprints.org/ontology/EPrint Article Academic Article
seeAlso	HTML Summary of #72082 Stochastic Model Genetic Programming: Deriving Pricing Equations for Rainfall Weather Derivatives
sameAs	Stochastic Model Genetic Programming: Deriving Pricing Equations for Rainfall Weather Derivatives
http://eprints.org/ontology/hasAccepted	Stochastic Model Genetic Programming: Deriving Pricing Equations for Rainfall Weather Derivatives (PDF)
http://eprints.org/ontology/hasDocument	Stochastic Model Genetic Programming: Deriving Pricing Equations for Rainfall Weather Derivatives (PDF) Stochastic Model Genetic Programming: Deriving Pricing Equations for Rainfall Weather Derivatives (Other) Stochastic Model Genetic Programming: Deriving Pricing Equations for Rainfall Weather Derivatives (Other) Stochastic Model Genetic Programming: Deriving Pricing Equations for Rainfall Weather Derivatives (Other) Stochastic Model Genetic Programming: Deriving Pricing Equations for Rainfall Weather Derivatives (Other) Stochastic Model Genetic Programming: Deriving Pricing Equations for Rainfall Weather Derivatives (Other) Stochastic Model Genetic Programming: Deriving Pricing Equations for Rainfall Weather Derivatives (PDF) Stochastic Model Genetic Programming: Deriving Pricing Equations for Rainfall Weather Derivatives (Other) Stochastic Model Genetic Programming: Deriving Pricing Equations for Rainfall Weather Derivatives (Other) Stochastic Model Genetic Programming: Deriving Pricing Equations for Rainfall Weather Derivatives (Other) Stochastic Model Genetic Programming: Deriving Pricing Equations for Rainfall Weather Derivatives (Other) Stochastic Model Genetic Programming: Deriving Pricing Equations for Rainfall Weather Derivatives (Other)
http://eprints.org/ontology/hasPublished	Stochastic Model Genetic Programming: Deriving Pricing Equations for Rainfall Weather Derivatives (PDF)
dc:hasVersion	Stochastic Model Genetic Programming: Deriving Pricing Equations for Rainfall Weather Derivatives (PDF) Stochastic Model Genetic Programming: Deriving Pricing Equations for Rainfall Weather Derivatives (PDF)
Title	Stochastic Model Genetic Programming: Deriving Pricing Equations for Rainfall Weather Derivatives
described by	https://demo.openlinksw.com/about/id/entity/https/www.cs.kent.ac.uk/people/staff/akj22/materials/CO644/export_kar_RDFN3.n3 https://demo.openlinksw.com/about/id/entity/https/raw.githubusercontent.com/annajordanous/CO644Files/main/export_kar_RDFN3.n3
Date	2019-02-07
Creator	A. Freitas Antonis Alexandridis Michael Kampouridis Sam Cramer
status	peer reviewed published
Publisher	Elsevier
abstract	Rainfall derivatives are in their infancy since starting trading on the Chicago Mercantile Exchange (CME) in 2011. Being a relatively new class of financial instruments there is no generally recognised pricing framework used within the literature. In this paper, we propose a novel Genetic Programming (GP) algorithm for pricing contracts. Our novel algorithm, which is called Stochastic Model GP (SMGP), is able to generate and evolve stochastic equations of rainfall, which allows us to probabilistically transform rainfall predictions from the risky world to the risk-neutral world. In order to achieve this, SMGP’s representation allows its individuals to comprise of two weighted parts, namely a seasonal component and an autoregressive component. To create the stochastic nature of an equation for each SMGP individual, we estimate the weights by using a probabilistic approach. We evaluate the models produced by SMGP in terms of rainfall predictive accuracy and in terms of pricing performance on 42 cities from Europe and the USA. We compare SMGP to 8 methods: its predecessor DGP, 5 well-known machine learning methods (M5 Rules, M5 Model trees, k-Nearest Neighbors, Support Vector Regression, Radial Basis Function), and two statistical methods, namely AutoRegressive Integrated Moving Average (ARIMA) and Monte Carlo Rainfall Prediction (MCRP). Results show that the proposed algorithm is able to statistically outperform all other algorithms.
Is Part Of	Swarm and Evolutionary Computation https://kar.kent.ac.uk/id/repository
Subject	QA 75 Electronic computers. Computer science
list of authors	https://kar.kent.ac.uk/id/eprint/72082#authors
volume	46
is topic of	https://www.cs.kent.ac.uk/people/staff/akj22/materials/CO644/export_kar_RDFN3.n3 https://raw.githubusercontent.com/annajordanous/CO644Files/main/export_kar_RDFN3.n3
is primary topic of	HTML Summary of #72082 Stochastic Model Genetic Programming: Deriving Pricing Equations for Rainfall Weather Derivatives

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