Variable precision rough set theory decision support system: With an application to bank rating prediction

This dissertation considers, the Variable Precision Rough Sets (VPRS) model, and its development within a comprehensive software package (decision support system), incorporating methods of re sampling and classifier aggregation. The concept of /-reduct aggregation is introduced, as a novel approach to classifier aggregation within the VPRS framework. The software is applied to the credit rating prediction problem, in particularly, a full exposition of the prediction and classification of Fitch's Individual Bank Strength Ratings (FIBRs), to a number of banks from around the world is presented. The ethos of the developed software was to rely heavily on a simple 'point and click' interface, designed to make a VPRS analysis accessible to an analyst, who is not necessarily an expert in the field of VPRS or decision rule based systems. The development of the software has also benefited from consultations with managers from one of Europe's leading hedge funds, who gave valuable insight, advice and recommendations on what they considered as pertinent issues with regards to data mining, and what they would like to see from a modern data mining system. The elements within the developed software reflect each stage of the knowledge discovery process, namely, pre-processing, feature selection, data mining, interpretation and evaluation. The developed software encompasses three software packages, a pre-processing package incorporating some of the latest pre-processing and feature selection methods a VPRS data mining package, based on a novel "vein graph" interface, which presents the analyst with selectable /-reducts over the domain of / and a third more advanced VPRS data mining package, which essentially automates the vein graph interface for incorporation into a re-sampling environment, and also implements the introduced aggregated /-reduct, developed to optimise and stabilise the predictive accuracy of a set of decision rules induced from the aggregated /-reduct

Technical and Fundamental Features Analysis for Stock Market Prediction with Data Mining Methods

Predicting stock prices is an essential objective in the financial world. Forecasting stock returns and their risk represents one of the most critical concerns of market decision makers. This thesis investigates the stock price forecasting with three approaches from the data mining concept and shows how different elements in the stock price can help to enhance the accuracy of our prediction. For this reason, the first and second approaches capture many fundamental indicators from the stocks and implement them as explanatory variables to do stock price classification and forecasting. In the third approach, technical features from the candlestick representation of the share prices are extracted and used to enhance the accuracy of the forecasting. In each approach, different tools and techniques from data mining and machine learning are employed to justify why the forecasting is working. Furthermore, since the idea is to evaluate the potential of features in the stock trend forecasting, therefore we diversify our experiments using both technical and fundamental features. Therefore, in the first approach, a three-stage methodology is developed while in the first step, a comprehensive investigation of all possible features which can be effective on stocks risk and return are identified. Then, in the next stage, risk and return are predicted by applying data mining techniques for the given features. Finally, we develop a hybrid algorithm, based on some filters and function-based clustering; and re-predicted the risk and return of stocks. In the second approach, instead of using single classifiers, a fusion model is proposed based on the use of multiple diverse base classifiers that operate on a common input and a meta-classifier that learns from base classifiers’ outputs to obtain a more precise stock return and risk predictions. A set of diversity methods, including Bagging, Boosting, and AdaBoost, is applied to create diversity in classifier combinations. Moreover, the number and procedure for selecting base classifiers for fusion schemes are determined using a methodology based on dataset clustering and candidate classifiers’ accuracy. Finally, in the third approach, a novel forecasting model for stock markets based on the wrapper ANFIS (Adaptive Neural Fuzzy Inference System) – ICA (Imperialist Competitive Algorithm) and technical analysis of Japanese Candlestick is presented. Two approaches of Raw-based and Signal-based are devised to extract the model’s input variables and buy and sell signals are considered as output variables. To illustrate the methodologies, for the first and second approaches, Tehran Stock Exchange (TSE) data for the period from 2002 to 2012 are applied, while for the third approach, we used General Motors and Dow Jones indexes.Predicting stock prices is an essential objective in the financial world. Forecasting stock returns and their risk represents one of the most critical concerns of market decision makers. This thesis investigates the stock price forecasting with three approaches from the data mining concept and shows how different elements in the stock price can help to enhance the accuracy of our prediction. For this reason, the first and second approaches capture many fundamental indicators from the stocks and implement them as explanatory variables to do stock price classification and forecasting. In the third approach, technical features from the candlestick representation of the share prices are extracted and used to enhance the accuracy of the forecasting. In each approach, different tools and techniques from data mining and machine learning are employed to justify why the forecasting is working. Furthermore, since the idea is to evaluate the potential of features in the stock trend forecasting, therefore we diversify our experiments using both technical and fundamental features. Therefore, in the first approach, a three-stage methodology is developed while in the first step, a comprehensive investigation of all possible features which can be effective on stocks risk and return are identified. Then, in the next stage, risk and return are predicted by applying data mining techniques for the given features. Finally, we develop a hybrid algorithm, based on some filters and function-based clustering; and re-predicted the risk and return of stocks. In the second approach, instead of using single classifiers, a fusion model is proposed based on the use of multiple diverse base classifiers that operate on a common input and a meta-classifier that learns from base classifiers’ outputs to obtain a more precise stock return and risk predictions. A set of diversity methods, including Bagging, Boosting, and AdaBoost, is applied to create diversity in classifier combinations. Moreover, the number and procedure for selecting base classifiers for fusion schemes are determined using a methodology based on dataset clustering and candidate classifiers’ accuracy. Finally, in the third approach, a novel forecasting model for stock markets based on the wrapper ANFIS (Adaptive Neural Fuzzy Inference System) – ICA (Imperialist Competitive Algorithm) and technical analysis of Japanese Candlestick is presented. Two approaches of Raw-based and Signal-based are devised to extract the model’s input variables and buy and sell signals are considered as output variables. To illustrate the methodologies, for the first and second approaches, Tehran Stock Exchange (TSE) data for the period from 2002 to 2012 are applied, while for the third approach, we used General Motors and Dow Jones indexes.154 - Katedra financívyhově

Uncertain Multi-Criteria Optimization Problems

Most real-world search and optimization problems naturally involve multiple criteria as objectives. Generally, symmetry, asymmetry, and anti-symmetry are basic characteristics of binary relationships used when modeling optimization problems. Moreover, the notion of symmetry has appeared in many articles about uncertainty theories that are employed in multi-criteria problems. Different solutions may produce trade-offs (conflicting scenarios) among different objectives. A better solution with respect to one objective may compromise other objectives. There are various factors that need to be considered to address the problems in multidisciplinary research, which is critical for the overall sustainability of human development and activity. In this regard, in recent decades, decision-making theory has been the subject of intense research activities due to its wide applications in different areas. The decision-making theory approach has become an important means to provide real-time solutions to uncertainty problems. Theories such as probability theory, fuzzy set theory, type-2 fuzzy set theory, rough set, and uncertainty theory, available in the existing literature, deal with such uncertainties. Nevertheless, the uncertain multi-criteria characteristics in such problems have not yet been explored in depth, and there is much left to be achieved in this direction. Hence, different mathematical models of real-life multi-criteria optimization problems can be developed in various uncertain frameworks with special emphasis on optimization problems

Computational and experimental studies on the reaction mechanism of bio-oil components with additives for increased stability and fuel quality

As one of the world’s largest palm oil producers, Malaysia encountered a major disposal problem as vast amount of oil palm biomass wastes are produced. To overcome this problem, these biomass wastes can be liquefied into biofuel with fast pyrolysis technology. However, further upgradation of fast pyrolysis bio-oil via direct solvent addition was required to overcome it’s undesirable attributes. In addition, the high production cost of biofuels often hinders its commercialisation. Thus, the designed solvent-oil blend needs to achieve both fuel functionality and economic targets to be competitive with the conventional diesel fuel. In this thesis, a multi-stage computer-aided molecular design (CAMD) framework was employed for bio-oil solvent design. In the design problem, molecular signature descriptors were applied to accommodate different classes of property prediction models. However, the complexity of the CAMD problem increases as the height of signature increases due to the combinatorial nature of higher order signature. Thus, a consistency rule was developed reduce the size of the CAMD problem. The CAMD problem was then further extended to address the economic aspects via fuzzy multi-objective optimisation approach. Next, a rough-set based machine learning (RSML) model has been proposed to correlate the feedstock characterisation and pyrolysis condition with the pyrolysis bio-oil properties by generating decision rules. The generated decision rules were analysed from a scientific standpoint to identify the underlying patterns, while ensuring the rules were logical. The decision rules generated can be used to select optimal feedstock composition and pyrolysis condition to produce pyrolysis bio-oil of targeted fuel properties. Next, the results obtained from the computational approaches were verified through experimental study. The generated pyrolysis bio-oils were blended with the identified solvents at various mixing ratio. In addition, emulsification of the solvent-oil blend in diesel was also conducted with the help of surfactants. Lastly, potential extensions and prospective work for this study have been discuss in the later part of this thesis. To conclude, this thesis presented the combination of computational and experimental approaches in upgrading the fuel properties of pyrolysis bio-oil. As a result, high quality biofuel can be generated as a cleaner burning replacement for conventional diesel fuel

Computational and experimental studies on the reaction mechanism of bio-oil components with additives for increased stability and fuel quality

As one of the world’s largest palm oil producers, Malaysia encountered a major disposal problem as vast amount of oil palm biomass wastes are produced. To overcome this problem, these biomass wastes can be liquefied into biofuel with fast pyrolysis technology. However, further upgradation of fast pyrolysis bio-oil via direct solvent addition was required to overcome it’s undesirable attributes. In addition, the high production cost of biofuels often hinders its commercialisation. Thus, the designed solvent-oil blend needs to achieve both fuel functionality and economic targets to be competitive with the conventional diesel fuel. In this thesis, a multi-stage computer-aided molecular design (CAMD) framework was employed for bio-oil solvent design. In the design problem, molecular signature descriptors were applied to accommodate different classes of property prediction models. However, the complexity of the CAMD problem increases as the height of signature increases due to the combinatorial nature of higher order signature. Thus, a consistency rule was developed reduce the size of the CAMD problem. The CAMD problem was then further extended to address the economic aspects via fuzzy multi-objective optimisation approach. Next, a rough-set based machine learning (RSML) model has been proposed to correlate the feedstock characterisation and pyrolysis condition with the pyrolysis bio-oil properties by generating decision rules. The generated decision rules were analysed from a scientific standpoint to identify the underlying patterns, while ensuring the rules were logical. The decision rules generated can be used to select optimal feedstock composition and pyrolysis condition to produce pyrolysis bio-oil of targeted fuel properties. Next, the results obtained from the computational approaches were verified through experimental study. The generated pyrolysis bio-oils were blended with the identified solvents at various mixing ratio. In addition, emulsification of the solvent-oil blend in diesel was also conducted with the help of surfactants. Lastly, potential extensions and prospective work for this study have been discuss in the later part of this thesis. To conclude, this thesis presented the combination of computational and experimental approaches in upgrading the fuel properties of pyrolysis bio-oil. As a result, high quality biofuel can be generated as a cleaner burning replacement for conventional diesel fuel

ISIPTA'07: Proceedings of the Fifth International Symposium on Imprecise Probability: Theories and Applications

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