Evolutionary rule-based system for IPO underpricing prediction

Genetic And Evolutionary Computation Conference. Washington DC, USA, 25-29 June 2005Academic literature has documented for a long time the existence of important price gains in the first trading day of initial public offerings (IPOs).Most of the empirical analysis that has been carried out to date to explain underpricing through the offering structure is based on multiple linear regression. The alternative that we suggest is a rule-based system defined by a genetic algorithm using a Michigan approach. The system offers significant advantages in two areas, 1) a higher predictive performance, and 2) robustness to outlier patterns. The importance of the latter should be emphasized since the non-trivial task of selecting the patterns to be excluded from the training sample severely affects the results.We compare the predictions provided by the algorithm to those obtained from linear models frequently used in the IPO literature. The predictions are based on seven classic variables. The results suggest that there is a clear correlation between the selected variables and the initial return, therefore making possible to predict, to a certain extent, the closing price.This article has been financed by the Spanish founded research MCyT project TRACER, Ref: TIC2002-04498-C05-04M

Connectionist Theory Refinement: Genetically Searching the Space of Network Topologies

An algorithm that learns from a set of examples should ideally be able to exploit the available resources of (a) abundant computing power and (b) domain-specific knowledge to improve its ability to generalize. Connectionist theory-refinement systems, which use background knowledge to select a neural network's topology and initial weights, have proven to be effective at exploiting domain-specific knowledge; however, most do not exploit available computing power. This weakness occurs because they lack the ability to refine the topology of the neural networks they produce, thereby limiting generalization, especially when given impoverished domain theories. We present the REGENT algorithm which uses (a) domain-specific knowledge to help create an initial population of knowledge-based neural networks and (b) genetic operators of crossover and mutation (specifically designed for knowledge-based networks) to continually search for better network topologies. Experiments on three real-world domains indicate that our new algorithm is able to significantly increase generalization compared to a standard connectionist theory-refinement system, as well as our previous algorithm for growing knowledge-based networks.Comment: See http://www.jair.org/ for any accompanying file

A hierarchical Mamdani-type fuzzy modelling approach with new training data selection and multi-objective optimisation mechanisms: A special application for the prediction of mechanical properties of alloy steels

In this paper, a systematic data-driven fuzzy modelling methodology is proposed, which allows to construct Mamdani fuzzy models considering both accuracy (precision) and transparency (interpretability) of fuzzy systems. The new methodology employs a fast hierarchical clustering algorithm to generate an initial fuzzy model efficiently; a training data selection mechanism is developed to identify appropriate and efficient data as learning samples; a high-performance Particle Swarm Optimisation (PSO) based multi-objective optimisation mechanism is developed to further improve the fuzzy model in terms of both the structure and the parameters; and a new tolerance analysis method is proposed to derive the confidence bands relating to the final elicited models. This proposed modelling approach is evaluated using two benchmark problems and is shown to outperform other modelling approaches. Furthermore, the proposed approach is successfully applied to complex high-dimensional modelling problems for manufacturing of alloy steels, using ‘real’ industrial data. These problems concern the prediction of the mechanical properties of alloy steels by correlating them with the heat treatment process conditions as well as the weight percentages of the chemical compositions

The detection of globular clusters in galaxies as a data mining problem

We present an application of self-adaptive supervised learning classifiers derived from the Machine Learning paradigm, to the identification of candidate Globular Clusters in deep, wide-field, single band HST images. Several methods provided by the DAME (Data Mining & Exploration) web application, were tested and compared on the NGC1399 HST data described in Paolillo 2011. The best results were obtained using a Multi Layer Perceptron with Quasi Newton learning rule which achieved a classification accuracy of 98.3%, with a completeness of 97.8% and 1.6% of contamination. An extensive set of experiments revealed that the use of accurate structural parameters (effective radius, central surface brightness) does improve the final result, but only by 5%. It is also shown that the method is capable to retrieve also extreme sources (for instance, very extended objects) which are missed by more traditional approaches.Comment: Accepted 2011 December 12; Received 2011 November 28; in original form 2011 October 1

Metaheuristic design of feedforward neural networks: a review of two decades of research

Over the past two decades, the feedforward neural network (FNN) optimization has been a key interest among the researchers and practitioners of multiple disciplines. The FNN optimization is often viewed from the various perspectives: the optimization of weights, network architecture, activation nodes, learning parameters, learning environment, etc. Researchers adopted such different viewpoints mainly to improve the FNN's generalization ability. The gradient-descent algorithm such as backpropagation has been widely applied to optimize the FNNs. Its success is evident from the FNN's application to numerous real-world problems. However, due to the limitations of the gradient-based optimization methods, the metaheuristic algorithms including the evolutionary algorithms, swarm intelligence, etc., are still being widely explored by the researchers aiming to obtain generalized FNN for a given problem. This article attempts to summarize a broad spectrum of FNN optimization methodologies including conventional and metaheuristic approaches. This article also tries to connect various research directions emerged out of the FNN optimization practices, such as evolving neural network (NN), cooperative coevolution NN, complex-valued NN, deep learning, extreme learning machine, quantum NN, etc. Additionally, it provides interesting research challenges for future research to cope-up with the present information processing era

Designing labeled graph classifiers by exploiting the R\'enyi entropy of the dissimilarity representation

Representing patterns as labeled graphs is becoming increasingly common in the broad field of computational intelligence. Accordingly, a wide repertoire of pattern recognition tools, such as classifiers and knowledge discovery procedures, are nowadays available and tested for various datasets of labeled graphs. However, the design of effective learning procedures operating in the space of labeled graphs is still a challenging problem, especially from the computational complexity viewpoint. In this paper, we present a major improvement of a general-purpose classifier for graphs, which is conceived on an interplay between dissimilarity representation, clustering, information-theoretic techniques, and evolutionary optimization algorithms. The improvement focuses on a specific key subroutine devised to compress the input data. We prove different theorems which are fundamental to the setting of the parameters controlling such a compression operation. We demonstrate the effectiveness of the resulting classifier by benchmarking the developed variants on well-known datasets of labeled graphs, considering as distinct performance indicators the classification accuracy, computing time, and parsimony in terms of structural complexity of the synthesized classification models. The results show state-of-the-art standards in terms of test set accuracy and a considerable speed-up for what concerns the computing time.Comment: Revised versio