40,081 research outputs found
Support Vector Machines for Credit Scoring and discovery of significant features
The assessment of risk of default on credit is important for financial institutions. Logistic regression and discriminant analysis are techniques traditionally used in credit scoring for determining likelihood to default based on consumer application and credit reference agency data. We test support vector machines against these traditional methods on a large credit card database. We find that they are competitive and can be used as the basis of a feature selection method to discover those features that are most significant in determining risk of default. 1
Kernel methods in genomics and computational biology
Support vector machines and kernel methods are increasingly popular in
genomics and computational biology, due to their good performance in real-world
applications and strong modularity that makes them suitable to a wide range of
problems, from the classification of tumors to the automatic annotation of
proteins. Their ability to work in high dimension, to process non-vectorial
data, and the natural framework they provide to integrate heterogeneous data
are particularly relevant to various problems arising in computational biology.
In this chapter we survey some of the most prominent applications published so
far, highlighting the particular developments in kernel methods triggered by
problems in biology, and mention a few promising research directions likely to
expand in the future
Highly comparative feature-based time-series classification
A highly comparative, feature-based approach to time series classification is
introduced that uses an extensive database of algorithms to extract thousands
of interpretable features from time series. These features are derived from
across the scientific time-series analysis literature, and include summaries of
time series in terms of their correlation structure, distribution, entropy,
stationarity, scaling properties, and fits to a range of time-series models.
After computing thousands of features for each time series in a training set,
those that are most informative of the class structure are selected using
greedy forward feature selection with a linear classifier. The resulting
feature-based classifiers automatically learn the differences between classes
using a reduced number of time-series properties, and circumvent the need to
calculate distances between time series. Representing time series in this way
results in orders of magnitude of dimensionality reduction, allowing the method
to perform well on very large datasets containing long time series or time
series of different lengths. For many of the datasets studied, classification
performance exceeded that of conventional instance-based classifiers, including
one nearest neighbor classifiers using Euclidean distances and dynamic time
warping and, most importantly, the features selected provide an understanding
of the properties of the dataset, insight that can guide further scientific
investigation
Modeling Financial Time Series with Artificial Neural Networks
Financial time series convey the decisions and actions of a population of human actors over time. Econometric and regressive models have been developed in the past decades for analyzing these time series. More recently, biologically inspired artificial neural network models have been shown to overcome some of the main challenges of traditional techniques by better exploiting the non-linear, non-stationary, and oscillatory nature of noisy, chaotic human interactions. This review paper explores the options, benefits, and weaknesses of the various forms of artificial neural networks as compared with regression techniques in the field of financial time series analysis.CELEST, a National Science Foundation Science of Learning Center (SBE-0354378); SyNAPSE program of the Defense Advanced Research Project Agency (HR001109-03-0001
- …