Financial contagion: Evolutionary optimisation of a multinational agent-based model

Over the past two decades, financial market crises with similar features have occurred in different regions of the world. Unstable cross-market linkages during a crisis are referred to as financial contagion. We simulate crisis transmission in the context of a model of market participants adopting various strategies; this allows testing for financial contagion under alternative scenarios. Using a minority game approach, we develop an agent-based multinational model and investigate the reasons for contagion. Although the phenomenon has been extensively investigated in the financial literature, it has not been studied through computational intelligence techniques. Our simulations shed light on parameter values and characteristics which can be exploited to detect contagion at an earlier stage, hence recognising financial crises with the potential to destabilise cross-market linkages. In the real world, such information would be extremely valuable in developing appropriate risk management strategies

Fuzzy Adaptive Tuning of a Particle Swarm Optimization Algorithm for Variable-Strength Combinatorial Test Suite Generation

Combinatorial interaction testing is an important software testing technique that has seen lots of recent interest. It can reduce the number of test cases needed by considering interactions between combinations of input parameters. Empirical evidence shows that it effectively detects faults, in particular, for highly configurable software systems. In real-world software testing, the input variables may vary in how strongly they interact, variable strength combinatorial interaction testing (VS-CIT) can exploit this for higher effectiveness. The generation of variable strength test suites is a non-deterministic polynomial-time (NP) hard computational problem \cite{BestounKamalFuzzy2017}. Research has shown that stochastic population-based algorithms such as particle swarm optimization (PSO) can be efficient compared to alternatives for VS-CIT problems. Nevertheless, they require detailed control for the exploitation and exploration trade-off to avoid premature convergence (i.e. being trapped in local optima) as well as to enhance the solution diversity. Here, we present a new variant of PSO based on Mamdani fuzzy inference system \cite{Camastra2015,TSAKIRIDIS2017257,KHOSRAVANIAN2016280}, to permit adaptive selection of its global and local search operations. We detail the design of this combined algorithm and evaluate it through experiments on multiple synthetic and benchmark problems. We conclude that fuzzy adaptive selection of global and local search operations is, at least, feasible as it performs only second-best to a discrete variant of PSO, called DPSO. Concerning obtaining the best mean test suite size, the fuzzy adaptation even outperforms DPSO occasionally. We discuss the reasons behind this performance and outline relevant areas of future work.Comment: 21 page

Automated generation of computationally hard feature models using evolutionary algorithms

This is the post-print version of the final paper published in Expert Systems with Applications. The published article is available from the link below. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. Copyright @ 2014 Elsevier B.V.A feature model is a compact representation of the products of a software product line. The automated extraction of information from feature models is a thriving topic involving numerous analysis operations, techniques and tools. Performance evaluations in this domain mainly rely on the use of random feature models. However, these only provide a rough idea of the behaviour of the tools with average problems and are not sufficient to reveal their real strengths and weaknesses. In this article, we propose to model the problem of finding computationally hard feature models as an optimization problem and we solve it using a novel evolutionary algorithm for optimized feature models (ETHOM). Given a tool and an analysis operation, ETHOM generates input models of a predefined size maximizing aspects such as the execution time or the memory consumption of the tool when performing the operation over the model. This allows users and developers to know the performance of tools in pessimistic cases providing a better idea of their real power and revealing performance bugs. Experiments using ETHOM on a number of analyses and tools have successfully identified models producing much longer executions times and higher memory consumption than those obtained with random models of identical or even larger size.European Commission (FEDER), the Spanish Government and the Andalusian Government

Coevolutive adaptation of fitness landscape for solving the testing problem

IEEE International Conference on Systems, Man, and Cybernetics. Nashville, TN, 8-11 October 2000A general framework, called Uniform Coevolution, is introduced to overcome the testing problem in evolutionary computation methods. This framework is based on competitive evolution ideas where the solution and example sets are evolving by means of a competition to generate difficult test beds for the solutions in a gradual way. The method has been tested with two different problems: the robot navigation problem and the density parity problem in cellular automata. In both test cases using evolutive methods, the examples used in the learning process biased the solutions found. The main characteristics of the Uniform Coevolution method are that it smoothes the fitness landscape and, that it obtains “ideal learner examples”. Results using uniform coevolution show a high value of generality, compared with non co-evolutive approaches

Sentinel: A Hyper-Heuristic for the Generation of Mutant Reduction Strategies

Mutation testing is an effective approach to evaluate and strengthen software test suites, but its adoption is currently limited by the mutants' execution computational cost. Several strategies have been proposed to reduce this cost (a.k.a. mutation cost reduction strategies), however none of them has proven to be effective for all scenarios since they often need an ad-hoc manual selection and configuration depending on the software under test (SUT). In this paper, we propose a novel multi-objective evolutionary hyper-heuristic approach, dubbed Sentinel, to automate the generation of optimal cost reduction strategies for every new SUT. We evaluate Sentinel by carrying out a thorough empirical study involving 40 releases of 10 open-source real-world software systems and both baseline and state-of-the-art strategies as a benchmark. We execute a total of 4,800 experiments, and evaluate their results with both quality indicators and statistical significance tests, following the most recent best practice in the literature. The results show that strategies generated by Sentinel outperform the baseline strategies in 95% of the cases always with large effect sizes. They also obtain statistically significantly better results than state-of-the-art strategies in 88% of the cases, with large effect sizes for 95% of them. Also, our study reveals that the mutation strategies generated by Sentinel for a given software version can be used without any loss in quality for subsequently developed versions in 95% of the cases. These results show that Sentinel is able to automatically generate mutation strategies that reduce mutation testing cost without affecting its testing effectiveness (i.e. mutation score), thus taking off from the tester's shoulders the burden of manually selecting and configuring strategies for each SUT.Comment: in IEEE Transactions on Software Engineerin

Generative Adversarial Networks for Financial Trading Strategies Fine-Tuning and Combination

Systematic trading strategies are algorithmic procedures that allocate assets aiming to optimize a certain performance criterion. To obtain an edge in a highly competitive environment, the analyst needs to proper fine-tune its strategy, or discover how to combine weak signals in novel alpha creating manners. Both aspects, namely fine-tuning and combination, have been extensively researched using several methods, but emerging techniques such as Generative Adversarial Networks can have an impact into such aspects. Therefore, our work proposes the use of Conditional Generative Adversarial Networks (cGANs) for trading strategies calibration and aggregation. To this purpose, we provide a full methodology on: (i) the training and selection of a cGAN for time series data; (ii) how each sample is used for strategies calibration; and (iii) how all generated samples can be used for ensemble modelling. To provide evidence that our approach is well grounded, we have designed an experiment with multiple trading strategies, encompassing 579 assets. We compared cGAN with an ensemble scheme and model validation methods, both suited for time series. Our results suggest that cGANs are a suitable alternative for strategies calibration and combination, providing outperformance when the traditional techniques fail to generate any alpha