Modelling and trading the Greek stock market with gene expression and genetic programing algorithms

This paper presents an application of the gene expression programming (GEP) and integrated genetic programming (GP) algorithms to the modelling of ASE 20 Greek index. GEP and GP are robust evolutionary algorithms that evolve computer programs in the form of mathematical expressions, decision trees or logical expressions. The results indicate that GEP and GP produce significant trading performance when applied to ASE 20 and outperform the well-known existing methods. The trading performance of the derived models is further enhanced by applying a leverage filter

Modeling, forecasting and trading the EUR exchange rates with hybrid rolling genetic algorithms: support vector regression forecast combinations

The motivation of this paper is to introduce a hybrid Rolling Genetic Algorithm-Support Vector Regression (RG-SVR) model for optimal parameter selection and feature subset combination. The algorithm is applied to the task of forecasting and trading the EUR/USD, EUR/GBP and EUR/JPY exchange rates. The proposed methodology genetically searches over a feature space (pool of individual forecasts) and then combines the optimal feature subsets (SVR forecast combinations) for each exchange rate. This is achieved by applying a fitness function specialized for financial purposes and adopting a sliding window approach. The individual forecasts are derived from several linear and non-linear models. RG-SVR is benchmarked against genetically and non-genetically optimized SVRs and SVMs models that are dominating the relevant literature, along with the robust ARBF-PSO neural network. The statistical and trading performance of all models is investigated during the period of 1999–2012. As it turns out, RG-SVR presents the best performance in terms of statistical accuracy and trading efficiency for all the exchange rates under study. This superiority confirms the success of the implemented fitness function and training procedure, while it validates the benefits of the proposed algorithm

Inflation and unemployment forecasting with genetic support vector regression

In this paper a hybrid genetic algorithm–support vector regression (GA-SVR) model in economic forecasting and macroeconomic variable selection is introduced. The proposed algorithm is applied to the task of forecasting US inflation and unemployment. GA-SVR genetically optimizes the SVR parameters and adapts to the optimal feature subset from a feature space of potential inputs. The feature space includes a wide pool of macroeconomic variables that might affect the two series under study. The forecasting performance of GA-SVR is benchmarked with a random walk model, an autoregressive moving average model, a moving average convergence/divergence model, a multi-layer perceptron, a recurrent neural network and a genetic programming algorithm. In terms of our results, GA-SVR outperforms all benchmark models and provides evidence on which macroeconomic variables can be relevant predictors of US inflation and unemployment in the specific period under study

Incremental evolution strategy for function optimization

This paper presents a novel evolutionary approach for function optimization Incremental Evolution Strategy (IES). Two strategies are proposed. One is to evolve the input variables incrementally. The whole evolution consists of several phases and one more variable is focused in each phase. The number of phases is equal to the number of variables in maximum. Each phase is composed of two stages: in the single-variable evolution (SVE) stage, evolution is taken on one independent variable in a series of cutting planes; in the multi-variable evolving (MVE) stage, the initial population is formed by integrating the populations obtained by the SVE and the MVE in the last phase. And the evolution is taken on the incremented variable set. The other strategy is a hybrid of particle swarm optimization (PSO) and evolution strategy (ES). PSO is applied to adjust the cutting planes/hyper-planes (in SVEs/MVEs) while (1+1)-ES is applied to searching optima in the cutting planes/hyper-planes. The results of experiments show that the performance of IES is generally better than that of three other evolutionary algorithms, improved normal GA, PSO and SADE_CERAF, in the sense that IES finds solutions closer to the true optima and with more optimal objective values

Evolutionary discriminative confidence estimation for spoken term detection

The final publication is available at Springer via http://dx.doi.org/10.1007/s11042-011-0913-zSpoken term detection (STD) is the task of searching for occurrences of spoken terms in audio archives. It relies on robust confidence estimation to make a hit/false alarm (FA) decision. In order to optimize the decision in terms of the STD evaluation metric, the confidence has to be discriminative. Multi-layer perceptrons (MLPs) and support vector machines (SVMs) exhibit good performance in producing discriminative confidence; however they are severely limited by the continuous objective functions, and are therefore less capable of dealing with complex decision tasks. This leads to a substantial performance reduction when measuring detection of out-of-vocabulary (OOV) terms, where the high diversity in term properties usually leads to a complicated decision boundary. In this paper we present a new discriminative confidence estimation approach based on evolutionary discriminant analysis (EDA). Unlike MLPs and SVMs, EDA uses the classification error as its objective function, resulting in a model optimized towards the evaluation metric. In addition, EDA combines heterogeneous projection functions and classification strategies in decision making, leading to a highly flexible classifier that is capable of dealing with complex decision tasks. Finally, the evolutionary strategy of EDA reduces the risk of local minima. We tested the EDA-based confidence with a state-of-the-art phoneme-based STD system on an English meeting domain corpus, which employs a phoneme speech recognition system to produce lattices within which the phoneme sequences corresponding to the enquiry terms are searched. The test corpora comprise 11 hours of speech data recorded with individual head-mounted microphones from 30 meetings carried out at several institutes including ICSI; NIST; ISL; LDC; the Virginia Polytechnic Institute and State University; and the University of Edinburgh. The experimental results demonstrate that EDA considerably outperforms MLPs and SVMs on both classification and confidence measurement in STD, and the advantage is found to be more significant on OOV terms than on in-vocabulary (INV) terms. In terms of classification performance, EDA achieved an equal error rate (EER) of 11% on OOV terms, compared to 34% and 31% with MLPs and SVMs respectively; for INV terms, an EER of 15% was obtained with EDA compared to 17% obtained with MLPs and SVMs. In terms of STD performance for OOV terms, EDA presented a significant relative improvement of 1.4% and 2.5% in terms of average term-weighted value (ATWV) over MLPs and SVMs respectively.This work was partially supported by the French Ministry of Industry (Innovative Web call) under contract 09.2.93.0966, ‘Collaborative Annotation for Video Accessibility’ (ACAV) and by ‘The Adaptable Ambient Living Assistant’ (ALIAS) project funded through the joint national Ambient Assisted Living (AAL) programme

Computational models and approaches for lung cancer diagnosis

The success of treatment of patients with cancer depends on establishing an accurate diagnosis. To this end, the aim of this study is to developed novel lung cancer diagnostic models. New algorithms are proposed to analyse the biological data and extract knowledge that assists in achieving accurate diagnosis results