Trading the stock market : hybrid financial analyses and evolutionary computation

Tesis inédita de la Universidad Complutense de Madrid, Facultad de Informática, Departamento de Arquitectura de Computadores y Automática, leída el 02-07-2014Esta tesis presenta la implementación de un innovador sistema de comercio automatizado que utiliza tres importantes análisis para determinar lugares y momentos de inversión. Para ello, este trabajo profundiza en sistemas automáticos de comercio y estudia series temporales de precios históricos pertenecientes a empresas que cotizan en el mercado bursátil. Estudiamos y clasifcamos las series temporales mediante el uso de una novedosa metodología basada en compresores de software. Este nuevo enfoque permite un estudio teórico de la formación de precios que demuestra resultados de divergencia entre precios reales de mercado y precios modelados mediante paseos aleatorios, apoyando así el desarrollo de modelos predictivos basados en el análisis de patrones históricos como los descritos en este documento. Además, esta metodología nos permite estudiar el comportamiento de series temporales de precios históricos en distintos sectores industriales mediante la búsqueda de patrones en empresas pertenecientes al mismo sector. Los resultados muestran agrupaciones que indican tendencias de mercado compartidas y ,por tanto, señalan que la inclusión de un análisis industrial puede reportar ventajas en la toma de decisiones de inversión. Comprobada la factibilidad de un sistema de predicción basado en series temporales y demostrada la existencia de tendencias macroeconómicas en las diferentes industrias, proponemos el desarrollo del sistema completo a través de diferentes etapas. Iterativamente y mediante varias aproximaciones, testeamos y analizamos las piezas que componen el sistema nal. Las primeras fases describen un sistema de comercio automatizado, basado en análisis técnico y fundamental de empresas, que presenta altos rendimientos y reduce el riesgo de pérdidas. El sistema utiliza un motor de optimización guiado por una versión modi cada de un algoritmo genético el la que presentamos operadores innovadores que proporcionan mecanismos para evitar una convergencia prematura del algoritmo y mejorar los resultados de rendimiento nales. Utilizando este mismo sistema de comercio automático proponemos técnicas de optimización novedosas en relación a uno de los problemas más característicos de estos sistemas, el tiempo de ejecución. Presentamos la paralelización del sistema de comercio automatizado mediante dos técnicas de computación paralela, computación distribuida y procesamiento grá co. Ambas arquitecturas presentan aceleraciones elevadas alcanzando los x50 y x256 respectivamente. Estápas posteriores presentan un cambio de metodologia de optimización, algoritmos genéticos por evolución gramatical, que nos permite comparar ambas estrategias e implementar características más avanzadas como reglas más complejas o la auto-generación de nuevos indicadores técnicos. Testearemos, con datos nancieros recientes, varios sistemas de comercio basados en diferentes funciones de aptitud, incluyendo una innovadora versión multi-objetivo, que nos permitirán analizar las ventajas de cada función de aptitud. Finalmente, describimos y testeamos la metodología del sistema de comercio automatizado basado en una doble capa de gramáticas evolutivas y que combina un análisis técnico, fundamental y macroeconómico en un análisis top-down híbrido. Los resultados obtenidos muestran rendimientos medios del 30% con muy pocas operaciones de perdidas.This thesis concerns to the implementation of a complex and pioneering automated trading system which uses three critical analysis to determine time-decisions and portfolios for investments. To this end, this work delves into automated trading systems and studies time series of historical prices related to companies listed in stock markets. Time series are studied using a novel methodology based on clusterings by software compressors. This new approach allows a theoretical study of price formation which shows results of divergence between market prices and prices modelled by random walks, thus supporting the implementation of predictive models based on the analysis of historical patterns. Furthermore, this methodology also provides us the tool to study behaviours of time series of historical prices from di erent industrial sectors seeking patterns among companies in the same industry. Results show clusters of companies pointing out market trends among companies developing similar activities, and suggesting a macroeconomic analysis to take advantage of investment decisions. Tested the feasibility of prediction systems based on analyses related to time series of historical prices and tested the existence of macroeconomic trends in the industries, we propose the implementation of a hybrid automated trading system through several stages which iteratively describe and test the components of the nal system. In the early stages, we implement an automated trading system based on technical and fundamental analysis of companies, it presents high returns and reducing losses. The implementation uses a methodology guided by a modi ed version of a genetic algorithm which presents novel genetic operators avoiding the premature convergence and improving nal results. Using the same automated trading system we propose novel optimization techniques related to one of the characteristic problems of these systems: the execution time. We present the parallelisation of the system using two parallel computing techniques, rst using distributed computation and, second, implementing a version for graphics processors. Both architectures achieve high speed-ups, reaching 50x and 256x respectively, thus, they present the necessary speed-ups required by systems analysing huge amount of nancial data. Subsequent stages present a transformation in the methodology, genetic algorithms for grammatical evolution, which allows us to compare the two evolutionary strategies and to implement more advanced features such as more complex rules or the self-generation of new technical indicators. In this context, we describe several automated trading system versions guided by di erent tness functions, including an innovative multi-objective version that we test with recent nancial data analysing the advantages of each tness function. Finally, we describe and test the methodology of an automated trading system based on a double layer of grammatical evolution combining technical, fundamental and macroeconomic analysis on a hybrid topdown analysis. The results show average returns of 30% with low number of negative operations.Depto. de Arquitectura de Computadores y AutomáticaFac. de InformáticaTRUEunpu

Infobiotics : computer-aided synthetic systems biology

Until very recently Systems Biology has, despite its stated goals, been too reductive in terms of the models being constructed and the methods used have been, on the one hand, unsuited for large scale adoption or integration of knowledge across scales, and on the other hand, too fragmented. The thesis of this dissertation is that better computational languages and seamlessly integrated tools are required by systems and synthetic biologists to enable them to meet the significant challenges involved in understanding life as it is, and by designing, modelling and manufacturing novel organisms, to understand life as it could be. We call this goal, where everything necessary to conduct model-driven investigations of cellular circuitry and emergent effects in populations of cells is available without significant context-switching, “one-pot” in silico synthetic systems biology in analogy to “one-pot” chemistry and “one-pot” biology. Our strategy is to increase the understandability and reusability of models and experiments, thereby avoiding unnecessary duplication of effort, with practical gains in the efficiency of delivering usable prototype models and systems. Key to this endeavour are graphical interfaces that assists novice users by hiding complexity of the underlying tools and limiting choices to only what is appropriate and useful, thus ensuring that the results of in silico experiments are consistent, comparable and reproducible. This dissertation describes the conception, software engineering and use of two novel software platforms for systems and synthetic biology: the Infobiotics Workbench for modelling, in silico experimentation and analysis of multi-cellular biological systems; and DNA Library Designer with the DNALD language for the compact programmatic specification of combinatorial DNA libraries, as the first stage of a DNA synthesis pipeline, enabling methodical exploration biological problem spaces. Infobiotics models are formalised as Lattice Population P systems, a novel framework for the specification of spatially-discrete and multi-compartmental rule-based models, imbued with a stochastic execution semantics. This framework was developed to meet the needs of real systems biology problems: hormone transport and signalling in the root of Arabidopsis thaliana, and quorum sensing in the pathogenic bacterium Pseudomonas aeruginosa. Our tools have also been used to prototype a novel synthetic biological system for pattern formation, that has been successfully implemented in vitro. Taken together these novel software platforms provide a complete toolchain, from design to wet-lab implementation, of synthetic biological circuits, enabling a step change in the scale of biological investigations that is orders of magnitude greater than could previously be performed in one in silico “pot”

Infobiotics : computer-aided synthetic systems biology

Until very recently Systems Biology has, despite its stated goals, been too reductive in terms of the models being constructed and the methods used have been, on the one hand, unsuited for large scale adoption or integration of knowledge across scales, and on the other hand, too fragmented. The thesis of this dissertation is that better computational languages and seamlessly integrated tools are required by systems and synthetic biologists to enable them to meet the significant challenges involved in understanding life as it is, and by designing, modelling and manufacturing novel organisms, to understand life as it could be. We call this goal, where everything necessary to conduct model-driven investigations of cellular circuitry and emergent effects in populations of cells is available without significant context-switching, “one-pot” in silico synthetic systems biology in analogy to “one-pot” chemistry and “one-pot” biology. Our strategy is to increase the understandability and reusability of models and experiments, thereby avoiding unnecessary duplication of effort, with practical gains in the efficiency of delivering usable prototype models and systems. Key to this endeavour are graphical interfaces that assists novice users by hiding complexity of the underlying tools and limiting choices to only what is appropriate and useful, thus ensuring that the results of in silico experiments are consistent, comparable and reproducible. This dissertation describes the conception, software engineering and use of two novel software platforms for systems and synthetic biology: the Infobiotics Workbench for modelling, in silico experimentation and analysis of multi-cellular biological systems; and DNA Library Designer with the DNALD language for the compact programmatic specification of combinatorial DNA libraries, as the first stage of a DNA synthesis pipeline, enabling methodical exploration biological problem spaces. Infobiotics models are formalised as Lattice Population P systems, a novel framework for the specification of spatially-discrete and multi-compartmental rule-based models, imbued with a stochastic execution semantics. This framework was developed to meet the needs of real systems biology problems: hormone transport and signalling in the root of Arabidopsis thaliana, and quorum sensing in the pathogenic bacterium Pseudomonas aeruginosa. Our tools have also been used to prototype a novel synthetic biological system for pattern formation, that has been successfully implemented in vitro. Taken together these novel software platforms provide a complete toolchain, from design to wet-lab implementation, of synthetic biological circuits, enabling a step change in the scale of biological investigations that is orders of magnitude greater than could previously be performed in one in silico “pot”

Iowa State University, Courses and Programs Catalog 2014–2015

The Iowa State University Catalog is a one-year publication which lists all academic policies, and procedures. The catalog also includes the following: information for fees; curriculum requirements; first-year courses of study for over 100 undergraduate majors; course descriptions for nearly 5000 undergraduate and graduate courses; and a listing of faculty members at Iowa State University.https://lib.dr.iastate.edu/catalog/1025/thumbnail.jp

Automated Software Transplantation

Automated program repair has excited researchers for more than a decade, yet it has yet to find full scale deployment in industry. We report our experience with SAPFIX: the first deployment of automated end-to-end fault fixing, from test case design through to deployed repairs in production code. We have used SAPFIX at Facebook to repair 6 production systems, each consisting of tens of millions of lines of code, and which are collectively used by hundreds of millions of people worldwide. In its first three months of operation, SAPFIX produced 55 repair candidates for 57 crashes reported to SAPFIX, of which 27 have been deem as correct by developers and 14 have been landed into production automatically by SAPFIX. SAPFIX has thus demonstrated the potential of the search-based repair research agenda by deploying, to hundreds of millions of users worldwide, software systems that have been automatically tested and repaired. Automated software transplantation (autotransplantation) is a form of automated software engineering, where we use search based software engineering to be able to automatically move a functionality of interest from a ‘donor‘ program that implements it into a ‘host‘ program that lacks it. Autotransplantation is a kind of automated program repair where we repair the ‘host‘ program by augmenting it with the missing functionality. Automated software transplantation would open many exciting avenues for software development: suppose we could autotransplant code from one system into another, entirely unrelated, system, potentially written in a different programming language. Being able to do so might greatly enhance the software engineering practice, while reducing the costs. Automated software transplantation manifests in two different flavors: monolingual, when the languages of the host and donor programs is the same, or multilingual when the languages differ. This thesis introduces a theory of automated software transplantation, and two algorithms implemented in two tools that achieve this: µSCALPEL for monolingual software transplantation and τSCALPEL for multilingual software transplantation. Leveraging lightweight annotation, program analysis identifies an organ (interesting behavior to transplant); testing validates that the organ exhibits the desired behavior during its extraction and after its implantation into a host. We report encouraging results: in 14 of 17 monolingual transplantation experiments involving 6 donors and 4 hosts, popular real-world systems, we successfully autotransplanted 6 new functionalities; and in 10 out of 10 multlingual transplantation experiments involving 10 donors and 10 hosts, popular real-world systems written in 4 different programming languages, we successfully autotransplanted 10 new functionalities. That is, we have passed all the test suites that validates the new functionalities behaviour and the fact that the initial program behaviour is preserved. Additionally, we have manually checked the behaviour exercised by the organ. Autotransplantation is also very useful: in just 26 hours computation time we successfully autotransplanted the H.264 video encoding functionality from the x264 system to the VLC media player, a task that is currently done manually by the developers of VLC, since 12 years ago. We autotransplanted call graph generation and indentation for C programs into Kate, (a popular KDE based test editor used as an IDE by a lot of C developers) two features currently missing from Kate, but requested by the users of Kate. Autotransplantation is also efficient: the total runtime across 15 monolingual transplants is 5 hours and a half; the total runtime across 10 multilingual transplants is 33 hours

A complex systems approach to education in Switzerland

The insights gained from the study of complex systems in biological, social, and engineered systems enables us not only to observe and understand, but also to actively design systems which will be capable of successfully coping with complex and dynamically changing situations. The methods and mindset required for this approach have been applied to educational systems with their diverse levels of scale and complexity. Based on the general case made by Yaneer Bar-Yam, this paper applies the complex systems approach to the educational system in Switzerland. It confirms that the complex systems approach is valid. Indeed, many recommendations made for the general case have already been implemented in the Swiss education system. To address existing problems and difficulties, further steps are recommended. This paper contributes to the further establishment complex systems approach by shedding light on an area which concerns us all, which is a frequent topic of discussion and dispute among politicians and the public, where billions of dollars have been spent without achieving the desired results, and where it is difficult to directly derive consequences from actions taken. The analysis of the education system's different levels, their complexity and scale will clarify how such a dynamic system should be approached, and how it can be guided towards the desired performance

Современные техника и технологии. Т. 2

Сборник содержит научные статьи студентов, аспирантов и молодых ученых - участников ежегодной Международной конференции "Современные техника и технологии", разделенные по научным направлениям: электроэнергетика; приборостроение; технология, оборудование и автоматизация машиностроительных производств; электромеханика; системы и приборы медицинского назначения. Материалы сборника представляют интерес для специалистов, преподавателей, исследователей в сфере энергетики, электромеханики, приборостроения, машиностроения, медицинской техник