Previsibilidade dos retornos acionários: avaliando o desempenho de um sistema classificador com aprendizagem baseada em algoritmos genéticos

Dissertação (mestrado) - Universidade Federal de Santa Catarina, Centro Sócio-Econômico, Programa de Pós-Graduação em Economia, Florianópolis, 2010Sistema classificador é um sistema adaptativo que modela seu ambiente baseando-se em um conjunto de regras competidoras entre si. A adaptação destas regras requer a utilização de técnicas da computação evolucionária, tarefa usualmente atribuída a algoritmos genéticos. Estes últimos constituem uma classe de técnicas de busca, adaptação, e otimização, baseadas nos princípios Darwinianos da evolução natural. Tais algoritmos têm recebido ênfase como representativos do modelo de formação de expectativas na recente literatura em finanças baseadas em agentes computacionais. Este estudo propõe uma avaliação do desempenho preditivo deste tipo de algoritmo computacional na previsão dos retornos de uma ação do mercado acionário brasileiro, comparando-o com dois algoritmos computacionalmente mais simples, um baseado em regressões recursivas, e o outro no modelo de passeio aleatório. Avanços na formulação de sistemas classificadores são propostos no sentido de endogeneização de alguns de seus parâmetros ligados ao algoritmo de aprendizagem. Os resultados indicaram que o sistema classificador não foi capaz de superar o desempenho preditivo dos algoritmos mais simples, tendo apresentado médias de erros de previsão ao quadrado aproximadamente 29% maiores àquelas apresentadas pelo algoritmo de regressões recursivas, e 13% maiores àquelas apresentadas pelo algoritmo de passeio aleatório. Os resultados evidenciaram ainda a existência de um trade-off entre incerteza e precisão na aplicação do sistema classificador, um aspecto até então negligenciado na literatura. Adicionalmente, as formulações foram analisadas em relação às especificações utilizadas para a construção das previsões, permitindo assim a obtenção de robustez nas conclusões derivadas. Conclui-se que assim como algoritmos evolucionários são construídos sob um argumento de sobrevivência do mais apto, os resultados demonstraram que a implementação computacional de um destes algoritmos não sobreviveria como a mais apta no contexto preditivo de retornos acionários

Three-cornered coevolution learning classifier systems for classification

This thesis introduces a Three-Cornered Coevolution System that is capable of addressing classification tasks through coevolution (coadaptive evolution) where three different agents (i.e. a generation agent and two classification agents) learn and adapt to the changes of the problems without human involvement. In existing pattern classification systems, humans usually play a major role in creating and controlling the problem domain. In particular, humans set up and tune the problem’s difficulty. A motivation of the work for this thesis is to design and develop an automatic pattern generation and classification system that can generate various sets of exemplars to be learned from and perform the classification tasks autonomously. The system should be able to automatically adjust the problem’s difficulty based on the learners’ ability to learn (e.g. determining features in the problem that affect the learners’ performance in order to generate various problems for classification at different levels of difficulty). Further, the system should be capable of addressing the classification tasks through coevolution (coadaptive evolution), where the participating agents learn and adapt to the changes of the problems without human participation. Ultimately, Learning Classifier System (LCS) is chosen to be implemented in the participating agents. LCS has several potential characteristics, such as interpretability, generalisation capability and variations in representation, that are suitable for the system. The work can be broken down into three main phases. Phase 1 is to develop an automated evolvable problem generator to autonomously generate various problems for classification, Phase 2 is to develop the Two-Cornered Coevolution System for classification, and Phase 3 is to develop the Three-Cornered Coevolution System for classification. Phase 1 is necessary in order to create a set of problem domains for classification (i.e. image-based data or artificial data) that can be generated automatically, where the difficulty levels of the problem can be adjusted and tuned. Phase 2 is needed to investigate the generation agent’s ability to autonomously tune and adjust the problem’s difficulty based on the classification agent’s performance. Phase 2 is a standard coevolution system, where two different agents evolve to adapt to the changes of the problem. The classification agent evolves to learn various classification problems, while the generation agent evolves to tune and adjust the problem’s difficulty based on the learner’s ability to learn. Phase 3 is the final research goal. This phase develops a new coevolution system where three different agents evolve to adapt to the changes of the problem. Both of the classification agents evolve to learn various classification problems, while the generation agent evolves to tune and adjust the problem’s difficulty based on the classification agents’ ability to learn. The classification agents use different styles of learning techniques (i.e. supervised or reinforcement learning techniques) to learn the problems. Based on the classification agents’ ability (i.e. the difference in performance between the classification agents) the generation agent adjusts and creates various problems for classification at different levels of difficulty (i.e. various ‘hard’ problems). The Three-Cornered Coevolution System offers a great potential for autonomous learning and provides useful insight into coevolution learning over the standard studies of pattern recognition. The system is capable of autonomously generating various problems, learning and providing insight into each learning system’s ability by determining the problem domains where they perform relatively well. This is in contrast to humans having to determine the problem domains

Principled design of evolutionary learning sytems for large scale data mining

Currently, the data mining and machine learning fields are facing new challenges because of the amount of information that is collected and needs processing. Many sophisticated learning approaches cannot simply cope with large and complex domains, because of the unmanageable execution times or the loss of prediction and generality capacities that occurs when the domains become more complex. Therefore, to cope with the volumes of information of the current realworld problems there is a need to push forward the boundaries of sophisticated data mining techniques. This thesis is focused on improving the efficiency of Evolutionary Learning systems in large scale domains. Specifically the objective of this thesis is improving the efficiency of the Bioinformatic Hierarchical Evolutionary Learning (BioHEL) system, a system designed with the purpose of handling large domains. This is a classifier system that uses an Iterative Rule Learning approach to generate a set of rules one by one using consecutive Genetic Algorithms. This system have shown to be very competitive so far in large and complex domains. In particular, BioHEL has obtained very important results when solving protein structure prediction problems and has won related merits, such as being placed among the best algorithms for this purpose at the Critical Assessment of Techniques for Protein Structure Prediction (CASP) in 2008 and 2010, and winning the bronze medal at the HUMIES Awards for Human-competitive results in 2007. However, there is still a need to analyse this system in a principled way to determine how the current mechanisms work together to solve larger domains and determine the aspects of the system that can be improved towards this aim. To fulfil the objective of this thesis, the work is divided in two parts. In the first part of the thesis exhaustive experimentation was carried out to determine ways in which the system could be improved. From this exhaustive analysis three main weaknesses are pointed out: a) the problem-dependancy of parameters in BioHEL's fitness function, which results in having a system difficult to set up and which requires an extensive preliminary experimentation to determine the adequate values for these parameters; b) the execution time of the learning process, which at the moment does not use any parallelisation techniques and depends on the size of the training sets; and c) the lack of global supervision over the generated solutions which comes from the usage of the Iterative Rule Learning paradigm and produces larger rule sets in which there is no guarantee of minimality or maximal generality. The second part of the thesis is focused on tackling each one of the weaknesses abovementioned to have a system capable of handling larger domains. First a heuristic approach to set parameters within BioHEL's fitness function is developed. Second a new parallel evaluation process that runs on General Purpose Graphic Processing Units was developed. Finally, post-processing operators to tackle the generality and cardinality of the generated solutions are proposed. By means of these enhancements we managed to improve the BioHEL system to reduce both the learning and the preliminary experimentation time, increase the generality of the final solutions and make the system more accessible for end-users. Moreover, as the techniques discussed in this thesis can be easily extended to other Evolutionary Learning systems we consider them important additions to the research in this field towards tackling large scale domains

Foreign exchange trading using a learning classifier system

We apply a simple Learning Classifier System to a foreign exchange trading problem. The performance of the Learning Classifier System is compared to that of a Genetic Programming approach from the literature. The simple Learning Classifier System is able to achieve a positive excess return in simulated trading, but results are not yet fully competitive because the Learning Classifier System trades too frequently. However, the Learning Classifier System approach shows potential because returns are obtained with no offline training and the technique is inherently adaptive, unlike many of the machine learning methods currently employed for financial trading. © 2008 Springer-Verlag Berlin Heidelberg

Foreign Exchange Trading using a Learning Classifier System

Abstract. We apply a simple Learning Classifier System that has previously been shown to perform well on a number of difficult continuousvalued test problems to a foreign exchange trading problem. The performance of the Learning Classifier System is compared to that of a Genetic Programming approach from the literature. The simple Learning Classifier System is able to achieve a positive excess return in simulated trading, but results are not yet fully competitive because the Learning Classifier System trades too frequently. However, the Learning Classifier System approach shows potential because returns are obtained with no offline training and the technique is inherently adaptive, unlike many of the machine learning methods currently employed for financial trading.