6,764 research outputs found
Ensemble Committees for Stock Return Classification and Prediction
This paper considers a portfolio trading strategy formulated by algorithms in
the field of machine learning. The profitability of the strategy is measured by
the algorithm's capability to consistently and accurately identify stock
indices with positive or negative returns, and to generate a preferred
portfolio allocation on the basis of a learned model. Stocks are characterized
by time series data sets consisting of technical variables that reflect market
conditions in a previous time interval, which are utilized produce binary
classification decisions in subsequent intervals. The learned model is
constructed as a committee of random forest classifiers, a non-linear support
vector machine classifier, a relevance vector machine classifier, and a
constituent ensemble of k-nearest neighbors classifiers. The Global Industry
Classification Standard (GICS) is used to explore the ensemble model's efficacy
within the context of various fields of investment including Energy, Materials,
Financials, and Information Technology. Data from 2006 to 2012, inclusive, are
considered, which are chosen for providing a range of market circumstances for
evaluating the model. The model is observed to achieve an accuracy of
approximately 70% when predicting stock price returns three months in advance.Comment: 15 pages, 4 figures, Neukom Institute Computational Undergraduate
Research prize - second plac
Distributed Learning in Wireless Sensor Networks
The problem of distributed or decentralized detection and estimation in
applications such as wireless sensor networks has often been considered in the
framework of parametric models, in which strong assumptions are made about a
statistical description of nature. In certain applications, such assumptions
are warranted and systems designed from these models show promise. However, in
other scenarios, prior knowledge is at best vague and translating such
knowledge into a statistical model is undesirable. Applications such as these
pave the way for a nonparametric study of distributed detection and estimation.
In this paper, we review recent work of the authors in which some elementary
models for distributed learning are considered. These models are in the spirit
of classical work in nonparametric statistics and are applicable to wireless
sensor networks.Comment: Published in the Proceedings of the 42nd Annual Allerton Conference
on Communication, Control and Computing, University of Illinois, 200
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