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

Towards a framework for designing full model selection and optimization systems

People from a variety of industrial domains are beginning to realise that appropriate use of machine learning techniques for their data mining projects could bring great benefits. End-users now have to face the new problem of how to choose a combination of data processing tools and algorithms for a given dataset. This problem is usually termed the Full Model Selection (FMS) problem. Extended from our previous work [10], in this paper, we introduce a framework for designing FMS algorithms. Under this framework, we propose a novel algorithm combining both genetic algorithms (GA) and particle swarm optimization (PSO) named GPS (which stands for GA-PSO-FMS), in which a GA is used for searching the optimal structure for a data mining solution, and PSO is used for searching optimal parameters for a particular structure instance. Given a classification dataset, GPS outputs a FMS solution as a directed acyclic graph consisting of diverse data mining operators that are available to the problem. Experimental results demonstrate the benefit of the algorithm. We also present, with detailed analysis, two model-tree-based variants for speeding up the GPS algorithm

A Comparison of Nature Inspired Algorithms for Multi-threshold Image Segmentation

In the field of image analysis, segmentation is one of the most important preprocessing steps. One way to achieve segmentation is by mean of threshold selection, where each pixel that belongs to a determined class islabeled according to the selected threshold, giving as a result pixel groups that share visual characteristics in the image. Several methods have been proposed in order to solve threshold selectionproblems; in this work, it is used the method based on the mixture of Gaussian functions to approximate the 1D histogram of a gray level image and whose parameters are calculated using three nature inspired algorithms (Particle Swarm Optimization, Artificial Bee Colony Optimization and Differential Evolution). Each Gaussian function approximates thehistogram, representing a pixel class and therefore a threshold point. Experimental results are shown, comparing in quantitative and qualitative fashion as well as the main advantages and drawbacks of each algorithm, applied to multi-threshold problem.Comment: 16 pages, this is a draft of the final version of the article sent to the Journa

Metaheuristic design of feedforward neural networks: a review of two decades of research

Over the past two decades, the feedforward neural network (FNN) optimization has been a key interest among the researchers and practitioners of multiple disciplines. The FNN optimization is often viewed from the various perspectives: the optimization of weights, network architecture, activation nodes, learning parameters, learning environment, etc. Researchers adopted such different viewpoints mainly to improve the FNN's generalization ability. The gradient-descent algorithm such as backpropagation has been widely applied to optimize the FNNs. Its success is evident from the FNN's application to numerous real-world problems. However, due to the limitations of the gradient-based optimization methods, the metaheuristic algorithms including the evolutionary algorithms, swarm intelligence, etc., are still being widely explored by the researchers aiming to obtain generalized FNN for a given problem. This article attempts to summarize a broad spectrum of FNN optimization methodologies including conventional and metaheuristic approaches. This article also tries to connect various research directions emerged out of the FNN optimization practices, such as evolving neural network (NN), cooperative coevolution NN, complex-valued NN, deep learning, extreme learning machine, quantum NN, etc. Additionally, it provides interesting research challenges for future research to cope-up with the present information processing era

Genetic learning particle swarm optimization

Social learning in particle swarm optimization (PSO) helps collective efficiency, whereas individual reproduction in genetic algorithm (GA) facilitates global effectiveness. This observation recently leads to hybridizing PSO with GA for performance enhancement. However, existing work uses a mechanistic parallel superposition and research has shown that construction of superior exemplars in PSO is more effective. Hence, this paper first develops a new framework so as to organically hybridize PSO with another optimization technique for “learning.” This leads to a generalized “learning PSO” paradigm, the *L-PSO. The paradigm is composed of two cascading layers, the first for exemplar generation and the second for particle updates as per a normal PSO algorithm. Using genetic evolution to breed promising exemplars for PSO, a specific novel *L-PSO algorithm is proposed in the paper, termed genetic learning PSO (GL-PSO). In particular, genetic operators are used to generate exemplars from which particles learn and, in turn, historical search information of particles provides guidance to the evolution of the exemplars. By performing crossover, mutation, and selection on the historical information of particles, the constructed exemplars are not only well diversified, but also high qualified. Under such guidance, the global search ability and search efficiency of PSO are both enhanced. The proposed GL-PSO is tested on 42 benchmark functions widely adopted in the literature. Experimental results verify the effectiveness, efficiency, robustness, and scalability of the GL-PSO