Comprehensibility, Overfitting and Co-Evolution in Genetic Programming for Technical Trading Rules

This thesis presents Genetic Programming methodologies to find successful and understandable technical trading rules for financial markets. The methods when applied to the S&P500 consistently beat the buy-and-hold strategy over a 12-year period, even when considering transaction costs. Some of the methods described discover rules that beat the S&P500 with 99% significance. The work describes the use of a complexity-penalizing factor to avoid overfitting and improve comprehensibility of the rules produced by GPs. The effect of this factor on the returns for this domain area is studied and the results indicated that it increased the predictive ability of the rules. A restricted set of operators and domain knowledge were used to improve comprehensibility. In particular, arithmetic operators were eliminated and a number of technical indicators in addition to the widely used moving averages, such as trend lines and local maxima and minima were added. A new evaluation function that tests for consistency of returns in addition to total returns is introduced. Different cooperative coevolutionary genetic programming strategies for improving returns are studied and the results analyzed. We find that paired collaborator coevolution has the best results

Approach to Job-Shop Scheduling Problem Using Rule Extraction Neural Network Model

This thesis focuses on the development of a rule-based scheduler, based on production rules derived from an artificial neural network performing job shop scheduling. This study constructs a hybrid intelligent model utilizing genetic algorithms for optimization and neural networks as learning tools. Genetic algorithms are used for obtaining optimal schedules and the neural network is trained on these schedules. Knowledge is extracted from the trained network. The performance of this extracted rule set is analyzed in scheduling a test set of 3x3 scheduling instances. The capability of the rule-based scheduler in providing near optimal solutions is also discussed in this thesis

Inside the black box: incentive regulation and incentive channeling on energy markets

This paper aims to achieve more insight into the complex interplay between the "external" market regulations and "internal" regulations (corporate governance) of energy firms. In recent years, many countries have deregulated the incumbent energy monopolies and have introduced new modes of regulation. However, the new incentive schemes do not represent an unmitigated success story. A major problem seems to be the neoclassical framework that is used for the analysis of energy markets. Therefore, an important goal of this paper is to clarify the boundaries of neoclassical regulation theory. There are two restrictions that hamper the neoclassical analysis of energy markets. The first is the difficulty of overcoming the widely held "black box" view of firms. The second is the idea that agents always make rational choices. The paper proposes a kind of theoretical division of labor for understanding the effectiveness of regulatory schemes in energy markets. Neoclassical economics points out to the sources of market failure, and helps to identify where in particular on the supply chain one is likely to observe natural monopolies. Transaction cost economics explains appropriate governance of vertical relations along the supply chain. And organizational theories can elucidate what happens within firms: their response to regulation, competition, and relations with suppliers. A research agenda for the third component is proposed, drawing on insights from New Sociological Institutionalism and organizational behavior

Predicting Software Reliability Using Ant Colony Optimization Technique with Travelling Salesman Problem for Software Process – A Literature Survey

Computer software has become an essential and important foundation in several versatile domains including medicine, engineering, etc. Consequently, with such widespread application of software, there is a need of ensuring software reliability and quality. In order to measure such software reliability and quality, one must wait until the software is implemented, tested and put for usage for a certain time period. Several software metrics have been proposed in the literature to avoid this lengthy and costly process, and they proved to be a good means of estimating software reliability. For this purpose, software reliability prediction models are built. Software reliability is one of the important software quality features. Software reliability is defined as the probability with which the software will operate without any failure for a specific period of time in a specified environment. Software reliability, when estimated in early phases of software development life cycle, saves lot of money and time as it prevents spending huge amount of money on fixing of defects in the software after it has been deployed to the client. Software reliability prediction is very challenging in starting phases of life cycle model. Software reliability estimation has thus become an important research area as every organization aims to produce reliable software, with good quality and error or defect free software. There are many software reliability growth models that are used to assess or predict the reliability of the software. These models help in developing robust and fault tolerant systems. In the past few years many software reliability models have been proposed for assessing reliability of software but developing accurate reliability prediction models is difficult due to the recurrent or frequent changes in data in the domain of software engineering. As a result, the software reliability prediction models built on one dataset show a significant decrease in their accuracy when they are used with new data. The main aim of this paper is to introduce a new approach that optimizes the accuracy of software reliability predictive models when used with raw data. Ant Colony Optimization Technique (ACOT) is proposed to predict software reliability based on data collected from literature. An ant colony system by combining with Travelling Sales Problem (TSP) algorithm has been used, which has been changed by implementing different algorithms and extra functionality, in an attempt to achieve better software reliability results with new data for software process. The intellectual behavior of the ant colony framework by means of a colony of cooperating artificial ants are resulting in very promising results. Keywords: Software Reliability, Reliability predictive Models, Bio-inspired Computing, Ant Colony Optimization technique, Ant Colon

Strongly agree or strongly disagree? Rating features in support vector machines

In linear classifiers, such as the Support Vector Machine (SVM), a score is associated with each feature and objects are assigned to classes based on the linear combination of the scores and the values of the features. Inspired by discrete psychometric scales, which measure the extent to which a factor is in agreement with a statement, we propose the Discrete Level Support Vector Machine (DILSVM) where the feature scores can only take on a discrete number of values, de fined by the so-called feature rating levels. The DILSVM classifier benefits from interpretability as it can be seen as a collection of Likert scales, one for each feature, where we rate the level of agreement with the positive class. To build the DILSVM classifier, we propose a Mixed Integer Linear Programming approach, as well as a collection of strategies to reduce the building times. Our computational experience shows that the 3-point and the 5-point DILSVM classifiers have comparable accuracy to the SVM with a substantial gain in interpretability and sparsity, thanks to the appropriate choice of the feature rating levels.Ministerio de Economía y CompetitividadJunta de AndalucíaFondo Europeo de Desarrollo Regiona

Supervised Classification and Mathematical Optimization

Data Mining techniques often ask for the resolution of optimization problems. Supervised Classification, and, in particular, Support Vector Machines, can be seen as a paradigmatic instance. In this paper, some links between Mathematical Optimization methods and Supervised Classification are emphasized. It is shown that many different areas of Mathematical Optimization play a central role in off-the-shelf Supervised Classification methods. Moreover, Mathematical Optimization turns out to be extremely useful to address important issues in Classification, such as identifying relevant variables, improving the interpretability of classifiers or dealing with vagueness/noise in the data

Discovering simple rules in complex data: A meta-learning algorithm and some surprising musical discoveries

AbstractThis article presents a new rule discovery algorithm named PLCG that can find simple, robust partial rule models (sets of classification rules) in complex data where it is difficult or impossible to find models that completely account for all the phenomena of interest. Technically speaking, PLCG is an ensemble learning method that learns multiple models via some standard rule learning algorithm, and then combines these into one final rule set via clustering, generalization, and heuristic rule selection. The algorithm was developed in the context of an interdisciplinary research project that aims at discovering fundamental principles of expressive music performance from large amounts of complex real-world data (specifically, measurements of actual performances by concert pianists). It will be shown that PLCG succeeds in finding some surprisingly simple and robust performance principles, some of which represent truly novel and musically meaningful discoveries. A set of more systematic experiments shows that PLCG usually discovers significantly simpler theories than more direct approaches to rule learning (including the state-of-the-art learning algorithm Ripper), while striking a compromise between coverage and precision. The experiments also show how easy it is to use PLCG as a meta-learning strategy to explore different parts of the space of rule models