Multiobjective Evolutionary Optimization of Type-2 Fuzzy Rule-Based Systems for Financial Data Classification

Classification techniques are becoming essential in the financial world for reducing risks and possible disasters. Managers are interested in not only high accuracy, but in interpretability and transparency as well. It is widely accepted now that the comprehension of how inputs and outputs are related to each other is crucial for taking operative and strategic decisions. Furthermore, inputs are often affected by contextual factors and characterized by a high level of uncertainty. In addition, financial data are usually highly skewed toward the majority class. With the aim of achieving high accuracies, preserving the interpretability, and managing uncertain and unbalanced data, this paper presents a novel method to deal with financial data classification by adopting type-2 fuzzy rule-based classifiers (FRBCs) generated from data by a multiobjective evolutionary algorithm (MOEA). The classifiers employ an approach, denoted as scaled dominance, for defining rule weights in such a way to help minority classes to be correctly classified. In particular, we have extended PAES-RCS, an MOEA-based approach to learn concurrently the rule and data bases of FRBCs, for managing both interval type-2 fuzzy sets and unbalanced datasets. To the best of our knowledge, this is the first work that generates type-2 FRBCs by concurrently maximizing accuracy and minimizing the number of rules and the rule length with the objective of producing interpretable models of real-world skewed and incomplete financial datasets. The rule bases are generated by exploiting a rule and condition selection (RCS) approach, which selects a reduced number of rules from a heuristically generated rule base and a reduced number of conditions for each selected rule during the evolutionary process. The weight associated with each rule is scaled by the scaled dominance approach on the fuzzy frequency of the output class, in order to give a higher weight to the minority class. As regards the data base learning, the membership function parameters of the interval type-2 fuzzy sets used in the rules are learned concurrently to the application of RCS. Unbalanced datasets are managed by using, in addition to complexity, selectivity and specificity as objectives of the MOEA rather than only the classification rate. We tested our approach, named IT2-PAES-RCS, on 11 financial datasets and compared our results with the ones obtained by the original PAES-RCS with three objectives and with and without scaled dominance, the FRBCs, fuzzy association rule-based classification model for high-dimensional dataset (FARC-HD) and fuzzy unordered rules induction algorithm (FURIA), the classical C4.5 decision tree algorithm, and its cost-sensitive version. Using nonparametric statistical tests, we will show that IT2-PAES-RCS generates FRBCs with, on average, accuracy statistically comparable with and complexity lower than the ones generated by the two versions of the original PAES-RCS. Further, the FRBCs generated by FARC-HD and FURIA and the decision trees computed by C4.5 and its cost-sensitive version, despite the highest complexity, result to be less accurate than the FRBCs generated by IT2-PAES-RCS. Finally, we will highlight how these FRBCs are easily interpretable by showing and discussing one of them

Evolutionary Learning of Fuzzy Rules for Regression

The objective of this PhD Thesis is to design Genetic Fuzzy Systems (GFS) that learn Fuzzy Rule Based Systems to solve regression problems in a general manner. Particularly, the aim is to obtain models with low complexity while maintaining high precision without using expert-knowledge about the problem to be solved. This means that the GFSs have to work with raw data, that is, without any preprocessing that help the learning process to solve a particular problem. This is of particular interest, when no knowledge about the input data is available or for a first approximation to the problem. Moreover, within this objective, GFSs have to cope with large scale problems, thus the algorithms have to scale with the data

Genetically Engineered Adaptive Resonance Theory (art) Neural Network Architectures

Fuzzy ARTMAP (FAM) is currently considered to be one of the premier neural network architectures in solving classification problems. One of the limitations of Fuzzy ARTMAP that has been extensively reported in the literature is the category proliferation problem. That is Fuzzy ARTMAP has the tendency of increasing its network size, as it is confronted with more and more data, especially if the data is of noisy and/or overlapping nature. To remedy this problem a number of researchers have designed modifications to the training phase of Fuzzy ARTMAP that had the beneficial effect of reducing this phenomenon. In this thesis we propose a new approach to handle the category proliferation problem in Fuzzy ARTMAP by evolving trained FAM architectures. We refer to the resulting FAM architectures as GFAM. We demonstrate through extensive experimentation that an evolved FAM (GFAM) exhibits good (sometimes optimal) generalization, small size (sometimes optimal size), and requires reasonable computational effort to produce an optimal or sub-optimal network. Furthermore, comparisons of the GFAM with other approaches, proposed in the literature, which address the FAM category proliferation problem, illustrate that the GFAM has a number of advantages (i.e. produces smaller or equal size architectures, of better or as good generalization, with reduced computational complexity). Furthermore, in this dissertation we have extended the approach used with Fuzzy ARTMAP to other ART architectures, such as Ellipsoidal ARTMAP (EAM) and Gaussian ARTMAP (GAM) that also suffer from the ART category proliferation problem. Thus, we have designed and experimented with genetically engineered EAM and GAM architectures, named GEAM and GGAM. Comparisons of GEAM and GGAM with other ART architectures that were introduced in the ART literature, addressing the category proliferation problem, illustrate similar advantages observed by GFAM (i.e, GEAM and GGAM produce smaller size ART architectures, of better or improved generalization, with reduced computational complexity). Moverover, to optimally cover the input space of a problem, we proposed a genetically engineered ART architecture that combines the category structures of two different ART networks, FAM and EAM. We named this architecture UART (Universal ART). We analyzed the order of search in UART, that is the order according to which a FAM category or an EAM category is accessed in UART. This analysis allowed us to better understand UART\u27s functionality. Experiments were also conducted to compare UART with other ART architectures, in a similar fashion as GFAM and GEAM were compared. Similar conclusions were drawn from this comparison, as in the comparison of GFAM and GEAM with other ART architectures. Finally, we analyzed the computational complexity of the genetically engineered ART architectures and we compared it with the computational complexity of other ART architectures, introduced into the literature. This analytical comparison verified our claim that the genetically engineered ART architectures produce better generalization and smaller sizes ART structures, at reduced computational complexity, compared to other ART approaches. In review, a methodology was introduced of how to combine the answers (categories) of ART architectures, using genetic algorithms. This methodology was successfully applied to FAM, EAM and FAM and EAM ART architectures, with success, resulting in ART neural networks which outperformed other ART architectures, previously introduced into the literature, and quite often produced ART architectures that attained optimal classification results, at reduced computational complexity

Technical and Fundamental Features Analysis for Stock Market Prediction with Data Mining Methods

Predicting stock prices is an essential objective in the financial world. Forecasting stock returns and their risk represents one of the most critical concerns of market decision makers. This thesis investigates the stock price forecasting with three approaches from the data mining concept and shows how different elements in the stock price can help to enhance the accuracy of our prediction. For this reason, the first and second approaches capture many fundamental indicators from the stocks and implement them as explanatory variables to do stock price classification and forecasting. In the third approach, technical features from the candlestick representation of the share prices are extracted and used to enhance the accuracy of the forecasting. In each approach, different tools and techniques from data mining and machine learning are employed to justify why the forecasting is working. Furthermore, since the idea is to evaluate the potential of features in the stock trend forecasting, therefore we diversify our experiments using both technical and fundamental features. Therefore, in the first approach, a three-stage methodology is developed while in the first step, a comprehensive investigation of all possible features which can be effective on stocks risk and return are identified. Then, in the next stage, risk and return are predicted by applying data mining techniques for the given features. Finally, we develop a hybrid algorithm, based on some filters and function-based clustering; and re-predicted the risk and return of stocks. In the second approach, instead of using single classifiers, a fusion model is proposed based on the use of multiple diverse base classifiers that operate on a common input and a meta-classifier that learns from base classifiers’ outputs to obtain a more precise stock return and risk predictions. A set of diversity methods, including Bagging, Boosting, and AdaBoost, is applied to create diversity in classifier combinations. Moreover, the number and procedure for selecting base classifiers for fusion schemes are determined using a methodology based on dataset clustering and candidate classifiers’ accuracy. Finally, in the third approach, a novel forecasting model for stock markets based on the wrapper ANFIS (Adaptive Neural Fuzzy Inference System) – ICA (Imperialist Competitive Algorithm) and technical analysis of Japanese Candlestick is presented. Two approaches of Raw-based and Signal-based are devised to extract the model’s input variables and buy and sell signals are considered as output variables. To illustrate the methodologies, for the first and second approaches, Tehran Stock Exchange (TSE) data for the period from 2002 to 2012 are applied, while for the third approach, we used General Motors and Dow Jones indexes.Predicting stock prices is an essential objective in the financial world. Forecasting stock returns and their risk represents one of the most critical concerns of market decision makers. This thesis investigates the stock price forecasting with three approaches from the data mining concept and shows how different elements in the stock price can help to enhance the accuracy of our prediction. For this reason, the first and second approaches capture many fundamental indicators from the stocks and implement them as explanatory variables to do stock price classification and forecasting. In the third approach, technical features from the candlestick representation of the share prices are extracted and used to enhance the accuracy of the forecasting. In each approach, different tools and techniques from data mining and machine learning are employed to justify why the forecasting is working. Furthermore, since the idea is to evaluate the potential of features in the stock trend forecasting, therefore we diversify our experiments using both technical and fundamental features. Therefore, in the first approach, a three-stage methodology is developed while in the first step, a comprehensive investigation of all possible features which can be effective on stocks risk and return are identified. Then, in the next stage, risk and return are predicted by applying data mining techniques for the given features. Finally, we develop a hybrid algorithm, based on some filters and function-based clustering; and re-predicted the risk and return of stocks. In the second approach, instead of using single classifiers, a fusion model is proposed based on the use of multiple diverse base classifiers that operate on a common input and a meta-classifier that learns from base classifiers’ outputs to obtain a more precise stock return and risk predictions. A set of diversity methods, including Bagging, Boosting, and AdaBoost, is applied to create diversity in classifier combinations. Moreover, the number and procedure for selecting base classifiers for fusion schemes are determined using a methodology based on dataset clustering and candidate classifiers’ accuracy. Finally, in the third approach, a novel forecasting model for stock markets based on the wrapper ANFIS (Adaptive Neural Fuzzy Inference System) – ICA (Imperialist Competitive Algorithm) and technical analysis of Japanese Candlestick is presented. Two approaches of Raw-based and Signal-based are devised to extract the model’s input variables and buy and sell signals are considered as output variables. To illustrate the methodologies, for the first and second approaches, Tehran Stock Exchange (TSE) data for the period from 2002 to 2012 are applied, while for the third approach, we used General Motors and Dow Jones indexes.154 - Katedra financívyhově

Data fusion by using machine learning and computational intelligence techniques for medical image analysis and classification

Data fusion is the process of integrating information from multiple sources to produce specific, comprehensive, unified data about an entity. Data fusion is categorized as low level, feature level and decision level. This research is focused on both investigating and developing feature- and decision-level data fusion for automated image analysis and classification. The common procedure for solving these problems can be described as: 1) process image for region of interest\u27 detection, 2) extract features from the region of interest and 3) create learning model based on the feature data. Image processing techniques were performed using edge detection, a histogram threshold and a color drop algorithm to determine the region of interest. The extracted features were low-level features, including textual, color and symmetrical features. For image analysis and classification, feature- and decision-level data fusion techniques are investigated for model learning using and integrating computational intelligence and machine learning techniques. These techniques include artificial neural networks, evolutionary algorithms, particle swarm optimization, decision tree, clustering algorithms, fuzzy logic inference, and voting algorithms. This work presents both the investigation and development of data fusion techniques for the application areas of dermoscopy skin lesion discrimination, content-based image retrieval, and graphic image type classification --Abstract, page v