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

REBA: A Refinement-Based Architecture for Knowledge Representation and Reasoning in Robotics

This paper describes an architecture for robots that combines the complementary strengths of probabilistic graphical models and declarative programming to represent and reason with logic-based and probabilistic descriptions of uncertainty and domain knowledge. An action language is extended to support non-boolean fluents and non-deterministic causal laws. This action language is used to describe tightly-coupled transition diagrams at two levels of granularity, with a fine-resolution transition diagram defined as a refinement of a coarse-resolution transition diagram of the domain. The coarse-resolution system description, and a history that includes (prioritized) defaults, are translated into an Answer Set Prolog (ASP) program. For any given goal, inference in the ASP program provides a plan of abstract actions. To implement each such abstract action, the robot automatically zooms to the part of the fine-resolution transition diagram relevant to this action. A probabilistic representation of the uncertainty in sensing and actuation is then included in this zoomed fine-resolution system description, and used to construct a partially observable Markov decision process (POMDP). The policy obtained by solving the POMDP is invoked repeatedly to implement the abstract action as a sequence of concrete actions, with the corresponding observations being recorded in the coarse-resolution history and used for subsequent reasoning. The architecture is evaluated in simulation and on a mobile robot moving objects in an indoor domain, to show that it supports reasoning with violation of defaults, noisy observations and unreliable actions, in complex domains.Comment: 72 pages, 14 figure