Evolutionary rule-based system for IPO underpricing prediction

Genetic And Evolutionary Computation Conference. Washington DC, USA, 25-29 June 2005Academic literature has documented for a long time the existence of important price gains in the first trading day of initial public offerings (IPOs).Most of the empirical analysis that has been carried out to date to explain underpricing through the offering structure is based on multiple linear regression. The alternative that we suggest is a rule-based system defined by a genetic algorithm using a Michigan approach. The system offers significant advantages in two areas, 1) a higher predictive performance, and 2) robustness to outlier patterns. The importance of the latter should be emphasized since the non-trivial task of selecting the patterns to be excluded from the training sample severely affects the results.We compare the predictions provided by the algorithm to those obtained from linear models frequently used in the IPO literature. The predictions are based on seven classic variables. The results suggest that there is a clear correlation between the selected variables and the initial return, therefore making possible to predict, to a certain extent, the closing price.This article has been financed by the Spanish founded research MCyT project TRACER, Ref: TIC2002-04498-C05-04M

Predicting IPO underpricing with genetic algorithms

This paper introduces a rule system to predict first-day returns of initial public offerings based on the structure of the offerings. The solution is based on a genetic algorithm using a Michigan approach. The performance of the system is assessed comparing it to a set of widely used machine learning algorithms. The results suggest that this approach offers significant advantages on two fronts: predictive performance and robustness to outlier patterns. The importance of the latter should be emphasized as the results in this domain are very sensitive to their presence.We acknowledge financial support granted by the Spanish Ministry of Science under contract TIN2008-06491-C04-03 (MSTAR) and Comunidad de Madrid (CCG10-UC3M/TIC-5029)

Metaheuristic approaches for optimal broadcasting design in metropolitan MANETs

11th International Conference on Computer Aided Systems Theory. Las Palmas de Gran Canaria, Spain, February 12-16, 2007Mobile Ad-hoc Networks (MANETs) are composed of a set of communicating devices which are able to spontaneously interconnect without any pre-existing infrastructure. In such scenario, broadcasting becomes an operation of tremendous importance for the own existence and operation of the network. Optimizing a broadcasting strategy in MANETs is a multiobjective problem accounting for three goals: reaching as many stations as possible, minimizing the network utilization, and reducing the duration of the operation itself. This research, which has been developed within the OPLINK project (http://oplink.lcc.uma.es), faces a wide study about this problem in metropolitan MANETs with up to seven different advanced multiobjective metaheuristics. They all compute Pareto fronts of solutions which empower a human designer with the ability of choosing the preferred configuration for the network. The quality of these fronts is evaluated by using the hypervolume metric. The obtained results show that the SPEA2 algorithm is the most accurate metaheuristic for solving the broadcasting problem.Publicad