1,720,979 research outputs found
Evaluation of Intelligent Quantitative Hedge Fund Management
No full textThis paper examines an intelligent recommendation strategy implementation for managing a long short hedge fund and reports on performance during market conditions at the onset of the liquidity crisis. A hedge fund utilizes long and short trading to manage an investment portfolio consisting of allocations to cash and share equity positions. This results in a combined long short portfolio that is leveraged to obtain a potentially greater market exposure with borrowed cash from short selling and is also hedged to protect against market downturns. The paper also examines effects of parameters for fuzzy rule base specification on trading performance.Muneer Buckley, Adam Ghandar, Zbigniew Michalewicz, Ralf Zurbrueg
An experimental study of multi-objective evolutionary algorithms for balancing interpretability and accuracy in fuzzy rulebase classifiers for financial prediction
No full textThis paper examines the advantages of simple models over more complex ones for financial prediction. This premise is examined using a genetic fuzzy framework. The interpretability of fuzzy systems is oftentimes put forward as a unique advantageous feature, sometimes to justify effort associated with using fuzzy classifiers instead of alternatives that can be more readily implemented using existing tools. Here we investigate if model interpretability can provide further benefits by realizing useful properties in computationally intelligent systems for financial modeling. We test an approach for learning momentum based strategies that predict price movements of the Bombay Stock Exchange (BSE). The paper contributes an experimental evaluation of the relationship between the predictive capability and interpretability of fuzzy rule based systems obtained using Multi- Objective Evolutionary Algorithms (MOEA.)Adam Ghandar and Zbigniew Michalewic
Controlling the tradeoff between time and quality by considering the reproductive potential of offspring
No full textTo improve evolutionary algorithm performance, this paper proposes a strategy to aid ascent and to help avoid premature convergence. Rapid increases in population fitness may result in premature convergence and sub optimal solution. A thresholding mechanism is proposed which discards child solutions only if their fitnesses are either too bad, in which case they are discarded, nor too good, in which case they pose the danger of premature convergence. This strategy is evaluated using two combinatorial optimization problems: the classic TSP benchmark and the more constrained vehicle routing problem (VRP) benchmark. The idea offers a relatively straight forward method for adding value by improving both runtime or solution quality. We consider a stochastic hill climber and a population based heuristic (an evolutionary algorithm).Eddy Parkinson, Adam Ghandar, Zbigniew Michalewicz, Andrew Tuso
A case for learning simpler rule sets with multiobjective evolutionary algorithms
No full textAlso has ISBN 3642225462 ; 9783642225468Fuzzy rules can be understood by people because of their specification in structured natural language. In a wide range of decision support applications in business, the interpretability of rule based systems is a distinguishing feature, and advantage over, possible alternate approaches that are perceived as "black boxes", for example in facilitating accountability. The motivation of this paper is to consider the relationships between rule simplicity (the key component of interpretability) and out-of-sample performance. Forecasting has been described as both art and science to emphasize intuition and experience aspects of the process: aspects of intelligence manifestly difficult to reproduce artificially. We explore, computationally, the widely appreciated forecasting "rule-of-thumb" expressed in Ockham's principle that "simpler explanations are more likely to be correct".Adam Ghandar, Zbigniew Michalewicz and Ralf Zurbruegghttp://dl.acm.org/citation.cfm?id=203281
Learning fuzzy rules with evolutionary algorithms - An analytic approach
No full textThis paper provides an analytical approach to fuzzy rule base optimization. While most research in the area has been done experimentally, our theoretical considerations give new insights to the task. Using the symmetry that is inherent in our formulation, we show that the problem of finding an optimal rule base can be reduced to solving a set of quadratic equations that generically have a one dimensional solution space. This alternate problem specification can enable new approaches for rule base optimization.Jens Kroeske, Adam Ghandar, Zbigniew Michalewicz and Frank Neuman
Learning multi-criteria fuzzy rule based decision models for hedge fund management
No full textAdam Ghandar, Zbigniew Michalewicz and Ralf Zurbruegghttp://www.smartframe.de/mic09/Home.htm
Estimating the reproductive potential of offspring in evolutionary heuristics for combinatorial optimization problems
No full textThis paper proposes a metaheuristic selection technique for controlling the progress of an evolutionary algorithm (and possibly other heuristic search techniques) to manipulate and make use of the relationship between runtime and solution quality. The paper examines the idea that very rapid increases in initial fitness may lead to premature convergence and a reported solution that is less than optimal. We examine the advantages provided by this metaheuristic selection technique in solving two different combinatorial optimization problems: including a "toy" problem of finding magic squares and a more realistic vehicle routing problem (VRP) benchmark. The method is found to be useful for finding both higher quality solutions with a marginally longer algorithm run time and for obtaining lower quality solutions in a shorter time. Furthermore, the impact on the search results is similar for both the magic square and the VRP problem providing evidence the method is scalable to other problem domains, and therefore is potentially a relatively straight forward addition to many heuristic approaches that can add value by improving both runtime and solution quality.Eddy Parkinson, Adam Ghandar, Zbigniew Michalewicz and Andrew Tusonhttp://cec2011.org
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
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