Abstract | ||
---|---|---|
This paper is motivated by the interest in finding significant movements in financial stock prices. However, when the number
of profitable opportunities is scarce, the prediction of these cases is difficult. In a previous work, we have introduced
evolving decision rules (EDR) to detect financial opportunities. The objective of EDR is to classify the minority class (positive
cases) in imbalanced environments. EDR provides a range of classifications to find the best balance between not making mistakes
and not missing opportunities. The goals of this paper are: 1) to show that EDR produces a range of solutions to suit the
investor’s preferences and 2) to analyze the factors that benefit the performance of EDR. A series of experiments was performed.
EDR was tested using a data set from the London Financial Market. To analyze the EDR behaviour, another experiment was carried
out using three artificial data sets, whose solutions have different levels of complexity. Finally, an illustrative example
was provided to show how a bigger collection of rules is able to classify more positive cases in imbalanced data sets. Experimental
results show that: 1) EDR offers a range of solutions to fit the risk guidelines of different types of investors, and 2) a
bigger collection of rules is able to classify more positive cases in imbalanced environments. |
Year | DOI | Venue |
---|---|---|
2008 | 10.1007/s11633-008-0022-2 | International Journal of Automation and Computing |
Keywords | DocType | Volume |
genetic programming(gp),evolution of rules.,imbalanced classes,classification,machine learning,genetic programming gp,financial market,decision rule,profitability | Journal | 5 |
Issue | ISSN | Citations |
1 | 1751-8520 | 12 |
PageRank | References | Authors |
0.62 | 18 | 5 |
Name | Order | Citations | PageRank |
---|---|---|---|
alma | 1 | 12 | 0.62 |
lilia | 2 | 12 | 0.62 |
Alma Lilia Garcia-Almanza | 3 | 29 | 2.56 |
Edward P. K. Tsang | 4 | 899 | 87.77 |
Edward P. K. Tsang | 5 | 899 | 87.77 |