A hybrid stock selection model using genetic algorithms and support vector regression

In the areas of investment research and applications, feasible quantitative models include methodologies stemming from soft computing for prediction of financial time series, multi-objective optimization of investment return and risk reduction, as well as selection of investment instruments for portfolio management based on asset ranking using a variety of input variables and historical data, etc. Among all these, stock selection has long been identified as a challenging and important task. This line of research is highly contingent upon reliable stock ranking for successful portfolio construction. Recent advances in machine learning and data mining are leading to significant opportunities to solve these problems more effectively. In this study, we aim at developing a methodology for effective stock selection using support vector regression (SVR) as well as genetic algorithms (GAs). We first employ the SVR method to generate surrogates for actual stock returns that in turn serve to provide reliable rankings of stocks. Top-ranked stocks can thus be selected to form a portfolio. On top of this model, the GA is employed for the optimization of model parameters, and feature selection to acquire optimal subsets of input variables to the SVR model. We will show that the investment returns provided by our proposed methodology significantly outperform the benchmark. Based upon these promising results, we expect this hybrid GA-SVR methodology to advance the research in soft computing for finance and provide an effective solution to stock selection in practice.     

Randomized function evaluation on a ring

LetR be a unidirectional asynchronous ring ofn identical processors each with a single input bit. Letf be any cyclic nonconstant function ofn boolean variables. Moran and Warmuth (1986) prove that anydeterministic algorithm that evaluatesf onR has communication complexity (n logn) bits. They also construct a family of cyclic nonconstant boolean functions that can be evaluated inO(n logn) bits by a deterministic algorithm.This contrasts with the following new results:

An efficient algorithm for maxdominance, with applications

Given a planar setS ofn points,maxdominance problems consist of computing, for everyp S, some function of the maxima of the subset ofS that is dominated byp. A number of geometric and graph-theoretic problems can be formulated as maxdominance problems, including the problem of computing a minimum independent dominating set in a permutation graph, the related problem of finding the shortest maximal increasing subsequence, the problem of enumerating restricted empty rectangles, and the related problem of computing the largest empty rectangle. We give an algorithm for optimally solving a class of maxdominance problems. A straightforward application of our algorithm yields improved time bounds for the above-mentioned problems. The techniques used in the algorithm are of independent interest, and include a linear-time tree computation that is likely to arise in other contexts.The research of this author was supported by the Office of Naval Research under Grants N00014-84-K-0502 and N00014-86-K-0689, and the National Science Foundation under Grant DCR-8451393, with matching funds from AT&T.This author's research was supported by the National Science Foundation under Grant DCR-8506361.     

Distributed match-making

In many distributed computing environments, processes are concurrently executed by nodes in a store- and-forward communication network. Distributed control issues as diverse as name server, mutual exclusion, and replicated data management involve making matches between such processes. We propose a formal problem called distributed match-making as the generic paradigm. Algorithms for distributed match-making are developed and the complexity is investigated in terms of messages and in terms of storage needed. Lower bounds on the complexity of distributed match-making are established. Optimal algorithms, or nearly optimal algorithms, are given for particular network topologies.The work of the second author was supported in part by the Office of Naval Research under Contract N00014-85-K-0168, by the Office of Army Research under Contract DAAG29-84-K-0058, by the National Science Foundation under Grant DCR-83-02391, and by the Defence Advanced Research Projects Agency (DARPA) under Contract N00014-83-K-0125. Current address of both authors: CWI, Kruislaan 413, 1098 SJ Amsterdam, The Netherlands.     

Randomized range-maxima in nearly-constant parallel time

Given an array ofn input numbers, therange-maxima problem is that of preprocessing the data so that queries of the type what is the maximum value in subarray [i..j] can be answered quickly using one processor. We present a randomized preprocessing algorithm that runs inO(log^* n) time with high probability, using an optimal number of processors on a CRCW PRAM; each query can be processed in constant time by one processor. We also present a randomized algorithm for a parallel comparison model. Using an optimal number of processors, the preprocessing algorithm runs inO( (n)) time with high probability; each query can be processed inO ( (n)) time by one processor. (As is standard, (n) is the inverse of Ackermann function.) A constant time query can be achieved by some slowdown in the performance of the preprocessing stage.     

A faster divide-and-conquer algorithm for constructing delaunay triangulations

An easily implemented modification to the divide-and-conquer algorithm for computing the Delaunay triangulation ofn sites in the plane is presented. The change reduces its (n logn) expected running time toO(n log logn) for a large class of distributions that includes the uniform distribution in the unit square. Experimental evidence presented demonstrates that the modified algorithm performs very well forn2¹⁶, the range of the experiments. It is conjectured that the average number of edges it creates—a good measure of its efficiency—is no more than twice optimal forn less than seven trillion. The improvement is shown to extend to the computation of the Delaunay triangulation in theL _p metric for 1<p.This research was supported by National Science Foundation Grants DCR-8352081 and DCR-8416190.     

An improved algorithm for finding the median distributively

Given two processes, each having a total-ordered set ofn elements, we present a distributed algorithm for finding median of these 2n elements using no more than logn +O(logn) messages, but if the elements are distinct, only logn +O(1) messages will be required. The communication complexity of our algorithm is better than the previously known result which takes 2 logn messages.     

On problem transformability in VLSI

The two basic performance parameters that capture the complexity of any VLSI chip are the area of the chip,A, and the computation time,T. A systematic approach for establishing lower bounds onA is presented. This approach relatesA to the bisection flow, . A theory of problem transformation based on , which captures bothAT ² andA complexity, is developed. A fundamental problem, namely, element uniqueness, is chosen as a computational prototype. It is shown under general input/output protocol assumptions that any chip that decides ifn elements (each with (1+)lognbits) are unique must have =(nlogn), and thus, AT²=(n ²log² n), andA= (nlogn). A theory of VLSI transformability reveals the inherentAT ² andA complexity of a large class of related problems.This work was supported in part by the Semiconductor Research Corporation under contract RSCH 84-06-049-6.     

基于危险理论的人工免疫原理与应用*

侧重以危险理论的基本机制为线索,对危险理论的研究现状加以系统论述.首先以危险理论的免疫模型入手,归纳提炼出仿真机理并建立起隐喻算法;介绍其中具有代表性领域中的应用情况;最后对基于危险理论的人工免疫研究的下一步工作进行展望.     

基于遗传算法的产品制造的优化调度

研究了企业产品制造的调度问题 ,并建立了调度的最小模型。引入效率函数 ,运用遗传退火进化算法实现了调度决策的优化 ;提出了将遗传退火算法和分派规则相结合的调度策略和动态编码的方法 ,放宽了约束条件 ,提高了搜索效率和速度 ,保证其全局收敛性。