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.     

基于局部线性嵌入和支持向量机回归的TBM施工参数预测

依托吉林引松工程开展隧道掘进机（TBM）施工参数预测研究,提出TBM施工数据分段提取算法,提取上升段前30 s的总推进力、刀盘转速、推进速度、刀盘扭矩、刀盘转速电位器设定值、推进速度电位器设定值、贯入度、贯入度指数(FPI)、扭矩切深指数(TPI)9个参数作为输入;通过局部线性嵌入（LLE）完成对上升段数据特征的降维;基于支持向量机回归（SVR）建立TBM施工控制参数（推进速度、刀盘转速）和负载参数（总推进力、刀盘扭矩）预测模型. 分析是否结合前一掘进循环的FPI、TPI指数进行预测对预测效果的影响. 结果表明,上述方法在推进速度、刀盘转速、总推进力、刀盘扭矩的预测中均取得了较好的预测效果,平均预测绝对百分比误差均小于15%,验证了该预测方法的有效性,该方法可以为TBM现场施工提供指导.     

EFFECT OF ALLOY ELEMENTS ON QUASIEQUILIBRIUM MICROSTRUCTURE IN Fe-Mn-Ni-Cr STEELS

The microstructures of Fe-Mn-Ni-Cr steels with medium carbon and the effect of alloy ele-ments on them have been investigated by means of X-ray diffraction quantitative phase ana-lyses,metallography and hardness tests.The volume fraction of martensite in steels quenchedat 1100℃ can be expressed as:f_M~(1100)=162.643-15.482Mn-7.36Ni-4.286(Cr+Mo+V)Based on this expression,the quasi-equilibrium microstructure diagram has been obtained.Itis shown that the effect of Mn on the austenite stability is greater than that of Ni.The equiva-lent [Ni]=2.104Mn+Ni and equivalent [Cr]=Cr+Mo+V.The driving force for martensite transformation at M_s point has been calculated to hedrastically decreased by element Mn.     

陶瓷隧道窑单耗统计数学模型的研究

本文依据陶瓷隧道窑热工测试数据和热平衡报告,采用多元回归和逐步回归统计理论,得到了陶瓷隧道窑单位重量热耗的多元回归数学模型和逐步回归数学模型。利用该数学模型可对单耗进行预测和控制。     

电导法测定水的全盐量

采用电导法研究了水溶液中盐的浓度与其电导率的关系，根据模拟水样和实际水样在电导率与全盐量的关系上有较好的吻合性，介绍了电导法测定水中全盐量的方法，结果表明在低浓度范围内电导率与盐浓度成线性关系，与传统的重量法相比，具有快速、简便、准确度高的特点。     

Automatic classification and prediction models for early Parkinson’s disease diagnosis from SPECT imaging

Early and accurate diagnosis of Parkinson’s disease (PD) is important for early management, proper prognostication and for initiating neuroprotective therapies once they become available. Recent neuroimaging techniques such as dopaminergic imaging using single photon emission computed tomography (SPECT) with ¹²³I-Ioflupane (DaTSCAN) have shown to detect even early stages of the disease. In this paper, we use the striatal binding ratio (SBR) values that are calculated from the ¹²³I-Ioflupane SPECT scans (as obtained from the Parkinson’s progression markers initiative (PPMI) database) for developing automatic classification and prediction/prognostic models for early PD. We used support vector machine (SVM) and logistic regression in the model building process. We observe that the SVM classifier with RBF kernel produced a high accuracy of more than 96% in classifying subjects into early PD and healthy normal; and the logistic model for estimating the risk of PD also produced high degree of fitting with statistical significance indicating its usefulness in PD risk estimation. Hence, we infer that such models have the potential to aid the clinicians in the PD diagnostic process.     

隐目标回归算法设计研究

对常用的回归方法进行研究.此类方法虽然几何解释明确、易于求解,但均须事先确定(或假定)变量间的因果关系,再考虑建模,在实际应用中,对于很难确定变量的因果关系的问题,如物联网数据分析,上述方法就会失效.为此,提出一种无需假定因变量的隐目标回归方法.该方法易于核化,可以推广到非线性回归问题.通过人工数据和国际标准数据集上的实验验证了所提算法的有效性.     

LDE融合光谱回归分类的光照变化人脸识别

针对光照变化人脸识别问题中传统的光谱回归算法不能很好地进行特征提取而严重影响识别性能的问题,提出了局部判别嵌入优化光谱回归分类的人脸识别算法。计算出训练样本的特征向量;借助于数据的近邻和分类关系,利用局部判别嵌入算法构建分类问题所需的嵌入,同时学习每种分类的子流形所需的嵌入;利用光谱回归分类算法计算投影矩阵,并利用最近邻分类器完成人脸的识别。在两大人脸数据库扩展YaleB及CMU PIE上的实验验证了该算法的有效性,实验结果表明,相比其他光谱回归算法,该算法取得了更高的识别率、更好的工作特性,并且降低了计算复杂度。     

FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS

Abstract. Three linear methods for estimating parameter values of vector auto-regressive moving-average (VARMA) models which are in general at least an order of magnitude faster than maximum likelihood estimation are developed in this paper. Simulation results for different model structures with varying numbers of component series and observations suggest that the accuracy of these procedures is in most cases comparable with maximum likelihood estimation. Procedures for estimating parameter standard error are also discussed and used for identification of nonzero elements in the VARMA polynomial structures. These methods can also be used to establish the order of the VARMA structure. We note, however, that the primary purpose of these estimates is to generate initial estimates for the nonzero parameters in order to reduce subsequent computational time of more efficient estimation procedures such as exact maximum likelihood.