Ensemble learning of rule-based evolutionary algorithm using multi-layer perceptron for supporting decisions in stock trading problems |
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Affiliation: | 1. Department of Information Management, College of Management, Chang Gung University, 259, Wen-Hwa 1st Road, Kwei-Shan, Taoyuan 333, Taiwan;2. Department of Industrial and Business Management, Graduate Institute of Business and Management, College of Management, Chang Gung University, 259, Wen-Hwa 1st Road, Kwei-Shan, Taoyuan 333, Taiwan;1. College of Mathematics and Information Science, Hebei University, Baoding, Hebei 071002, China;2. School of Economics and Management, Hebei University of Engineering, Handan, Hebei 056038, China;3. School of Computer Science and Technology, Hebei University, Baoding, Hebei 071002, China |
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Abstract: | Classification is a major research field in pattern recognition and many methods have been proposed to enhance the generalization ability of classification. Ensemble learning is one of the methods which enhance the classification ability by creating several classifiers and making decisions by combining their classification results. On the other hand, when we consider stock trading problems, trends of the markets are very important to decide to buy and sell stocks. In this case, the combinations of trading rules that can adapt to various kinds of trends are effective to judge the good timing of buying and selling. Therefore, in this paper, to enhance the performance of the stock trading system, ensemble learning mechanism of rule-based evolutionary algorithm using multi-layer perceptron (MLP) is proposed, where several rule pools for stock trading are created by rule-based evolutionary algorithm, and effective rule pools are adaptively selected by MLP and the selected rule pools cooperatively make decisions of stock trading. In the simulations, it is clarified that the proposed method shows higher profits or lower losses than the method without ensemble learning and buy&hold. |
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Keywords: | Ensemble learning Evolutionary computation Rule-based algorithm Multi-layer perceptron Trend judgment Stock trading |
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