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Biologically Inspired Algorithms for Financial Modelling

Anthony Brabazon Michael O’Neill

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Institución detectada Año de publicación Navegá Descargá Solicitá
No detectada 2006 SpringerLink

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Tipo de recurso:

libros

ISBN impreso

978-3-540-26252-7

ISBN electrónico

978-3-540-31307-6

Editor responsable

Springer Nature

País de edición

Reino Unido

Fecha de publicación

Información sobre derechos de publicación

© Springer-Verlag Berlin Heidelberg 2006

Tabla de contenidos

Index Prediction Using MLPs

Anthony Brabazon; Michael O’Neill

The key learning mechanisms in the PSO algorithm are driven by a metaphor of social behaviour: that good solutions uncovered by one member of a population are observed and copied by other members of the population. Of course, these learning mechanisms abound in business and other social settings. Good business strategies, good product designs, and good theories stimulate imitation and subsequent adaptation. Particle swarm algorithms have proven to be successful optimisation tools in a variety of applications, and they have clear potential for application to financial modelling.

Part III - Case Studies | Pp. 161-173

Index Prediction Using a MLP-GA Hybrid

Anthony Brabazon; Michael O’Neill

Although natural immune systems are complex and consist of a huge number of individual components, they can be considered as a distributed, selforganising system which operates in a dynamic environment. The mechanisms of natural immune systems, including their ability to distinguish between self and non-self states, and their ability to maintain a memory of previous invaders, provide a rich metaphorical inspiration for the design of patternrecognition and optimisation algorithms. In this chapter we have discussed how two of these metaphors, the negative selection process for T cells, and the clonal selection and expansion of B cells, can be applied to create a classification system and an optimisation algorithm, respectively.

Part III - Case Studies | Pp. 175-182

Index Trading Using Grammatical Evolution

Anthony Brabazon; Michael O’Neill

This chapter presented an introduction to grammatical evolution, one of the methodologies inspired by an evolutionary metaphor. In Part III of this book we present a number of case studies that illustrate the use of grammatical evolution to generate rules for index trading, intra-day trading, and foreign exchange trading; for the prediction of corporate failure; and finally for the classification of bond ratings. We now continue our exposition of biologically inspired methodologies with examples of social learning algorithms based on swarm intelligence.

Part III - Case Studies | Pp. 183-192

Adaptive Trading Using Grammatical Evolution

Anthony Brabazon; Michael O’Neill

The selection and implementation of a specific biologically inspired algorithm is only one component in the process of developing a complete trading system. No algorithm can compensate for poor-quality data or a poor trading system design. Earlier in the chapter, one of the major sources of information for short-term trading systems (technical indicators) was introduced. The next chapter discusses these in more detail.

Part III - Case Studies | Pp. 193-201

Intra-day Trading Using Grammatical Evolution

Anthony Brabazon; Michael O’Neill

Prostate cancer is one of the common cancers where there is good evidence for a larger genetic component to its etiology, but the genetic models are complex. It is highly likely that the PCa predisposition genes will be polygenic and may be interacting within families. Some PCa predisposition genes are likely to be DNA repair genes (e.g., ) but these may account for only a small proportion of young cases. However, the discovery of high-risk mutations has led to the first clinical targeted screening trial based on genotype in this disease (the IMPACT study, discussed above), and this trial will serve as a basis for further targeted screening and chemoprevention trials based on genotype as further genes are identified. The lessons learned in IMPACT will be screening uptake in a high-risk male population, the psychological issues of screening men at higher risk of PCa, the utility of PSA in a higher risk population, the identification of new and better biomarkers and the clinical parameters of PCa so identified.

Part III - Case Studies | Pp. 203-210

Automatic Generation of Foreign Exchange Trading Rules

Anthony Brabazon; Michael O’Neill

The key learning mechanisms in the PSO algorithm are driven by a metaphor of social behaviour: that good solutions uncovered by one member of a population are observed and copied by other members of the population. Of course, these learning mechanisms abound in business and other social settings. Good business strategies, good product designs, and good theories stimulate imitation and subsequent adaptation. Particle swarm algorithms have proven to be successful optimisation tools in a variety of applications, and they have clear potential for application to financial modelling.

Part III - Case Studies | Pp. 211-218

Corporate Failure Prediction Using Grammatical Evolution

Anthony Brabazon; Michael O’Neill

This chapter presented an introduction to grammatical evolution, one of the methodologies inspired by an evolutionary metaphor. In Part III of this book we present a number of case studies that illustrate the use of grammatical evolution to generate rules for index trading, intra-day trading, and foreign exchange trading; for the prediction of corporate failure; and finally for the classification of bond ratings. We now continue our exposition of biologically inspired methodologies with examples of social learning algorithms based on swarm intelligence.

Part III - Case Studies | Pp. 219-228

Corporate Failure Prediction Using an Ant Model

Anthony Brabazon; Michael O’Neill

This chapter presented an introduction to grammatical evolution, one of the methodologies inspired by an evolutionary metaphor. In Part III of this book we present a number of case studies that illustrate the use of grammatical evolution to generate rules for index trading, intra-day trading, and foreign exchange trading; for the prediction of corporate failure; and finally for the classification of bond ratings. We now continue our exposition of biologically inspired methodologies with examples of social learning algorithms based on swarm intelligence.

Part III - Case Studies | Pp. 229-238

Bond Rating Using Grammatical Evolution

Anthony Brabazon; Michael O’Neill

Prostate cancer is one of the common cancers where there is good evidence for a larger genetic component to its etiology, but the genetic models are complex. It is highly likely that the PCa predisposition genes will be polygenic and may be interacting within families. Some PCa predisposition genes are likely to be DNA repair genes (e.g., ) but these may account for only a small proportion of young cases. However, the discovery of high-risk mutations has led to the first clinical targeted screening trial based on genotype in this disease (the IMPACT study, discussed above), and this trial will serve as a basis for further targeted screening and chemoprevention trials based on genotype as further genes are identified. The lessons learned in IMPACT will be screening uptake in a high-risk male population, the psychological issues of screening men at higher risk of PCa, the utility of PSA in a higher risk population, the identification of new and better biomarkers and the clinical parameters of PCa so identified.

Part III - Case Studies | Pp. 239-248

Bond Rating Using AIS

Anthony Brabazon; Michael O’Neill

Prostate cancer is one of the common cancers where there is good evidence for a larger genetic component to its etiology, but the genetic models are complex. It is highly likely that the PCa predisposition genes will be polygenic and may be interacting within families. Some PCa predisposition genes are likely to be DNA repair genes (e.g., ) but these may account for only a small proportion of young cases. However, the discovery of high-risk mutations has led to the first clinical targeted screening trial based on genotype in this disease (the IMPACT study, discussed above), and this trial will serve as a basis for further targeted screening and chemoprevention trials based on genotype as further genes are identified. The lessons learned in IMPACT will be screening uptake in a high-risk male population, the psychological issues of screening men at higher risk of PCa, the utility of PSA in a higher risk population, the identification of new and better biomarkers and the clinical parameters of PCa so identified.

Part III - Case Studies | Pp. 249-253