## Predicting the exchange traded fund DIA with a combination of genetic algorithms and neural networks (2004)

Venue: | EXPERT SYSTEMS WITH APPLICATIONS |

Citations: | 6 - 0 self |

### BibTeX

@MISC{Versace04predictingthe,

author = {Massimiliano Versace and Rushi Bhatt and Oliver Hinds and Mark Shiffer},

title = {Predicting the exchange traded fund DIA with a combination of genetic algorithms and neural networks},

year = {2004}

}

### OpenURL

### Abstract

### Citations

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Citation Context ...space of system configuration is provided by GAs. GAs are a class of probabilistic search techniques that has been developed in the past decades as a general-purpose optimization tool (Holland, 1975; =-=Goldberg, 1989-=-). GAs mimic biological evolution by using a massively parallel search mechanism that involves (a) the initialization of a random population of systems (or candidate solutions) (b) ordering the system... |

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Citation Context ... perspective of statistical learning theory, and they usually yield good performance when used for real-world data analysis or in predicting nonlinear dynamical systems (Lapedes & Farber, 1987, 1988; =-=Haykin, 1999-=-; Duda, Hart, & Stork, 2000). ANNs have good generalization capabilities and are usually robust against noisy or missing data, all of which are highly desirable properties time series prediction. Impo... |

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Citation Context ...his very large space of system configuration is provided by GAs. GAs are a class of probabilistic search techniques that has been developed in the past decades as a general-purpose optimization tool (=-=Holland, 1975-=-; Goldberg, 1989). GAs mimic biological evolution by using a massively parallel search mechanism that involves (a) the initialization of a random population of systems (or candidate solutions) (b) ord... |

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Citation Context ... classification methods, although it is difficult to say in general in what kind of tasks mixtures-of-experts or any other kind of model will perform well on any given dataset (Kang & Oh, 1997, 2000; =-=Jordan & Jacobs, 1994-=-; Jordan & Xu, 1995; Waterhouse, 2002). In the ANNs literature, inappropriate topology selection and weight training are frequently blamed for poor performance. Increasing the number of hidden layer n... |

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Citation Context ...as well as the type of network and the input data type (database A or B; Table 3 for details). Every ith MON is composed of j networks to be selected from one of two types: Recurrent Backpropagation (=-=Elman, 1991-=-) or RBF networks (Duda et al., 2000). Elman networks are particularly suited for data when the temporal order of the data plays a crucial role (Elman, 1991), as it does in financial time series. RBF ... |

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Citation Context ...en obtained in combining GAs and ANNs in hybrid systems (Belew, McInnernay, & Schraudolph, 1990; Montana & Davis, 1989; Shaffer, Whitely, & Eshelman, 1990; Chang & Lippmann, 1991; Harp & Samad,s1991; =-=Miller, Todd, & Hedge, 1989-=-; Whitley, 1989; Kingdon, 1997; Venkatesan & Kumar, 2002). This paper presents an application of such a hybrid system that uses GAs for selecting an appropriate combination of networks, parameters and... |

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Citation Context ...for solving the problem if discovering appropriate parameterizations for ANNs, and good results have been obtained in combining GAs and ANNs in hybrid systems (Belew, McInnernay, & Schraudolph, 1990; =-=Montana & Davis, 1989-=-; Shaffer, Whitely, & Eshelman, 1990; Chang & Lippmann, 1991; Harp & Samad,s1991; Miller, Todd, & Hedge, 1989; Whitley, 1989; Kingdon, 1997; Venkatesan & Kumar, 2002). This paper presents an applicati... |

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Citation Context ...und theoretical basis from the perspective of statistical learning theory, and they usually yield good performance when used for real-world data analysis or in predicting nonlinear dynamical systems (=-=Lapedes & Farber, 1987-=-, 1988; Haykin, 1999; Duda, Hart, & Stork, 2000). ANNs have good generalization capabilities and are usually robust against noisy or missing data, all of which are highly desirable properties time ser... |

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Citation Context ... price trend of a given security. Parallel to the development if AI technologies, the last decade has also witnessed the development of several nonlinear time series models (Granger & Anderson, 1978, =-=Tong & Lim, 1980-=-, Engle, 1982). These nonlinear models, although not suffering from a priori assumption of a linear relationship between data and time series, are limited by the fact that an a priori assumption of th... |

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Citation Context ..., although it is difficult to say in general in what kind of tasks mixtures-of-experts or any other kind of model will perform well on any given dataset (Kang & Oh, 1997, 2000; Jordan & Jacobs, 1994; =-=Jordan & Xu, 1995-=-; Waterhouse, 2002). In the ANNs literature, inappropriate topology selection and weight training are frequently blamed for poor performance. Increasing the number of hidden layer neurons helps improv... |

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Citation Context ...e on financial applications of ANNs (Trippi & Turban, 1993; Azoff, 1994; Refenes, 1995; Gately, 1996; Odom & Sharda, 1990; Coleman, Graettinger, & Lawrence 1991; Salchenkerger, Vinar, & Lash, 1992;s2 =-=Tam & Kiang, 1992-=-; Wilson & Sharda, 1994, Weigend, Rumelhart, & Hubermann, 1992; Zhang, 1998, for a review). Although encouraging results have been reported in which ANNs-based systems outperformed widely-used well-es... |

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Citation Context ...e the capability of discovering associations between features that may not have been expected or looked for. There is an extensive literature on financial applications of ANNs (Trippi & Turban, 1993; =-=Azoff, 1994-=-; Refenes, 1995; Gately, 1996; Odom & Sharda, 1990; Coleman, Graettinger, & Lawrence 1991; Salchenkerger, Vinar, & Lash, 1992;s2 Tam & Kiang, 1992; Wilson & Sharda, 1994, Weigend, Rumelhart, & Huberma... |

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Citation Context ... in the apparently chaotic price trend of a given security. Parallel to the development if AI technologies, the last decade has also witnessed the development of several nonlinear time series models (=-=Granger & Anderson, 1978-=-, Tong & Lim, 1980, Engle, 1982). These nonlinear models, although not suffering from a priori assumption of a linear relationship between data and time series, are limited by the fact that an a prior... |

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Citation Context ...ications of ANNs (Trippi & Turban, 1993; Azoff, 1994; Refenes, 1995; Gately, 1996; Odom & Sharda, 1990; Coleman, Graettinger, & Lawrence 1991; Salchenkerger, Vinar, & Lash, 1992;s2 Tam & Kiang, 1992; =-=Wilson & Sharda, 1994-=-, Weigend, Rumelhart, & Hubermann, 1992; Zhang, 1998, for a review). Although encouraging results have been reported in which ANNs-based systems outperformed widely-used well-established statistical m... |

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Citation Context ...ns between features that may not have been expected or looked for. There is an extensive literature on financial applications of ANNs (Trippi & Turban, 1993; Azoff, 1994; Refenes, 1995; Gately, 1996; =-=Odom & Sharda, 1990-=-; Coleman, Graettinger, & Lawrence 1991; Salchenkerger, Vinar, & Lash, 1992;s2 Tam & Kiang, 1992; Wilson & Sharda, 1994, Weigend, Rumelhart, & Hubermann, 1992; Zhang, 1998, for a review). Although enc... |

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Citation Context ...fficult to say in general in what kind of tasks mixtures-of-experts or any other kind of model will perform well on any given dataset (Kang & Oh, 1997, 2000; Jordan & Jacobs, 1994; Jordan & Xu, 1995; =-=Waterhouse, 2002-=-). In the ANNs literature, inappropriate topology selection and weight training are frequently blamed for poor performance. Increasing the number of hidden layer neurons helps improving network perfor... |

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Citation Context ...rizations for ANNs, and good results have been obtained in combining GAs and ANNs in hybrid systems (Belew, McInnernay, & Schraudolph, 1990; Montana & Davis, 1989; Shaffer, Whitely, & Eshelman, 1990; =-=Chang & Lippmann, 1991-=-; Harp & Samad,s1991; Miller, Todd, & Hedge, 1989; Whitley, 1989; Kingdon, 1997; Venkatesan & Kumar, 2002). This paper presents an application of such a hybrid system that uses GAs for selecting an ap... |

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Citation Context ...rid systems (Belew, McInnernay, & Schraudolph, 1990; Montana & Davis, 1989; Shaffer, Whitely, & Eshelman, 1990; Chang & Lippmann, 1991; Harp & Samad,s1991; Miller, Todd, & Hedge, 1989; Whitley, 1989; =-=Kingdon, 1997-=-; Venkatesan & Kumar, 2002). This paper presents an application of such a hybrid system that uses GAs for selecting an appropriate combination of networks, parameters and training regimen for predicti... |

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Citation Context ...sed neural networks have the capability of discovering associations between features that may not have been expected or looked for. There is an extensive literature on financial applications of ANNs (=-=Trippi & Turban, 1993-=-; Azoff, 1994; Refenes, 1995; Gately, 1996; Odom & Sharda, 1990; Coleman, Graettinger, & Lawrence 1991; Salchenkerger, Vinar, & Lash, 1992;s2 Tam & Kiang, 1992; Wilson & Sharda, 1994, Weigend, Rumelha... |

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Citation Context ...Combining classifiers and boosting methods often lead to improvement in performance over single neural networks. Several studies (Pelikan, de Groot, & Wurtz, 1992; Ginzburg & Horn, 1994; Zhang, 1994; =-=Chu & Widjaja, 1994-=-) have shown improvement of performance in combining different ANNs or training similar ANNs on different features of the input data and then recombining their output in a later stage. Our usage of a ... |

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Citation Context ...al techniques and other classification methods, although it is difficult to say in general in what kind of tasks mixtures-of-experts or any other kind of model will perform well on any given dataset (=-=Kang & Oh, 1997-=-, 2000; Jordan & Jacobs, 1994; Jordan & Xu, 1995; Waterhouse, 2002). In the ANNs literature, inappropriate topology selection and weight training are frequently blamed for poor performance. Increasing... |

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Citation Context ...bove chance in a given testing set. Combining classifiers and boosting methods often lead to improvement in performance over single neural networks. Several studies (Pelikan, de Groot, & Wurtz, 1992; =-=Ginzburg & Horn, 1994-=-; Zhang, 1994; Chu & Widjaja, 1994) have shown improvement of performance in combining different ANNs or training similar ANNs on different features of the input data and then recombining their output... |

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Citation Context ...lew, McInnernay, & Schraudolph, 1990; Montana & Davis, 1989; Shaffer, Whitely, & Eshelman, 1990; Chang & Lippmann, 1991; Harp & Samad,s1991; Miller, Todd, & Hedge, 1989; Whitley, 1989; Kingdon, 1997; =-=Venkatesan & Kumar, 2002-=-). This paper presents an application of such a hybrid system that uses GAs for selecting an appropriate combination of networks, parameters and training regimen for predicting the direction of variat... |

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Citation Context ... if discovering appropriate parameterizations for ANNs, and good results have been obtained in combining GAs and ANNs in hybrid systems (Belew, McInnernay, & Schraudolph, 1990; Montana & Davis, 1989; =-=Shaffer, Whitely, & Eshelman, 1990-=-; Chang & Lippmann, 1991; Harp & Samad,s1991; Miller, Todd, & Hedge, 1989; Whitley, 1989; Kingdon, 1997; Venkatesan & Kumar, 2002). This paper presents an application of such a hybrid system that uses... |

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1 | Versace et al. / Expert Systems with Applications xx (2004) xxx–xxx 9 Refenes - M - 1995 |