特性选择的遗传算法应用于金融时间序列单调性预测:加密货币和巴西资产的实验案例
Rodrigo Colnago Contreras1,2, Vitor Trevelin Xavier da Silva2, Igor Trevelin Xavier da Silva2
1Department of Computer Science and Statistics, Institute of Biosciences, Letters and Exact Sciences, São Paulo State University (UNESP), São José do Rio Preto 15054-000, SP, Brazil.
Entropy (Basel, Switzerland)
|March 28, 2024
概括
这项研究使用机器学习和遗传算法来预测金融时间序列的每日运动方向,包括比特币和Ibovespa. 功能选择改善了这些加密货币和股票市场预测的模型性能.
科学领域:
- 量化金融 量化金融
- 计算金融是指计算金融.
- 机器学习应用 机器学习应用
背景情况:
- 投资者历来预测金融资产价值;加密货币现在是重要的资产.
- 机器学习 (ML) 越来越多地用于投资自动化和决策支持.
- 准确预测金融时间序列运动方向对于投资策略至关重要.
研究的目的:
- 使用ML分类模型预测金融时间序列的每日运动方向.
- 应用数据预处理和特征选择技术,以提高预测准确度.
- 为了评估比特币,Ibovespa和Vale时间序列数据的模型性能.
主要方法:
- 收集比特币,Ibovespa和Vale的财务时间序列数据.
- 应用针对财务时间序列量身定制的数据预处理技术.
- 利用遗传算法进行特征选择,以确定最佳的输入属性.
- 培训和测试各种机器学习分类模型.
主要成果:
- 最好的预测模型实现了ROC曲线下的区域 (AUC) 比特币的得分为0.61,Ibovespa的得分为0.62,Vale的得分为0.58.
- 使用遗传算法进行特征选择通常会在测试资产中改善模型性能.
- 以百分比变化表示的财务时间序列显示出较少属性具有良好的预测性表现.
结论:
- 特性选择是提高ML模型在金融时间序列预测中的性能的一种有价值的技术.
- 时间序列数据的百分比变化可以产生有效的预测,即使具有较少的特征集.
- 该研究表明了ML和遗传算法的潜力,用于预测金融资产流动的方向.
相关概念视频
Quantifying and Rejecting Outliers: The Grubbs Test
1.6K
Sometimes, a data set can have a recorded numerical observation that greatly deviates from the rest of the data. Assuming that the data is normally distributed, a statistical method called the Grubbs test can be used to determine whether the observation is truly an outlier. To perform a two-tailed Grubbs test, first, calculate the absolute difference between the outlier and the mean. Then, calculate the ratio between this difference and the standard deviation of the sample. This...
1.6K
Prediction Intervals
2.3K
The interval estimate of any variable is known as the prediction interval. It helps decide if a point estimate is dependable.
However, the point estimate is most likely not the exact value of the population parameter, but close to it. After calculating point estimates, we construct interval estimates, called confidence intervals or prediction intervals. This prediction interval comprises a range of values unlike the point estimate and is a better predictor of the observed sample value, y.
However, the point estimate is most likely not the exact value of the population parameter, but close to it. After calculating point estimates, we construct interval estimates, called confidence intervals or prediction intervals. This prediction interval comprises a range of values unlike the point estimate and is a better predictor of the observed sample value, y.
2.3K
Frequency-dependent Selection
22.0K
When the fitness of a trait is influenced by how common it is (i.e., its frequency) relative to different traits within a population, this is referred to as frequency-dependent selection. Frequency-dependent selection may occur between species or within a single species. This type of selection can either be positive—with more common phenotypes having higher fitness—or negative, with rarer phenotypes conferring increased fitness.
22.0K
Regression Analysis
5.7K
Regression analysis is a statistical tool that describes a mathematical relationship between a dependent variable and one or more independent variables.
In regression analysis, a regression equation is determined based on the line of best fit– a line that best fits the data points plotted in a graph. This line is also called the regression line. The algebraic equation for the regression line is called the regression equation. It is represented as:
In regression analysis, a regression equation is determined based on the line of best fit– a line that best fits the data points plotted in a graph. This line is also called the regression line. The algebraic equation for the regression line is called the regression equation. It is represented as:
5.7K
Survival Tree
84
Survival trees are a non-parametric method used in survival analysis to model the relationship between a set of covariates and the time until an event of interest occurs, often referred to as the "time-to-event" or "survival time." This method is particularly useful when dealing with censored data, where the event has not occurred for some individuals by the end of the study period, or when the exact time of the event is unknown.
Building a Survival Tree
Constructing a...
Building a Survival Tree
Constructing a...
84
Expected Frequencies in Goodness-of-Fit Tests
2.5K
A goodness-of-fit test is conducted to determine whether the observed frequency values are statistically similar to the frequencies expected for the dataset. Suppose the expected frequencies for a dataset are equal such as when predicting the frequency of any number appearing when casting a die. In that case, the expected frequency is the ratio of the total number of observations (n) to the number of categories (k).
2.5K


