Authors:
Valerio Modugno
;
Francesca Possemato
and
Antonello Rizzi
Affiliation:
SAPIENZA University of Rome, Italy
Keyword(s):
Time Series Classification, Evolutionary Optimization, Granular Computing, Linear Piecewise Regression, Sequential Pattern Mining, Algorithmic Trading.
Related
Ontology
Subjects/Areas/Topics:
Artificial Intelligence
;
Computational Intelligence
;
Evolutionary Computing
;
Genetic Algorithms
;
Informatics in Control, Automation and Robotics
;
Intelligent Control Systems and Optimization
;
Knowledge Discovery and Information Retrieval
;
Knowledge-Based Systems
;
Machine Learning
;
Soft Computing
;
Symbolic Systems
Abstract:
Finance is a very broad field where the uncertainty plays a central role and every financial operator have to deal with it. In this paper we propose a new method for a trend prediction on financial time series combining a Linear Piecewise Regression with a granular computing framework. A set of parameters control the behavior of the whole system, thus making their fine tuning a critical optimization task. To this aim in this paper we employ an evolutionary optimization algorithm to tackle this crucial phase. We tested our system on both synthetic benchmarking data and on real financial time series. Our tests show very good classification results on benchmarking data. Results on real data, although not completely satisfactory, are encouraging, suggesting further developments.