INES - National Institute of Science and Technology for Software Engineering

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  • INES at GECCO 2010

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    Publicado em April 23rd, 2010Uncategorized

    INES researchers had a paper accepted at GECCO 2010 (ACM Genetic and Evolutionary Computation Conference), Portland, Oregon, USA, July 2010.

    Publication’ details are:

    Ricardo A. Araújo, Adriano L. I. Oliveira, Sérgio C. B. Soares. A Covariance Matrix Adaptation based Evolutionary Methodology for Phase Adjustment in Financial Time Series Forecasting. In Proceedings of the ACM Genetic and Evolutionary Computation Conference, 2010 ACM Press.

    Abstract: This paper proposes the Covariance Matrix Adaptation based Evolutionary (CMAbE) methodology to overcome the random walk dilemma, characterized by one step delay regarding the real time series values, adjusting time phase distortions in the financial time series forecasting problem. The proposed CMAbE methodology consists of a hybrid model composed of the MultiLayer Perceptron (MLP) networks and the Covariance Matrix Adaptation Evolution Strategy (CMAES), which searches for the best particular time lags to optimally describe the time series phenomenon, as well for the best architecture, parameters and training algorithm of MLP networks. An experimental analysis is conducted with the proposed methodology through four real world financial time series, and the obtained results are discussed and compared to results found with recently methods presented in literature.

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