Series:

SpringerBriefs in Applied Sciences and Technology

5 total works

Cover of A Machine Learning based Pairs Trading Investment Strategy

This book investigates the application of promising machine learning techniques to address two problems: (i) how to find profitable pairs while constraining the search space and (ii) how to avoid long decline periods due to prolonged divergent pairs. It also proposes the integration of an unsupervised learning algorithm, OPTICS, to handle problem (i), and demonstrates that the suggested technique can outperform the common pairs search methods, achieving an average portfolio Sharpe ratio of 3.79, in comparison to 3.58 and 2.59 obtained using standard approaches. For problem (ii), the authors introduce a forecasting-based trading model capable of reducing the periods of portfolio decline by 75%. However, this comes at the expense of decreasing overall profitability. The authors also test the proposed strategy using an ARMA model, an LSTM and an LSTM encoder-decoder.

Cover of AIDA-CMK: Multi-Algorithm Optimization Kernel Applied to Analog IC Sizing
This work addresses the research and development of an innovative optimization kernel applied to analog integrated circuit (IC) design. Particularly, this works describes the modifications inside the AIDA Framework, an electronic design automation framework fully developed by at the Integrated Circuits Group-LX of the Instituto de Telecomunicações, Lisbon. It focusses on AIDA-CMK, by enhancing AIDA-C, which is the circuit optimizer component of AIDA, with a new multi-objective multi-constraint optimization module that constructs a base for multiple algorithm implementations. The proposed solution implements three approaches to multi-objective multi-constraint optimization, namely, an evolutionary approach with NSGAII, a swarm intelligence approach with MOPSO and stochastic hill climbing approach with MOSA. Moreover, the implemented structure allows the easy hybridization between kernels transforming the previous simple NSGAII optimization module into a more evolved and versatile module supporting multiple single and multi-kernel algorithms. The three multi-objective optimization approaches were validated with CEC2009 benchmarks to constrained multi-objective optimization and tested with real analog IC design problems. The achieved results were compared in terms of performance, using statistical results obtained from multiple independent runs. Finally, some hybrid approaches were also experimented, giving a foretaste to a wide range of opportunities to explore in future work.

Cover of Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA
This work presents a new approach to portfolio composition in the stock market. It incorporates a fundamental approach using financial ratios and technical indicators with a Multi-Objective Evolutionary Algorithms to choose the portfolio composition with two objectives the return and the risk. Two different chromosomes are used for representing different investment models with real constraints equivalents to the ones faced by managers of mutual funds, hedge funds, and pension funds. To validate the present solution two case studies are presented for the SP&500 for the period June 2010 until end of 2012. The simulations demonstrates that stock selection based on financial ratios is a combination that can be used to choose the best companies in operational terms, obtaining returns above the market average with low variances in their returns. In this case the optimizer found stocks with high return on investment in a conjunction with high rate of growth of the net income and a high profit margin. To obtain stocks with high valuation potential it is necessary to choose companies with a lower or average market capitalization, low PER, high rates of revenue growth and high operating leverage

Cover of Analog IC Placement Generation via Neural Networks from Unlabeled Data
In this book, innovative research using artificial neural networks (ANNs) is conducted to automate the placement task in analog integrated circuit layout design, by creating a generalized model that can generate valid layouts at push-button speed. Further, it exploits ANNs’ generalization and push-button speed prediction (once fully trained) capabilities, and details the optimal description of the input/output data relation. The description developed here is chiefly reflected in two of the system’s characteristics: the shape of the input data and the minimized loss function. In order to address the latter, abstract and segmented descriptions of both the input data and the objective behavior are developed, which allow the model to identify, in newer scenarios, sub-blocks which can be found in the input data. This approach yields device-level descriptions of the input topology that, for each device, focus on describing its relation to every other device in the topology. By means of these descriptions, an unfamiliar overall topology can be broken down into devices that are subject to the same constraints as a device in one of the training topologies.

In the experimental results chapter, the trained ANNs are used to produce a variety of valid placement solutions even beyond the scope of the training/validation sets, demonstrating the model’s effectiveness in terms of identifying common components between newer topologies and reutilizing the acquired knowledge. Lastly, the methodology used can readily adapt to the given problem’s context (high label production cost), resulting in an efficient, inexpensive and fast model.                           

Cover of Parallel Genetic Algorithms for Financial Pattern Discovery Using GPUs
This Brief presents a study of SAX/GA, an algorithm to optimize market trading strategies, to understand how the sequential implementation of SAX/GA and genetic operators work to optimize possible solutions. This study is later used as the baseline for the development of parallel techniques capable of exploring the identified points of parallelism that simply focus on accelerating the heavy duty fitness function to a full GPU accelerated GA.