Knowledge Discovery by Combination of Indexes for Signal Detection for Economic Time Series Data
-
- Koide Noriaki
- Department of Information and Physical Sciences, Osaka University
-
- Okuhara Koji
- Department of Information and Physical Sciences, Osaka University
-
- Tsuda Hiroshi
- Department of Information and Physical Sciences, Osaka University
この論文をさがす
抄録
There are many types of Evolutionary Algorithm. Genetic Programming has the rich expression of the solution for a lot of problems, and Genetic Algorithm is good for the tuning of parameters for the array. However, when we apply each of them to the extraction of investment rule, it needs a lot of searching for useful solution in the field of foreign exchange. So we introduce the diversified investment using multiple solutions, and even if the searching is not good, we can decrease the risk with the diversified investment. In the numerical example, we compare the proposed hybrid algorithm of Genetic Programming including Genetic Algorithm with the island model in the layer of Genetic Programming which are different 3 tournament sizes without migration. It is shown our model has higher performance to economic time series data rather than others. Furthermore, it can be shown that our model can detect signal by the combination of indexes as the knowledge discovery. <br>
収録刊行物
-
- システム制御情報学会論文誌
-
システム制御情報学会論文誌 26 (2), 62-67, 2013
一般社団法人 システム制御情報学会
- Tweet
詳細情報 詳細情報について
-
- CRID
- 1390282680141776768
-
- NII論文ID
- 10031165975
-
- NII書誌ID
- AN1013280X
-
- ISSN
- 2185811X
- 13425668
-
- NDL書誌ID
- 024263712
-
- 本文言語コード
- en
-
- データソース種別
-
- JaLC
- NDL
- Crossref
- CiNii Articles
-
- 抄録ライセンスフラグ
- 使用不可