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Ce document présente un point de vue synthétique sur plusieurs modèles et résultats essentiels de la psychologie cognitive. Il traite les thèmes de la mémoire, des représentations et des activités mentales opérant sur ces représentations. Il s'inscrit dans le courant du traitement de l'information dans une double perspective : symbolique et connexionniste.
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Computational intelligence. --- Financial engineering. --- Computational finance --- Engineering, Financial --- Finance --- Intelligence, Computational --- Artificial intelligence --- Soft computing
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This book developes a quantitative stock market investment methodology using financial indicators that beats the benchmark of S&P500 index. To achieve this goal, an ensemble of machine learning models is meticulously constructed, incorporating four distinct algorithms: support vector machine, k-nearest neighbors, random forest, and logistic regression. These models all make use of financial ratios extracted from company financial statements for the purposes of predictive forecasting. The ensemble classifier is subject to a strict testing of precision which compares it to the performance of its constituent models separately. Rolling window and cross-validation tests are used in this evaluation in order to provide a comprehensive assessment framework. A risk-off filter is developed to limit risk during uncertain market periods, and consequently to improve the Sharpe ratio of the model. The risk adjusted performance of the final model, supported by the risk-off filter, achieves a Sharpe ratio of 1.63 which surpasses both the model’s performance without the filter that delivers Sharpe ratio of 1.41 and the one from the S&P500 index of 0.80. The substantial increase in risk-adjusted returns is accomplished by reducing the model’s volatility from an annual standard of deviation of 15.75% to 11.22%, which represents an almost 30% decrease in volatility. In particular, this book shows the following features: Implementation of an ensemble of machine learning classifiers that forecasts which stocks will beat the market. Implementing a Risk-off filter that indicates high market risks. Study the precision of the ensemble method classifier and compare it to each of the algorithms that compose it.
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Investments --- Statistical methods. --- Criptomoneda --- Inversions --- Estadística matemàtica --- Estadística descriptiva --- Inferència estadística --- Matemàtica estadística --- Mètodes estadístics --- Estadística --- Anàlisi d'error (Matemàtica) --- Anàlisi de regressió --- Anàlisi de sèries temporals --- Anàlisi de variància --- Anàlisi multivariable --- Anàlisi seqüencial --- Astronomia estadística --- Correlació (Estadística) --- Dependència (Estadística) --- Estadística no paramètrica --- Estadística robusta --- Física estadística --- Mètode dels moments (Estadística) --- Models lineals (Estadística) --- Models no lineals (Estadística) --- Teoria de l'estimació --- Teoria de la predicció --- Tests d'hipòtesi (Estadística) --- Biometria --- Mostreig (Estadística) --- Inversions de capital --- Capital --- Accions (Borsa) --- Assignació d'actius --- Bons --- Capital de risc --- Inversions bancàries --- Inversions immobiliàries --- Inversions públiques --- Opcions (Finances) --- Rendibilitat --- Mercat de futurs --- Societats d'inversió --- Valors --- Estalvi --- Criptomonedes --- Moneda electrònica --- Bitcoin --- Contractes intel·ligents --- Investing --- Investment management --- Portfolio --- Finance --- Disinvestment --- Loans --- Saving and investment --- Speculation --- Criptomoneda.
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Ce document présente un point de vue synthétique sur plusieurs modèles et résultats essentiels de la psychologie cognitive. Il traite les thèmes de la mémoire, des représentations et des activités mentales opérant sur ces représentations. Il s'inscrit dans le courant du traitement de l'information dans une double perspective : symbolique et connexionniste.
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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. .
Genetic algorithms. --- Parallel processing (Electronic computers) --- Pattern recognition systems. --- Engineering. --- Financial engineering. --- Economics, Mathematical. --- Computational intelligence. --- Computational Intelligence. --- Financial Engineering. --- Quantitative Finance. --- Intelligence, Computational --- Artificial intelligence --- Soft computing --- Economics --- Mathematical economics --- Econometrics --- Mathematics --- Computational finance --- Engineering, Financial --- Finance --- Construction --- Industrial arts --- Technology --- Methodology --- High performance computing --- Multiprocessors --- Parallel programming (Computer science) --- Supercomputers --- GAs (Algorithms) --- Genetic searches (Algorithms) --- Algorithms --- Combinatorial optimization --- Evolutionary computation --- Genetic programming (Computer science) --- Learning classifier systems --- Pattern classification systems --- Pattern recognition computers --- Pattern perception --- Computer vision --- Finance. --- Funding --- Funds --- Currency question --- Economics, Mathematical .
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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. .
Finance --- Applied physical engineering --- Financial organisation --- Artificial intelligence. Robotics. Simulation. Graphics --- neuronale netwerken --- fuzzy logic --- cybernetica --- financieel management --- sociale interventies --- financiën --- KI (kunstmatige intelligentie) --- ingenieurswetenschappen --- AI (artificiële intelligentie)
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This book presents a genetic algorithm that optimizes a grid template pattern detector to find the best point to trade in the SP 500. The pattern detector is based on a template using a grid of weights with a fixed size. The template takes in consideration not only the closing price but also the open, high, and low values of the price during the period under testing in contrast to the traditional methods of analysing only the closing price. Each cell of the grid encompasses a score, and these are optimized by an evolutionary genetic algorithm that takes genetic diversity into consideration through a speciation routine, giving time for each individual of the population to be optimized within its own niche. With this method, the system is able to present better results and improves the results compared with other template approaches. The tests considered real data from the stock market and against state-of-the-art solutions, namely the ones using a grid of weights which does not have a fixed size and non-speciated approaches. During the testing period, the presented solution had a return of 21.3% compared to 10.9% of the existing approaches. The use of speciation was able to increase the returns of some results as genetic diversity was taken into consideration.
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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.
Computer Science --- Engineering & Applied Sciences --- Investments --- Portfolio management. --- Mathematics. --- Mathematical models. --- Mathematics of investment --- Investment management --- Engineering. --- Finance. --- Algorithms. --- Economics, Mathematical. --- Computational intelligence. --- Computational Intelligence. --- Algorithm Analysis and Problem Complexity. --- Quantitative Finance. --- Finance, general. --- Intelligence, Computational --- Artificial intelligence --- Soft computing --- Economics --- Mathematical economics --- Econometrics --- Mathematics --- Algorism --- Algebra --- Arithmetic --- Funding --- Funds --- Currency question --- Construction --- Industrial arts --- Technology --- Methodology --- Foundations --- Investment analysis --- Securities --- Business mathematics --- Computer software. --- Software, Computer --- Computer systems --- Economics, Mathematical .
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