NDLI: Value-at-Risk Estimation with Fuzzy Histograms

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13th International Conference on Hybrid Intelligent Systems (HIS 2013)

2012 12th International Conference on Hybrid Intelligent Systems (HIS)

2011 11th International Conference on Hybrid Intelligent Systems (HIS)

2010 10th International Conference on Hybrid Intelligent Systems

2009 Ninth International Conference on Hybrid Intelligent Systems

2008 Eighth International Conference on Hybrid Intelligent Systems

Table of contents

Welcome from the HIS 2008 General Chairs

Welcome from the HIS 2008 Program Chairs

Welcome from the HIS 2008 Workshops and Special Sessions Chair

Welcome from the HIS 2008 Industrial Track and Exhibition Chairs

Conference Committees

Program Committees

Additional reviewers

Workshops and Special Sessions Committees

Technical Co-Sponsors and Sponsors

Plenary Keynotes

Evolutionary Computer Vision: A Taxonomic Tutorial

Binary Connectives in Fuzzy Logic

Ant Colony Optimization for Continuous Domains: Application to Reservoir Operation Problems

A Simulated Annealing Algorithm for Single Objective Trans-Dimensional Optimization Problems

Multi-Ring Dispersed Particle Swarm Optimization

Prune and Plant: A New Bloat Control Method for Genetic Programming

DANTE The Combination between an Ant Colony Optimization Algorithm and a Depth Search Method

Implicit User Modelling Using Hybrid Meta-Heuristics

Assignment of Students to Preferred Laboratory Groups Using a Hybrid Grouping Genetic Algorithm

The Impact of Local Search on Protein-Ligand Docking Optimization

Tracking Extrema in Dynamic Fitness Functions with Dissortative Mating Genetic Algorithms

Modified Harmony Search Methods for Uni-Modal and Multi-Modal Optimization

Solving the Railway Traveling Salesman Problem via a Transformation into the Classical Traveling Salesman Problem

SR-2: A Hybrid Algorithm for the Capacitated Vehicle Routing Problem

Double-Deck Elevator System Uing Genetic Network Programming with Genetic Operators Based on Pheromone Information

A Neurogenetic Approach and its Application to Constrained Nonlinear Convex Optimization Problems with Joint and Disjoint Feasible Regions

FPGA Implementation of Hybrid Additive Programmable Cellular Automata Encryption Algorithm

Improving the Performance of Partitioning Methods for Crowd Simulations

Combining Distributed Matchmaking and Clustering to Prune the Solution Space in Distributed Optimization Problems - Demonstrated in the RailCab System

Evaluation of Human Visual Impressions in Gray Scale Textures Using Morphological Manipulation

A Hybrid Approach for Tissue Recognition on Wound Images

Classification and Segmentation of Visual Patterns Based on Receptive and Inhibitory Fields

A Sequential Learning Resource Allocation Network for Image Processing Applications

Brain-Inspired Emergence of Behaviors in Mobile Robots by Reinforcement Learning with Internal Rewards

Quadratic Leaky Integrate-and-Fire Neural Network Tuned with an Evolution-Strategy for a Simulated 3D Biped Walking Controller

Gait Optimization in AIBO Robots Using an Estimation of Distribution Algorithm

Enhancing Appropriateness of Executive Decisions Using AIS

A Comparison of Hybrid Decision Making Methods for Emergency Support

Introducing Serendipity in a Content-Based Recommender System

Using Genetic Algorithm for Hybrid Modes of Collaborative Filtering in Online Recommenders

A Decision Making Model Based on Dempster-Shafer Theory and Linguistic Hybrid Aggregation Operators

Ranking of Weighted Strategies in the Two-Player Games with Fuzzy Entries of the Payoff Matrix

Value-at-Risk Estimation with Fuzzy Histograms

A Model for Semantic Service Matching with Leftover and Missing Information

A Scheme for Simplification of Entity Networks for Fusion of Unstructured Data

Modeling and Building an Ontology for Neuropediatric Physiotherapy Domain

Hybrid Genetic-Fuzzy Optimization of a Type-2 Fuzzy Logic Controller

Fuzzy Case-Based System for Classification Tasks on Missing and Noisy Data

An Experiment on the Description of Sequences of Fuzzy Perceptions

A New Approach to Design of Interval Type-2 Fuzzy Logic Systems

Context-Sensitive Clustering in the Design of Fuzzy Models

Fuzzy Expert System for Determining the Criticality of Activities in Mega Projects

Visualizing the Hybridizations between the Fuzzy Logic Field and the Other Soft-Computing Techniques

Investigation of Fuzzy Models for the Valuation of Residential Premises Using the KEEL Tool

A Hybrid Optimization Method for Fuzzy Classification Systems

Fast Multiobjective Genetic Rule Learning Using an Efficient Method for Takagi-Sugeno Fuzzy Systems Identification

A Multi-Objective Genetic Approach to Concurrently Learn Partition Granularity and Rule Bases of Mamdani Fuzzy Systems

Improved Semantic Mapping and SOM Applied to Document Organization

A Hybridised Evolutionary Algorithm for Multi-Criterion Minimum Spanning Tree Problems

How Preferences Affect Productivity in the Sugarcane Harvest Problem A Comparative Study of a Two-Steps MOEA

Hybrid Interactive Planning Under Many Objectives: An Application to the Vehicle Routing Problem

Applying Pareto-Optimal and JIT Techniques for Supply Chains

Hybridizing the Pareto Multi-Objective Optimization Evolutionary Algorithms by Means of Multi-Objective Local Search

Solving an Open Shop Scheduling Problem by a Novel Hybrid Multi-Objective Ant Colony Optimization

Neural Networks and Exponential Smoothing Models for Symbolic Interval Time Series Processing Applications in Stock Market

Evolving Neural Networks for Word Sense Disambiguation

A Neural Network Classifier of Chess Moves

Improvement of Temperature Based ANN Models for ETo Prediction in Coastal Locations by Means of Preliminary Models and Exogenous Data

Music Composition Using Combination of Genetic Algorithms and Recurrent Neural Networks

A Neural Network-Based Approach to Motion Estimation with Discontinuities

Bagging for a Region Oriented Symbolic Classifier

Fatigue Level Estimation of Bill by Using Supervised SOM Based on Feature-Selected Acoustic Energy Pattern

An Efficient Hybrid Artificial Immune Algorithm for Clustering

PSO for Fault-Tolerant Nearest Neighbor Classification Employing Reconfigurable, Analog Hardware Implementation in Low Power Intelligent Sensor Systems

REPMAC: A New Hybrid Approach to Highly Imbalanced Classification Problems

Accuracy and Diversity in Ensemble Systems Composed of ARTMAP-Based Models

A Weighted Partitioning Dynamic Clustering Algorithm for Quantitative Feature Data Based on Adaptive Euclidean Distances

The Hybrid Integration of Perceptual Symbol Systems and Interactive Reinforcement Learning

Adaptive Prediction by Anticipatory Reasoning Based on Temporal Relevant Logic

Hidden Markov Models and Text Classifiers for Information Extraction on Semi-Structured Texts

Multicategory SVMs by Minimizing the Distances among Convex-Hull Prototypes

A SVM for GPCR Protein Prediction Using Pattern Discovery

Bio-Inspired Parameter Tunning of MLP Networks for Gene Expression Analysis

Metalearning for Gene Expression Data Classification

A GRASP Algorithm Using RNN for Solving Dynamics in a P2P Live Video Streaming Network

A Fuzzy Admission Controller in a QoS-Aware Web Server Architecture

An Artificial Neural Network Approach for Mechanisms of Call Admission Control in UMTS 3G Networks

Archiving Strategies for On-Line Decision Making in Evolutionary Multi-Objective Optimization

A Hybrid Evolutionary Multi-Objective Algorithm to Setup Explicit Routes in MPLS Networks

Intelligent Operators for Localisation of Dynamic Smart Dust Networks

A Short Study on the Use of Genetic 2-Tuples Tuning for Fuzzy Rule Based Classification Systems in Imbalanced Data-Sets

Hybrid System to Determine the Ranking of a Returning Participant in Eurovision

Non-Ordered Data Mining Rules Through Multi-Objective Particle Swarm Optimization: Dealing with Numeric and Discrete Attributes

Multi-Objective Learning of Multi-Dimensional Bayesian Classifiers

Genetic-Based Synthetic Data Sets for the Analysis of Classifiers Behavior

Multiple Instance Learning with MultiObjective Genetic Programming for Web Mining

Study of the Robustness of a Meta-Algorithm for the Estimation of Parameters in Artificial Neural Networks Design

Evolving Sets of Symbolic Classifiers into a Single Symbolic Classifier Using Genetic Algorithms

Efficient Distributed Genetic Algorithm for Rule Extraction

Evaluating Ranking Composition Methods for Multi-Objective Optimization of Knowledge Rules

Mixture Modeling and Information Criteria for Discovering Patterns in Continuous Data

On the Use of Bagging, Mutual Information-Based Feature Selection and Multicriteria Genetic Algorithms to Design Fuzzy Rule-Based Classification Ensembles

Feature Selection for Time Series Forecasting: A Case Study

Feature Subset Selection by Means of a Bayesian Artificial Immune System

Evolutionary Training Set Selection to Optimize C4.5 in Imbalanced Problems

Data Reduction by Genetic Algorithms and Non-Algebraic Feature Construction: A Case Study

An Overview of Hybrid Soft Computing Techniques for Classifier Design and Feature Selection

Empirical Study of Feature Selection Methods in Classification

Fuzzy Feature Subset Selection Using the Wang & Mendel Method

A Class-Based Feature Selection Method for Ensemble Systems

Using Reservoir Computing for Forecasting Time Series: Brazilian Case Study

Short-Term Wind Speed Prediction by Hybridizing Global and Mesoscale Forecasting Models with Artificial Neural Networks

Video Object Segmentation with Multivalued Neural Networks

Conflict Detection and Bayesian Conditioning for Estimating the Reliability of Each LVQ Network in a Group Engaged at Iris Biometric Identification

Feature Selection for Hybrid Neuro-Logistic Regression Applied to Classification of Remote Sensed Data

Memetic Pareto Evolutionary Artificial Neural Networks for the Determination of Growth Limits of Listeria Monocytogenes

Neural Plasticity and Minimal Topologies for Reward-Based Learning

Solving Shortest Path Problem Using Hopfield Networks and Genetic Algorithms

A Hybrid System for Probability Estimation in Multiclass Problems Combining SVMs and Neural Networks

Clonal Selection-Based Neural Classifier

On Self-Organizing Feature Map (SOFM) Formation by Direct Optimization Through a Genetic Algorithm

Drawing Graphs in Parallel Lines with Artificial Neural Networks

Density Avoided Sampling: An Intelligent Sampling Technique for Rapidly-Exploring Random Trees

A Self-Adaptive Evolutionary Algorithm for Cluster Geometry Optimization

Automatic Circle Detection on Images with Annealed Differential Evolution

Implementation of the Electromagnetism-Like Algorithm with a Constraint-Handling Technique for Engineering Optimization Problems

Island Based Distributed Differential Evolution: An Experimental Study on Hybrid Testbeds

Towards a Highly Scalable Hybrid Metaheuristic for Haplotype Inference Under Parsimony

Hybrid Ant Colony System to Solve a 2-Dimensional Strip Packing Problem

Variable Neighborhood Search as Genetic Algorithm Operator for DNA Fragment Assembling Problem

Genetic Algorithms for Bi-Objective Job Shop Scheduling Problem

A GRASP with Path Relinking for the Single Machine Total Weighted Tardiness Problem

Testing BOI and BOB Algorithms for Solving the Winner Determination Problem in Radio Spectrum Auctions

A Granular Unified Framework for Learning Fuzzy Systems

SoC-Based Implementation of the Backpropagation Algorithm for MLP

Fuzzy Model Based Control: Application to an Oil Production Separator

Recommendation Rule Extraction by a Neuro-Fuzzy Approach

Optimal Pruned K-Nearest Neighbors: OP-KNN Application to Financial Modeling

Hierarchical Type-2 Neuro-Fuzzy BSP Model

Neural Network Acquisition Estimator for Multiresolutive Adaptive PN Acquisition Scheme in Multiuser Non Selective Fast SNR Variation Environments

Signal Processing and Perceptrons in an Auditory Based Brain-Computer Interface

A New Parameter Determining Mechanism for Radial Basis Neural Networks

A Novel Hybrid Optimization Method with Application in Cascade-Correlation Neural Network Training

Integrating Heterogeneous Data and Applications with Distributed-AIBENCH

CBR System for Diagnosis of Patients

A Novel Approach for Avoiding Overlapping Among Biclusters in Expression Data

Diagnosing Patients Combining Principal Components Analysis and Case Based Reasoning

On the Complexity of Gene Expression Classification Data Sets

Classification of Gene Expression Profiles: Comparison of K-means and Expectation Maximization Algorithms

Using a CBR Approach Based on Ontologies for Recommendation and Reuse of Knowledge Sharing in Decision Making

A Hybrid Reasoning Architecture for Business Intelligence Applications

Hybrid Approach for Machine Scheduling Optimization in Custom Furniture Industry

Intelligent System for Fuels Quality Control and Monitoring Using PASSI Methodology

An Evolutionary Approach to Provide Flexible Decision Dialogues in Intelligent Decision Support Systems

New Crossover Operator for Evolutionary Rule Discovery in XCS

Artificial Data Sets Based on Knowledge Generators: Analysis of Learning Algorithms Efficiency

Modified Himmelblau Function Classification with rGCS System

Towards Self-Adjustment of Adapted Pittsburgh Classifier System Cognitive Capacity on Multi-Step Problems

Self-Adaptation of Parameters in a XCS-Based Ensemble Machine

Learning Spatial Grammars for Drawn Documents Using Genetic Algorithms

Solving Multi-Objective Optimization Problems by RasID-GA: Using an External Population in Genetic Operators

Post-Fabrication Clock-Timing Adjustment for Digital LSIs Ensuring Operational Timing Margins

A Hybrid Evolutionary Algorithm for Cluster Geometry Optimization: The Importance of Structural Elitism

Combining Technical Analysis and Support Vector Machine for Stock Trading

Combining Pheromomes and Potential Fields to Consider Follow-Up-Jobs

Optimization of Automated Call Center Service Times Using Evolutionary Techniques

Tuning Artificial Neural Networks Parameters Using an Evolutionary Algorithm

Memetic Algorithms for Feature Selection in Face Recognition

High Reliable Multi-View Semi-Supervised Learning with Extremely Sparse Labeled Data

Complementary Log-Log and Probit: Activation Functions Implemented in Artificial Neural Networks

An Study on Data Mining Methods for Short-Term Forecasting of the Extra Virgin Olive Oil Price in the Spanish Market

MIRA: A Learning Multimodal Interactive Robot Agent

A Study of the Effects of Clustering and Local Search on Radio Network Design: Evolutionary Computation Approaches

A Case-Based Centred Approach for Rapid Manufacturing: Definitions

Enhanced Edge-Weighted Image Interpolation Algorithm

Open Innovation: A New Paradigm

7th International Conference on Hybrid Intelligent Systems (HIS 2007)

2006 Sixth International Conference on Hybrid Intelligent Systems (HIS'06)

Fifth International Conference on Hybrid Intelligent Systems (HIS'05)

Fourth International Conference on Hybrid Intelligent Systems (HIS'04)

Value-at-Risk Estimation with Fuzzy Histograms

Content Provider	IEEE Xplore Digital Library
Author	Almeida, R.J. Kaymak, U.
Copyright Year	2008
Description	Author affiliation: Erasmus Sch. of Econ., Erasmus Univ. Rotterdam, Rotterdam (Almeida, R.J.; Kaymak, U.)
Abstract	Value at risk (VaR) is a measure for senior management that summarises the financial risk a company faces into one single number. In this paper, we consider the use of fuzzy histograms for quantifying the value-at-risk of a portfolio. It is shown that the use of fuzzy histograms provides a good method of value-at-risk estimation for a portfolio of stocks. The conditional parameters of the model are obtained through minimisation of a test statistic for a VaR back testing method. Evolutionary optimisation is used for this purpose. It is found that statistical back testing always accepts fuzzy histogram models, while the popular GARCH models may be rejected.
Starting Page	192
Ending Page	197
File Size	175523
Page Count	6
File Format	PDF
ISBN	9780769533261
DOI	10.1109/HIS.2008.149
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2008-09-10
Publisher Place	Spain
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Reactive power Histograms Risk Assessment Estimation Probabilistic logic Value-at-Risk Data models Back Testing Fuzzy Histograms Portfolios Testing
Content Type	Text
Resource Type	Article

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