NDLI: Memetic algorithms, domain knowledge, and financial investing

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Memetic algorithms, domain knowledge, and financial investing

Content Provider	Springer Nature Link
Author	Du, Jie Rada, Roy
Copyright Year	2012
Abstract	How might domain knowledge constrain a genetic algorithm and systematically impact the algorithm’s traversal of the search space? In particular, in this paper the hypothesis is advanced that a semantic tree of financial knowledge can be used to influence the results of a genetic algorithm for financial investing problems. An algorithm is described, called the “Memetic Algorithm for Domain Knowledge”, and is instantiated in a software system. In mutation experiments, this system chooses financial ratios to use as inputs to a neural logic network which classifies stocks as likely to increase or decrease in value. The mutation is guided by a semantic tree of financial ratios. In crossover experiments, this system solves a portfolio optimization problem in which components of an individual represent weights on stocks; knowledge in the form of a semantic tree of industries determines the order in which components are sorted in individuals. Both synthetic data and real-world data are used. The experimental results show that knowledge can be used to reach higher fitness individuals more quickly. More interestingly, the results show how conceptual distance in the human knowledge can correspond to distance between evolutionary individuals and their fitness. In other words, knowledge might be dynamically used to at times increase the step size in a search algorithm or at times to decrease the step size. These results shed light on the role of knowledge in evolutionary computation and are part of the larger body of work to delineate how domain knowledge might usefully constrain the genetic algorithm.
Starting Page	109
Ending Page	125
Page Count	17
File Format	PDF
ISSN	18659284
Journal	Memetic Computing
Volume Number	4
Issue Number	2
e-ISSN	18659292
Language	English
Publisher	Springer-Verlag
Publisher Date	2012-04-03
Publisher Place	Berlin, Heidelberg
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Building blocks Domain knowledge Financial investing Semantic tree Statistical Physics, Dynamical Systems and Complexity ApplicationMathematics/Computational Methods of Engineering Applications of Mathematics Bioinformatics Control, Robotics, Mechatronics Artificial Intelligence (incl. Robotics)
Content Type	Text
Resource Type	Article
Subject	Control and Optimization Computer Science

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1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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