Search results for: trading algorithm

Authors: Taylan Kabbani, Ekrem Duman

Abstract:

Deep Reinforcement Learning (DRL) algorithms can scale to previously intractable problems. The automation of profit generation in the stock market is possible using DRL, by combining  the financial assets price ”prediction” step and the ”allocation” step of the portfolio in one unified process to produce fully autonomous systems capable of interacting with its environment to make optimal decisions through trial and error. This work represents a DRL model to generate profitable trades in the stock market, effectively overcoming the limitations of supervised learning approaches. We formulate the trading problem as a Partially observed Markov Decision Process (POMDP) model, considering the constraints imposed by the stock market, such as liquidity and transaction costs. We then solved the formulated POMDP problem using the Twin Delayed Deep Deterministic Policy Gradient (TD3) algorithm and achieved a 2.68 Sharpe ratio on the test dataset. From the point of view of stock market forecasting and the intelligent decision-making mechanism, this paper demonstrates the superiority of DRL in financial markets over other types of machine learning and proves its credibility and advantages of strategic decision-making.

Keywords: Autonomous agent, deep reinforcement learning, MDP, sentiment analysis, stock market, technical indicators, twin delayed deep deterministic policy gradient.

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Authors: Jakub Hospodka

Abstract:

This paper dissertates about issues which may occur after next year will be major part of civil aviation in EU included into system of Emission trading. This system should help to fight against global warming and to fulfill Kyoto Protocol commitments of European countries. Main issues mentioned in this paper are connected with problem of radiative forcing from emissions and lack of their monitoring and charging in EU legislative. There are mentioned main differences between industrial emissions and emissions form aviation with notification about possible negative impacts of neglecting these differences. Special attention is dedicated to risk of possible reverse effect of inclusion aviation in EU ETS, which may theoretically occur.

Keywords: EU ETS, radiative forcing, aviation, emissiontrading.

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Authors: Panpan Xu, Shulin Sui, Zongjie Du

Abstract:

Genetic algorithm is widely used in optimization problems for its excellent global search capabilities and highly parallel processing capabilities; but, it converges prematurely and has a poor local optimization capability in actual operation. Simulated annealing algorithm can avoid the search process falling into local optimum. A hybrid genetic algorithm based on simulated annealing is designed by combining the advantages of genetic algorithm and simulated annealing algorithm. The numerical experiment represents the hybrid genetic algorithm can be applied to solve the function optimization problems efficiently.

Keywords: Genetic algorithm, Simulated annealing, Hybrid genetic algorithm, Function optimization.

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Authors: Chenxue Yang, Mao Ye, Zijian Liu, Tao Li, Jiao Bao

Abstract:

Non-negative matrix factorization (NMF) is a useful computational method to find basis information of multivariate nonnegative data. A popular approach to solve the NMF problem is the multiplicative update (MU) algorithm. But, it has some defects. So the columnwisely alternating gradient (cAG) algorithm was proposed. In this paper, we analyze convergence of the cAG algorithm and show advantages over the MU algorithm. The stability of the equilibrium point is used to prove the convergence of the cAG algorithm. A classic model is used to obtain the equilibrium point and the invariant sets are constructed to guarantee the integrity of the stability. Finally, the convergence conditions of the cAG algorithm are obtained, which help reducing the evaluation time and is confirmed in the experiments. By using the same method, the MU algorithm has zero divisor and is convergent at zero has been verified. In addition, the convergence conditions of the MU algorithm at zero are similar to that of the cAG algorithm at non-zero. However, it is meaningless to discuss the convergence at zero, which is not always the result that we want for NMF. Thus, we theoretically illustrate the advantages of the cAG algorithm.

Keywords: Non-negative matrix factorizations, convergence, cAG algorithm, equilibrium point, stability.

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Authors: S. M. Khalessizadeh, R. Zaefarian, S.H. Nasseri, E. Ardil

Abstract:

Today, Genetic Algorithm has been used to solve wide range of optimization problems. Some researches conduct on applying Genetic Algorithm to text classification, summarization and information retrieval system in text mining process. This researches show a better performance due to the nature of Genetic Algorithm. In this paper a new algorithm for using Genetic Algorithm in concept weighting and topic identification, based on concept standard deviation will be explored.

Keywords: Genetic Algorithm, Text Mining, Term Weighting, Concept Extraction, Concept Distribution.

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Authors: Keonwoo Kim, Dowon Hong, Kyoil Chung

Abstract:

This paper proposes the authentication method using ESA algorithm instead of using CAVE algorithm in the CDMA mobile communication systems including IS-95 and CDMA2000 1x. And, we analyze to apply ESA mechanism on behalf of CAVE mechanism without the change of message format and air interface in the existing CDMA systems. If ESA algorithm can be used as the substitution of CAVE algorithm, security strength of authentication algorithm is intensified without protocol change. An algorithm replacement proposed in this paper is not to change an authentication mechanism, but to configure input of ESA algorithm and to produce output. Therefore, our proposal can be the compatible to the existing systems.

Keywords: ESA, CAVE, CDMA, authentication, mobilecommunication.

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Authors: Razagh Hafezi, Ahmad Keshavarz, Vida Moshfegh

Abstract:

This paper presents a novel algorithm of stereo correspondence with rank transform. In this algorithm we used the genetic algorithm to achieve the accurate disparity map. Genetic algorithms are efficient search methods based on principles of population genetic, i.e. mating, chromosome crossover, gene mutation, and natural selection. Finally morphology is employed to remove the errors and discontinuities.

Keywords: genetic algorithm, morphology, rank transform, stereo correspondence

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Authors: Ali Nourollah, Mohsen Movahedinejad

Abstract:

In this paper a new algorithm to generate random simple polygons from a given set of points in a two dimensional plane is designed. The proposed algorithm uses a genetic algorithm to generate polygons with few vertices. A new merge algorithm is presented which converts any two polygons into a simple polygon. This algorithm at first changes two polygons into a polygonal chain and then the polygonal chain is converted into a simple polygon. The process of converting a polygonal chain into a simple polygon is based on the removal of intersecting edges. The experiments results show that the proposed algorithm has the ability to generate a great number of different simple polygons and has better performance in comparison to celebrated algorithms such as space partitioning and steady growth.

Keywords: Divide and conquer, genetic algorithm, merge polygons, Random simple polygon generation.

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Authors: Luciano Nieddu, Giuseppe Manfredi

Abstract:

In this paper a Pattern Recognition algorithm based on a constrained version of the k-means clustering algorithm will be presented. The proposed algorithm is a non parametric supervised statistical pattern recognition algorithm, i.e. it works under very mild assumptions on the dataset. The performance of the algorithm will be tested, togheter with a feature extraction technique that captures the information on the closed two-dimensional contour of an image, on images of industrial mineral ores.

Keywords: K-means, Industrial ores classification, Invariant Features, Supervised Classification.

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Authors: M. A. Sharbafi, M. Shakiba Herfeh, Caro Lucas, A. Mohammadi Nejad

Abstract:

Several researchers have proposed methods about combination of Genetic Algorithm (GA) and Fuzzy Logic (the use of GA to obtain fuzzy rules and application of fuzzy logic in optimization of GA). In this paper, we suggest a new method in which fuzzy decision making is used to improve the performance of genetic algorithm. In the suggested method, we determine the alleles that enhance the fitness of chromosomes and try to insert them to the next generation. In this algorithm we try to present an innovative vaccination in the process of reproduction in genetic algorithm, with considering the trade off between exploration and exploitation.

Keywords: Genetic Algorithm, Fuzzy Decision Making.

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Authors: Branislav Vuksanović, Dragana Nikolić

Abstract:

This paper describes the implementation and testing of a multichannel active noise control system (ANCS) based on the filtered-inverse LMS (FILMS) algorithm. The FILMS algorithm is derived from the well-known filtered-x LMS (FXLMS) algorithm with the aim to improve the rate of convergence of the multichannel FXLMS algorithm and to reduce its computational load. Laboratory setup and techniques used to implement this system efficiently are described in this paper. Experiments performed in order to test the performance of the FILMS algorithm are discussed and the obtained results presented.

Keywords: Active noise control, adaptive filters, inverse filters, LMS algorithm, FILMS algorithm.

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Authors: Mahmud Hesain ALdwaik, Omar Hsiain Eldwaik

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This paper deals with tracking and estimating time delay between two signals. The simulation of this algorithm accomplished by using Mathcad package is carried out. The algorithm we will present adaptively controls and tracking the delay, so as to minimize the mean square of this error. Thus the algorithm in this case has task not only of seeking the minimum point of error but also of tracking the change of position, leading to a significant improving of performance. The flowchart of the algorithm is presented as well as several tests of different cases are carried out.

Keywords: Tracking time delay, Algorithm simulation, Mathcad, MSE

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Authors: Moth'd Belal. Al-Daoud

Abstract:

Clustering is a very well known technique in data mining. One of the most widely used clustering techniques is the k-means algorithm. Solutions obtained from this technique are dependent on the initialization of cluster centers. In this article we propose a new algorithm to initialize the clusters. The proposed algorithm is based on finding a set of medians extracted from a dimension with maximum variance. The algorithm has been applied to different data sets and good results are obtained.

Keywords: clustering, k-means, data mining.

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Authors: Vishnu Pratap Singh Kirar

Abstract:

Artificial Neural Network (ANN) can be trained using back propagation (BP). It is the most widely used algorithm for supervised learning with multi-layered feed-forward networks. Efficient learning by the BP algorithm is required for many practical applications. The BP algorithm calculates the weight changes of artificial neural networks, and a common approach is to use a twoterm algorithm consisting of a learning rate (LR) and a momentum factor (MF). The major drawbacks of the two-term BP learning algorithm are the problems of local minima and slow convergence speeds, which limit the scope for real-time applications. Recently the addition of an extra term, called a proportional factor (PF), to the two-term BP algorithm was proposed. The third increases the speed of the BP algorithm. However, the PF term also reduces the convergence of the BP algorithm, and criteria for evaluating convergence are required to facilitate the application of the three terms BP algorithm. Although these two seem to be closely related, as described later, we summarize various improvements to overcome the drawbacks. Here we compare the different methods of convergence of the new three-term BP algorithm.

Keywords: Neural Network, Backpropagation, Local Minima, Fast Convergence Rate.

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Authors: B.Bahmani Firouzi, T. Niknam, M. Nayeripour

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Clustering is a very well known technique in data mining. One of the most widely used clustering techniques is the kmeans algorithm. Solutions obtained from this technique depend on the initialization of cluster centers and the final solution converges to local minima. In order to overcome K-means algorithm shortcomings, this paper proposes a hybrid evolutionary algorithm based on the combination of PSO, SA and K-means algorithms, called PSO-SA-K, which can find better cluster partition. The performance is evaluated through several benchmark data sets. The simulation results show that the proposed algorithm outperforms previous approaches, such as PSO, SA and K-means for partitional clustering problem.

Keywords: Data clustering, Hybrid evolutionary optimization algorithm, K-means algorithm, Simulated Annealing (SA), Particle Swarm Optimization (PSO).

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Authors: B. Arun Kumar, T. Ravichandran

Abstract:

Workflow scheduling is an important part of cloud computing and based on different criteria it decides cost, execution time, and performances. A cloud workflow system is a platform service facilitating automation of distributed applications based on new cloud infrastructure. An aspect which differentiates cloud workflow system from others is market-oriented business model, an innovation which challenges conventional workflow scheduling strategies. Time and Cost optimization algorithm for scheduling Hybrid Clouds (TCHC) algorithm decides which resource should be chartered from public providers is combined with a new De-De algorithm considering that every instance of single and multiple workflows work without deadlocks. To offset this, two new concepts - De-De Dodging Algorithm and Priority Based Decisive Algorithm - combine with conventional deadlock avoidance issues by proposing one algorithm that maximizes active (not just allocated) resource use and reduces Makespan.

Keywords: Workflow Scheduling, cloud workflow, TCHC algorithm, De-De Dodging Algorithm, Priority Based Decisive Algorithm (PBD), Makespan.

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Authors: Xiangbin Zhu

Abstract:

EDF (Early Deadline First) algorithm is a very important scheduling algorithm for real- time systems . The EDF algorithm assigns priorities to each job according to their absolute deadlines and has good performance when the real-time system is not overloaded. When the real-time system is overloaded, many misdeadlines will be produced. But these misdeadlines are not uniformly distributed, which usually focus on some tasks. In this paper, we present an adaptive fuzzy control scheduling based on EDF algorithm. The improved algorithm can have a rectangular distribution of misdeadline ratios among all real-time tasks when the system is overloaded. To evaluate the effectiveness of the improved algorithm, we have done extensive simulation studies. The simulation results show that the new algorithm is superior to the old algorithm.

Keywords: Fuzzy control, real-time systems, EDF, misdeadline ratio.

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Authors: Safa Adi

Abstract:

This paper will consider the problem of sequential mining patterns embedded in a database by handling the time constraints as defined in the GSP algorithm (level wise algorithms). We will compare two previous approaches GTC and PSP, that resumes the general principles of GSP. Furthermore this paper will discuss PG-hybrid algorithm, that using PSP and GTC. The results show that PSP and GTC are more efficient than GSP. On the other hand, the GTC algorithm performs better than PSP. The PG-hybrid algorithm use PSP algorithm for the two first passes on the database, and GTC approach for the following scans. Experiments show that the hybrid approach is very efficient for short, frequent sequences.

Keywords: Database, GTC algorithm, PSP algorithm, sequential patterns, time constraints.

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Authors: Wullapa Wongsinlatam

Abstract:

Back propagation algorithm (BP) is a widely used technique in artificial neural network and has been used as a tool for solving the time series problems, such as decreasing training time, maximizing the ability to fall into local minima, and optimizing sensitivity of the initial weights and bias. This paper proposes an improvement of a BP technique which is called IM-COH algorithm (IM-COH). By combining IM-COH algorithm with cuckoo search algorithm (CS), the result is cuckoo search improved control output hidden layer algorithm (CS-IM-COH). This new algorithm has a better ability in optimizing sensitivity of the initial weights and bias than the original BP algorithm. In this research, the algorithm of CS-IM-COH is compared with the original BP, the IM-COH, and the original BP with CS (CS-BP). Furthermore, the selected benchmarks, four time series samples, are shown in this research for illustration. The research shows that the CS-IM-COH algorithm give the best forecasting results compared with the selected samples.

Keywords: Artificial neural networks, back propagation algorithm, time series, local minima problem, metaheuristic optimization.

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Authors: Yongzhong Wu, Ping Ji

Abstract:

This paper proposes a genetic algorithm based on a new replacement strategy to solve the quadratic assignment problems, which are NP-hard. The new replacement strategy aims to improve the performance of the genetic algorithm through well balancing the convergence of the searching process and the diversity of the population. In order to test the performance of the algorithm, the instances in QAPLIB, a quadratic assignment problem library, are tried and the results are compared with those reported in the literature. The performance of the genetic algorithm is promising. The significance is that this genetic algorithm is generic. It does not rely on problem-specific genetic operators, and may be easily applied to various types of combinatorial problems.

Keywords: Quadratic assignment problem, Genetic algorithm, Replacement strategy, QAPLIB.

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Authors: Luciano Nieddu, Giuseppe Manfredi, Salvatore D'Acunto, Katia La Regina

Abstract:

In this paper a non-parametric statistical pattern recognition algorithm for the problem of credit scoring will be presented. The proposed algorithm is based on a clustering k- means algorithm and allows for the determination of subclasses of homogenous elements in the data. The algorithm will be tested on two benchmark datasets and its performance compared with other well known pattern recognition algorithm for credit scoring.

Keywords: Constrained clustering, Credit scoring, Statistical pattern recognition, Supervised classification.

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Authors: Bi Kun, Gu Nai-jie, Tu Kun, Liu Xiao-hu, Liu Gang

Abstract:

Traditional parallel single string matching algorithms are always based on PRAM computation model. Those algorithms concentrate on the cost optimal design and the theoretical speed. Based on the distributed string matching algorithm proposed by CHEN, a practical distributed string matching algorithm architecture is proposed in this paper. And also an improved single string matching algorithm based on a variant Boyer-Moore algorithm is presented. We implement our algorithm on the above architecture and the experiments prove that it is really practical and efficient on distributed memory machine. Its computation complexity is O(n/p + m), where n is the length of the text, and m is the length of the pattern, and p is the number of the processors.

Keywords: Boyer-Moore algorithm, distributed algorithm, parallel string matching, string matching.

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Authors: Pavel K. Lopatin, Artyom S. Yegorov

Abstract:

The Algorithm 2 for a n-link manipulator movement amidst arbitrary unknown static obstacles for a case when a sensor system supplies information about local neighborhoods of different points in the configuration space is presented. The Algorithm 2 guarantees the reaching of a target position in a finite number of steps. The Algorithm 2 is reduced to a finite number of calls of a subroutine for planning a trajectory in the presence of known forbidden states. The polynomial approximation algorithm which is used as the subroutine is presented. The results of the Algorithm2 implementation are given.

Keywords: Manipulator, trajectory planning, unknown obstacles.

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Authors: Cemil Turan, Mohammad Shukri Salman

Abstract:

The convergence rate of the least-mean-square (LMS) algorithm deteriorates if the input signal to the filter is correlated. In a system identification problem, this convergence rate can be improved if the signal is white and/or if the system is sparse. We recently proposed a sparse transform domain LMS-type algorithm that uses a variable step-size for a sparse system identification. The proposed algorithm provided high performance even if the input signal is highly correlated. In this work, we investigate the performance of the proposed TD-LMS algorithm for a large number of filter tap which is also a critical issue for standard LMS algorithm. Additionally, the optimum value of the most important parameter is calculated for all experiments. Moreover, the convergence analysis of the proposed algorithm is provided. The performance of the proposed algorithm has been compared to different algorithms in a sparse system identification setting of different sparsity levels and different number of filter taps. Simulations have shown that the proposed algorithm has prominent performance compared to the other algorithms.

Keywords: Adaptive filtering, sparse system identification, VSSLMS algorithm, TD-LMS algorithm.

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Authors: Shrawan Kumar, D. K. Lobiyal

Abstract:

In this paper, we propose improved versions of DVHop algorithm as QDV-Hop algorithm and UDV-Hop algorithm for better localization without the need for additional range measurement hardware. The proposed algorithm focuses on third step of DV-Hop, first error terms from estimated distances between unknown node and anchor nodes is separated and then minimized. In the QDV-Hop algorithm, quadratic programming is used to minimize the error to obtain better localization. However, quadratic programming requires a special optimization tool box that increases computational complexity. On the other hand, UDV-Hop algorithm achieves localization accuracy similar to that of QDV-Hop by solving unconstrained optimization problem that results in solving a system of linear equations without much increase in computational complexity. Simulation results show that the performance of our proposed schemes (QDV-Hop and UDV-Hop) is superior to DV-Hop and DV-Hop based algorithms in all considered scenarios.

Keywords: Wireless sensor networks, Error term, DV-Hop algorithm, Localization.

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Authors: A.Sankara Subramanian, G.Gurusamy, G.Selvakumar, P.Gnanasekar, A.Nagappan

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This paper presents an algorithm based on the wavelet decomposition, for feature extraction from the ECG signal and recognition of three types of Ventricular Arrhythmias using neural networks. A set of Discrete Wavelet Transform (DWT) coefficients, which contain the maximum information about the arrhythmias, is selected from the wavelet decomposition. After that a novel clustering algorithm based on nature inspired algorithm (Ant Colony Optimization) is developed for classifying arrhythmia types. The algorithm is applied on the ECG registrations from the MIT-BIH arrhythmia and malignant ventricular arrhythmia databases. We applied Daubechies 4 wavelet in our algorithm. The wavelet decomposition enabled us to perform the task efficiently and produced reliable results.

Keywords: Daubechies 4 Wavelet, ECG, Nature inspired algorithm, Ventricular Arrhythmias, Wavelet Decomposition.

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Authors: Vandana Sharma, Parvinder S. Sandhu, Satwinder Singh, Baljit Saini

Abstract:

In field of Computer Science and Mathematics, sorting algorithm is an algorithm that puts elements of a list in a certain order i.e. ascending or descending. Sorting is perhaps the most widely studied problem in computer science and is frequently used as a benchmark of a system-s performance. This paper presented the comparative performance study of four sorting algorithms on different platform. For each machine, it is found that the algorithm depends upon the number of elements to be sorted. In addition, as expected, results show that the relative performance of the algorithms differed on the various machines. So, algorithm performance is dependent on data size and there exists impact of hardware also.

Keywords: Algorithm, Analysis, Complexity, Sorting.

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Authors: Yahya H. Zweiri

Abstract:

The back-propagation algorithm calculates the weight changes of an artificial neural network, and a two-term algorithm with a dynamically optimal learning rate and a momentum factor is commonly used. Recently the addition of an extra term, called a proportional factor (PF), to the two-term BP algorithm was proposed. The third term increases the speed of the BP algorithm. However, the PF term also reduces the convergence of the BP algorithm, and optimization approaches for evaluating the learning parameters are required to facilitate the application of the three terms BP algorithm. This paper considers the optimization of the new back-propagation algorithm by using derivative information. A family of approaches exploiting the derivatives with respect to the learning rate, momentum factor and proportional factor is presented. These autonomously compute the derivatives in the weight space, by using information gathered from the forward and backward procedures. The three-term BP algorithm and the optimization approaches are evaluated using the benchmark XOR problem.

Keywords: Neural Networks, Backpropagation, Optimization.

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Authors: Neda Shahidi, Hadi Esmaeilzadeh, Marziye Abdollahi, Caro Lucas

Abstract:

In this paper, the problem of finding the optimal collision free path for a mobile robot, the path planning problem, is solved using an advanced evolutionary algorithm called memetic algorithm. What is new in this work is a novel representation of solutions for evolutionary algorithms that is efficient, simple and also compatible with memetic algorithm. The new representation makes it possible to solve the problem with a small population and in a few generations. It also makes the genetic operator simple and allows using an efficient local search operator within the evolutionary algorithm. The proposed algorithm is applied to two instances of path planning problem and the results are available.

Keywords: Path planning problem, Memetic Algorithm, Representation.

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Authors: Ning Dong, Bo Yu

Abstract:

We are concerned with a class of quadratic matrix equations arising from the overdamped mass-spring system. By exploring the structure of coefficient matrices, we propose a fast cyclic reduction algorithm to calculate the extreme solutions of the equation. Numerical experiments show that the proposed algorithm outperforms the original cyclic reduction and the structure-preserving doubling algorithm.

Keywords: Fast algorithm, Cyclic reduction, Overdampedquadratic matrix equation, Structure-preserving doubling algorithm

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