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Issue title: Chance discovery
Guest editors: A. Abex and Y. Ohsaway
Article type: Research Article
Authors: Garcia-Almanza, Alma Lilia; * | Tsang, Edward P.K.
Affiliations: Department of Computer Science, University of Essex, Wivenhoe Park, Colchester, CO4 3SQ, UK | [x] ATR Knowledge Science Laboratories, Japan | [y] School of Engineering, The University of Tokyo, Japan
Correspondence: [*] Corresponding author. E-mail: algarc@essex.ac.uk
Abstract: The aim of this work is to detect important movements in financial stock prices that may indicate future opportunities or risks. The occurrence of such movements is scarce, thus this problem falls into the domain of Chance Discovery, a new research area whose objective is to identify rare events that may represent potential opportunities and risks. In this work we propose to capture patterns of the rare instances in different ways in order to increase the probability of identifying similar cases in the future. To generate more variety of solutions we evolve a genetic program, which is an evolutionary technique that is able to create multiple solutions for a single problem. The idea is to mine the knowledge acquired by the evolutionary process to extract and collect different rules that model the positive cases in several and novel ways. Once an important movement in financial markets has been discovered, human interaction is needed to analyze the markets conditions and determine if that movement could be a good opportunity to invest or could be the principle of a bubble or another critical event that represents a risk. Standard decision trees methods capture patterns from training data sets. However, when the chances are scare, some of the patters captured by the best rules may not repeat themselves in unseen cases. In this work we propose Repository Method which comprises multiple rules to form a more reliable classifier in rare cases. To illustrate our approach, it was applied to discover important movements in stock prices. From experimental results we showed that our approach can consistently detect rare cases in extreme imbalanced data sets.
DOI: 10.3233/KES-2007-11509
Journal: International Journal of Knowledge-based and Intelligent Engineering Systems, vol. 11, no. 5, pp. 329-344, 2007
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