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The Repository Method for Chance Discovery in Financial Forecasting

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Knowledge-Based Intelligent Information and Engineering Systems (KES 2006)

Part of the book series: Lecture Notes in Computer Science ((LNAI,volume 4253))

Abstract

The aim of this work is to forecast future opportunities in financial stock markets, in particular, we focus our attention on situations where positive instances are rare, which falls into the domain of Chance Discovery. Machine learning classifiers extend the past experiences into the future. However the imbalance between positive and negative cases poses a serious challenge to machine learning techniques. Because it favours negative classifications, which has a high chance of being correct due to the nature of the data. Genetic Algorithms have the ability to create multiple solutions for a single problem. To exploit this feature we propose to analyse the decision trees created by Genetic Programming. The objective is to extract and collect different rules that classify the positive cases. It lets model the rare instances in different ways, increasing the possibility of identifying similar cases in the future. To illustrate our approach, it was applied to predict investment opportunities with very high returns. From experiment results we showed that the Repository Method can consistently improve both the recall and the precision.

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Author information

Authors and Affiliations

  1. Department of Computer Science, University of Essex, Wivenhoe Park, Colchester, CO4 3SQ, UK

    Alma Lilia Garcia-Almanza & Edward P. K. Tsang

Authors
  1. Alma Lilia Garcia-Almanza
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  2. Edward P. K. Tsang
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Editor information

Editors and Affiliations

  1. School of Design, Engineering and Computing, Bournemouth University, UK

    Bogdan Gabrys

  2. Centre for SMART Systems, School of Environment and Technology, University of Brighton, BN2 4GJ, Brighton, UK

    Robert J. Howlett

  3. School of Electrical and Information Engineering, Knowledge Based Intelligent Engineering Systems Centre, University of South Australia, Mawson Lakes, 5095, SA, Australia

    Lakhmi C. Jain

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© 2006 Springer-Verlag Berlin Heidelberg

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Garcia-Almanza, A.L., Tsang, E.P.K. (2006). The Repository Method for Chance Discovery in Financial Forecasting. In: Gabrys, B., Howlett, R.J., Jain, L.C. (eds) Knowledge-Based Intelligent Information and Engineering Systems. KES 2006. Lecture Notes in Computer Science(), vol 4253. Springer, Berlin, Heidelberg. https://doi.org/10.1007/11893011_5

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  • DOI: https://doi.org/10.1007/11893011_5

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-46542-3

  • Online ISBN: 978-3-540-46544-7

  • eBook Packages: Computer ScienceComputer Science (R0)

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