Advertisement

Dynamics of Predictability and Variable Influences Identified in Financial Data Using Sliding Window Machine Learning

  • Stephan M. WinklerEmail author
  • Gabriel Kronberger
  • Michael Kommenda
  • Stefan Fink
  • Michael Affenzeller
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 9520)

Abstract

In this paper we analyze the dynamics of the predictability and variable interactions in financial data of the years 2007–2014. Using a sliding window approach, we have generated mathematical prediction models for various financial parameters using other available parameters in this data set. For each variable we identify the relevance of other variables with respect to prediction modeling. By applying sliding window machine learning we observe that changes of the predictability of financial variables as well as of influence factors can be identified by comparing modeling results generated for different periods of the last 8 years. We see changes of relationships and the predictability of financial variables over the last years, which corresponds to the fact that relationships and dynamics in the financial sector have changed significantly over the last decade. Still, our results show that the predictability has not decreased for all financial variables, indeed in numerous cases the prediction quality has even improved.

References

  1. 1.
    Wagner, S., Kronberger, G., Beham, A., Kommenda, M., Scheibenpflug, A., Pitzer, E., Vonolfen, S., Kofler, M., Winkler, S., Dorfer, V., Affenzeller, M.: Architecture and design of the HeuristicLab optimization environment. In: Klempous, R., Nikodem, J., Jacak, W., Chaczko, Z. (eds.) Advanced Methods and Applications in Computational Intelligence. TIEI, vol. 6, pp. 193–258. Springer, Heidelberg (2013) Google Scholar
  2. 2.
    Breiman, L.: Random forests. Mach. Learn. 45, 5–32 (2001)CrossRefzbMATHGoogle Scholar
  3. 3.
    Koza, J.R.: Genetic Programming: On the Programming of Computers by Means of Natural Selection. The MIT Press, Cambridge (1992) zbMATHGoogle Scholar
  4. 4.
    Winkler, S.: Evolutionary System Identification: Modern Concepts and Practical Applications. Schriften der Johannes Kepler Universität Linz, Universitätsverlag Rudolf Trauner (2009)Google Scholar
  5. 5.
    Affenzeller, M., Winkler, S., Wagner, S., Beham, A.: Genetic Algorithms and Genetic Programming - Modern Concepts and Practical Applications. Chapman & Hall CRC, Boca Raton (2009) CrossRefzbMATHGoogle Scholar
  6. 6.
    Kommenda, M., Kronberger, G., Wagner, S., Winkler, S., Affenzeller, M.: On the architecture and implementation of tree-based genetic programming in heuristiclab. In: Proceedings of the 14th Annual Conference Companion on Genetic and Evolutionary Computation, GECCO 2012, pp. 101–108. ACM, New York, NY, USA (2012)Google Scholar
  7. 7.
    Banzhaf, W., Lasarczyk, C.: Genetic programming of an algorithmic chemistry. In: O’Reilly, U., Yu, T., Riolo, R., Worzel, B. (eds.) Genetic Programming Theory and Practice II, pp. 175–190. Springer, New York (2004). Ann Arbor Google Scholar
  8. 8.
    Winkler, S., Schaller, S., Dorfer, V., Affenzeller, M., Petz, G., Karpowicz, M.: Data-based prediction of sentiments using heterogeneous model ensembles. Soft Comput. (2014)Google Scholar
  9. 9.
    Kronberger, G.: Symbolic Regression for Knowledge Discovery. Schriften der Johannes Kepler Universität Linz, Universitätsverlag Rudolf Trauner (2011)Google Scholar
  10. 10.
    Pearl, J.: Causality: Models, Reasoning and Inference, 2nd edn. Cambridge University Press, New York (2009) CrossRefzbMATHGoogle Scholar
  11. 11.
    Winkler, S.M., Kronberger, G., Affenzeller, M., Stekel, H.: Variable interaction networks in medical data. Int. J. Priv. Health Inf. Manage. 1, 1–16 (2013)Google Scholar

Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  • Stephan M. Winkler
    • 1
    • 3
    Email author
  • Gabriel Kronberger
    • 1
  • Michael Kommenda
    • 1
    • 3
  • Stefan Fink
    • 2
  • Michael Affenzeller
    • 1
    • 3
  1. 1.Hagenberg Campus Heuristic and Evolutionary Algorithms LaboratoryUniversity of Applied Sciences Upper AustriaHagenbergAustria
  2. 2.Department of EconomicsJohannes Kepler University LinzLinzAustria
  3. 3.Institute for Formal Models and VerificationJohannes Kepler University LinzLinzAustria

Personalised recommendations