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NXCS Experts for Financial Time Series Forecasting

Chapter
Part of the Studies in Fuzziness and Soft Computing book series (STUDFUZZ, volume 150)

Abstract

Most of the early machine learning approaches -e.g., Decision Lists (DL) [1], [2], Decision Trees (DT) [3], Counterfactuals (CFs) [4], Classification And Regression Trees (CART) [5]- apply the divide-and-conquer principle by recursively partitioning the input space until regions of roughly constant class membership are obtained. The corresponding algorithms yield a monolithic result by enforcing heuristics devised to control the complexity of the search. Notwithstanding this apparent interpretation, they can also be reviewed in the light of a new perspective, in which the partitioning procedure is considered as a tool for generating multiple experts. Although with a different focus, both the evolutionary-computation and the connectionist communities allowed to make explicit the multiple experts’ perspective. In the former community, the focus was on establishing suitable architectures and techniques able to enforce an adaptive behavior on a population of individuals, e.g., Genetic Algorithms (GAs) [6], [7], Learning Classifier Systems (LCSs) [8], [9], and eXtended Classifier Systems (XCSs) [10]. In the latter community, the focus was mainly on training techniques and outputs combination mechanisms; in particular, let us recall Jordan and Jacobs’ Mixtures of Experts (MEs) [11], [12] and Weigend’s Gated Experts (GEs) [13].

Keywords

Stock Index Sharpe Ratio Learn Classifier System Multiple Expert Decision List 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2004

Authors and Affiliations

  1. 1.DIEE, Dept. of Electrical and Electronic EngineeringUniversity of CagliariCagliariItaly

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