Genetic Algorithms and Investment Strategies: A Global Perspective

The profitability of momentum portfolios in the equity markets is derived from the continuation of stock returns over medium time horizons. The empirical evidence of momentum, however, is significantly different across markets around the world. The purpose of this dissertation is to: 1) help global investors determine the optimal selection and holding periods for momentum portfolios, 2) evaluate the profitability of the optimized momentum portfolios in different time periods and market states, 3) assess the investment strategy profits after considering transaction costs, and 4) interpret momentum returns within the framework of prior studies on investors’ behavior. Improving on the traditional practice of selecting arbitrary selection and holding periods, a genetic algorithm (GA) is employed. The GA performs a thorough and structured search to capture the return continuations and reversals patterns of momentum portfolios. Three portfolio formation methods are used: price momentum, earnings momentum, and earnings and price momentum and a non-linear optimization procedure (GA). The focus is on common equity of the U.S. and a select number of countries, including Australia, France, Germany, Japan, the Netherlands, Sweden, Switzerland and the United Kingdom. The findings suggest that the evolutionary algorithm increases the annualized profits of the U.S. momentum portfolios. However, the difference in mean returns is statistically significant only in certain cases. In addition, after considering transaction costs, both price and earnings and price momentum portfolios do not appear to generate abnormal returns. Positive risk-adjusted returns net of trading costs are documented solely during “up” markets for a portfolio long in prior winners only. The results on the international momentum effects indicate that the GA improves the momentum returns by 2 to 5% on an annual basis. In addition, the relation between momentum returns and exchange rate appreciation/depreciation is examined. The currency appreciation does not appear to influence significantly momentum profits. Further, the influence of the market state on momentum returns is not uniform across the countries considered. The implications of the above findings are discussed with a focus on the practical aspects of momentum investing, both in the U.S. and globally.

A study on the deployment of GA in a grid computing framework

Dissertação de Mestrado, Engenharia Informática, Faculdade de Ciências e Tecnologia, Universidade do Algarve, 2015

GA-ANN Short-Term Electricity Load Forecasting

This paper presents a methodology for short-term load forecasting based on genetic algorithm feature selection and artificial neural network modeling. A feed forward artificial neural network is used to model the 24-h ahead load based on past consumption, weather and stock index data. A genetic algorithm is used in order to find the best subset of variables for modeling. Three data sets of different geographical locations, encompassing areas of different dimensions with distinct load profiles are used in order to evaluate the methodology. The developed approach was found to generate models achieving a minimum mean average percentage error under 2 %. The feature selection algorithm was able to significantly reduce the number of used features and increase the accuracy of the models.

Determination Of Detergent And Dispensant Additives In Gasoline By Ring-oven And Near Infrared Hypespectral Imaging.

A method using the ring-oven technique for pre-concentration in filter paper discs and near infrared hyperspectral imaging is proposed to identify four detergent and dispersant additives, and to determine their concentration in gasoline. Different approaches were used to select the best image data processing in order to gather the relevant spectral information. This was attained by selecting the pixels of the region of interest (ROI), using a pre-calculated threshold value of the PCA scores arranged as histograms, to select the spectra set; summing up the selected spectra to achieve representativeness; and compensating for the superimposed filter paper spectral information, also supported by scores histograms for each individual sample. The best classification model was achieved using linear discriminant analysis and genetic algorithm (LDA/GA), whose correct classification rate in the external validation set was 92%. Previous classification of the type of additive present in the gasoline is necessary to define the PLS model required for its quantitative determination. Considering that two of the additives studied present high spectral similarity, a PLS regression model was constructed to predict their content in gasoline, while two additional models were used for the remaining additives. The results for the external validation of these regression models showed a mean percentage error of prediction varying from 5 to 15%.

Aptidão agrícola e algoritmos genéticos na organização espacial em projetos de reforma agrária

A definição das parcelas familiares em projetos de reforma agrária envolve questões técnicas e sociais. Essas questões estão associadas principalmente às diferentes aptidões agrícolas do solo nestes projetos. O objetivo deste trabalho foi apresentar método para realizar o processo de ordenamento territorial em assentamentos de reforma agrária empregando Algoritmo Genético (AG). O AG foi testado no Projeto de Assentamento Veredas, em Minas Gerais, e implementado com base no sistema de aptidão agrícola das terras.

System Identification and Prediction of Dengue Fever Incidence in Rio de Janeiro

Identification, prediction, and control of a system are engineering subjects, regardless of the nature of the system. Here, the temporal evolution of the number of individuals with dengue fever weekly recorded in the city of Rio de Janeiro, Brazil, during 2007, is used to identify SIS (susceptible-infective-susceptible) and SIR (susceptible-infective-removed) models formulated in terms of cellular automaton (CA). In the identification process, a genetic algorithm (GA) is utilized to find the probabilities of the state transition S -> I able of reproducing in the CA lattice the historical series of 2007. These probabilities depend on the number of infective neighbors. Time-varying and non-time-varying probabilities, three different sizes of lattices, and two kinds of coupling topology among the cells are taken into consideration. Then, these epidemiological models built by combining CA and GA are employed for predicting the cases of sick persons in 2008. Such models can be useful for forecasting and controlling the spreading of this infectious disease.

Simultaneous optimization by neuro-genetic approach for analysis of plant materials by laser induced breakdown spectroscopy

A simultaneous optimization strategy based on a neuro-genetic approach is proposed for selection of laser induced breakdown spectroscopy operational conditions for the simultaneous determination of macronutrients (Ca, Mg and P), micro-nutrients (B, Cu, Fe, Mn and Zn), Al and Si in plant samples. A laser induced breakdown spectroscopy system equipped with a 10 Hz Q-switched Nd:YAG laser (12 ns, 532 nm, 140 mJ) and an Echelle spectrometer with intensified coupled-charge device was used. Integration time gate, delay time, amplification gain and number of pulses were optimized. Pellets of spinach leaves (NIST 1570a) were employed as laboratory samples. In order to find a model that could correlate laser induced breakdown spectroscopy operational conditions with compromised high peak areas of all elements simultaneously, a Bayesian Regularized Artificial Neural Network approach was employed. Subsequently, a genetic algorithm was applied to find optimal conditions for the neural network model, in an approach called neuro-genetic, A single laser induced breakdown spectroscopy working condition that maximizes peak areas of all elements simultaneously, was obtained with the following optimized parameters: 9.0 mu s integration time gate, 1.1 mu s delay time, 225 (a.u.) amplification gain and 30 accumulated laser pulses. The proposed approach is a useful and a suitable tool for the optimization process of such a complex analytical problem. (C) 2009 Elsevier B.V. All rights reserved.

Node-Depth Encoding and Multiobjective Evolutionary Algorithm Applied to Large-Scale Distribution System Reconfiguration

The power loss reduction in distribution systems (DSs) is a nonlinear and multiobjective problem. Service restoration in DSs is even computationally hard since it additionally requires a solution in real-time. Both DS problems are computationally complex. For large-scale networks, the usual problem formulation has thousands of constraint equations. The node-depth encoding (NDE) enables a modeling of DSs problems that eliminates several constraint equations from the usual formulation, making the problem solution simpler. On the other hand, a multiobjective evolutionary algorithm (EA) based on subpopulation tables adequately models several objectives and constraints, enabling a better exploration of the search space. The combination of the multiobjective EA with NDE (MEAN) results in the proposed approach for solving DSs problems for large-scale networks. Simulation results have shown the MEAN is able to find adequate restoration plans for a real DS with 3860 buses and 632 switches in a running time of 0.68 s. Moreover, the MEAN has shown a sublinear running time in function of the system size. Tests with networks ranging from 632 to 5166 switches indicate that the MEAN can find network configurations corresponding to a power loss reduction of 27.64% for very large networks requiring relatively low running time.

A novel multiobjective optimization algorithm based on bacterial chemotaxis

In this article a novel algorithm based on the chemotaxis process of Echerichia coil is developed to solve multiobjective optimization problems. The algorithm uses fast nondominated sorting procedure, communication between the colony members and a simple chemotactical strategy to change the bacterial positions in order to explore the search space to find several optimal solutions. The proposed algorithm is validated using 11 benchmark problems and implementing three different performance measures to compare its performance with the NSGA-II genetic algorithm and with the particle swarm-based algorithm NSPSO. (C) 2009 Elsevier Ltd. All rights reserved.

Adaptive Approach for a Maximum Entropy Algorithm in Ecological Niche Modeling

This paper presents an Adaptive Maximum Entropy (AME) approach for modeling biological species. The Maximum Entropy algorithm (MaxEnt) is one of the most used methods in modeling biological species geographical distribution. The approach presented here is an alternative to the classical algorithm. Instead of using the same set features in the training, the AME approach tries to insert or to remove a single feature at each iteration. The aim is to reach the convergence faster without affect the performance of the generated models. The preliminary experiments were well performed. They showed an increasing on performance both in accuracy and in execution time. Comparisons with other algorithms are beyond the scope of this paper. Some important researches are proposed as future works.

Local search multiuser detection

In this work, a wide analysis of local search multiuser detection (LS-MUD) for direct sequence/code division multiple access (DS/CDMA) systems under multipath channels is carried out considering the performance-complexity trade-off. It is verified the robustness of the LS-MUD to variations in loading, E(b)/N(0), near-far effect, number of fingers of the Rake receiver and errors in the channel coefficients estimates. A compared analysis of the bit error rate (BER) and complexity trade-off is accomplished among LS, genetic algorithm (GA) and particle swarm optimization (PSO). Based on the deterministic behavior of the LS algorithm, it is also proposed simplifications over the cost function calculation, obtaining more efficient algorithms (simplified and combined LS-MUD versions) and creating new perspectives for the MUD implementation. The computational complexity is expressed in terms of the number of operations in order to converge. Our conclusion pointed out that the simplified LS (s-LS) method is always more efficient, independent of the system conditions, achieving a better performance with a lower complexity than the others heuristics detectors. Associated to this, the deterministic strategy and absence of input parameters made the s-LS algorithm the most appropriate for the MUD problem. (C) 2008 Elsevier GmbH. All rights reserved.

S/MIMO MC-CDMA Heuristic Multiuser Detectors Based on Single-Objective Optimization

This paper analyzes the complexity-performance trade-off of several heuristic near-optimum multiuser detection (MuD) approaches applied to the uplink of synchronous single/multiple-input multiple-output multicarrier code division multiple access (S/MIMO MC-CDMA) systems. Genetic algorithm (GA), short term tabu search (STTS) and reactive tabu search (RTS), simulated annealing (SA), particle swarm optimization (PSO), and 1-opt local search (1-LS) heuristic multiuser detection algorithms (Heur-MuDs) are analyzed in details, using a single-objective antenna-diversity-aided optimization approach. Monte- Carlo simulations show that, after convergence, the performances reached by all near-optimum Heur-MuDs are similar. However, the computational complexities may differ substantially, depending on the system operation conditions. Their complexities are carefully analyzed in order to obtain a general complexity-performance framework comparison and to show that unitary Hamming distance search MuD (uH-ds) approaches (1-LS, SA, RTS and STTS) reach the best convergence rates, and among them, the 1-LS-MuD provides the best trade-off between implementation complexity and bit error rate (BER) performance.

A spectral clustering algorithm for manufacturing cell formation

A graph clustering algorithm constructs groups of closely related parts and machines separately. After they are matched for the least intercell moves, a refining process runs on the initial cell formation to decrease the number of intercell moves. A simple modification of this main approach can deal with some practical constraints, such as the popular constraint of bounding the maximum number of machines in a cell. Our approach makes a big improvement in the computational time. More importantly, improvement is seen in the number of intercell moves when the computational results were compared with best known solutions from the literature. (C) 2009 Elsevier Ltd. All rights reserved.

Long-term price range forecast applied to risk management using regression models

Long-term contractual decisions are the basis of an efficient risk management. However those types of decisions have to be supported with a robust price forecast methodology. This paper reports a different approach for long-term price forecast which tries to give answers to that need. Making use of regression models, the proposed methodology has as main objective to find the maximum and a minimum Market Clearing Price (MCP) for a specific programming period, and with a desired confidence level α. Due to the problem complexity, the meta-heuristic Particle Swarm Optimization (PSO) was used to find the best regression parameters and the results compared with the obtained by using a Genetic Algorithm (GA). To validate these models, results from realistic data are presented and discussed in detail.

Addressing the facilities layout design problem through constraint logic programming

One of the most difficult problems that face researchers experimenting with complex systems in real world applications is the Facility Layout Design Problem. It relies with the design and location of production lines, machinery and equipment, inventory storage and shipping facilities. In this work it is intended to address this problem through the use of Constraint Logic Programming (CLP) technology. The use of Genetic Algorithms (GA) as optimisation technique in CLP environment is also an issue addressed. The approach aims the implementation of genetic algorithm operators following the CLP paradigm.