Index Tracking Using Data-Mining Techniques and Mixed-Binary Linear Programming

Index tracking has become one of the most common strategies in asset management. The index-tracking problem consists of constructing a portfolio that replicates the future performance of an index by including only a subset of the index constituents in the portfolio. Finding the most representative subset is challenging when the number of stocks in the index is large. We introduce a new three-stage approach that at first identifies promising subsets by employing data-mining techniques, then determines the stock weights in the subsets using mixed-binary linear programming, and finally evaluates the subsets based on cross validation. The best subset is returned as the tracking portfolio. Our approach outperforms state-of-the-art methods in terms of out-of-sample performance and running times.

New algorithms for automated phylogenetic reconstruction using artificial intelligence and data mining techniques

Academic and industrial research in the late 90s have brought about an exponential explosion of DNA sequence data. Automated expert systems are being created to help biologists to extract patterns, trends and links from this ever-deepening ocean of information. Two such systems aimed on retrieving and subsequently utilizing phylogenetically relevant information have been developed in this dissertation, the major objective of which was to automate the often difficult and confusing phylogenetic reconstruction process. ^ Popular phylogenetic reconstruction methods, such as distance-based methods, attempt to find an optimal tree topology (that reflects the relationships among related sequences and their evolutionary history) by searching through the topology space. Various compromises between the fast (but incomplete) and exhaustive (but computationally prohibitive) search heuristics have been suggested. An intelligent compromise algorithm that relies on a flexible “beam” search principle from the Artificial Intelligence domain and uses the pre-computed local topology reliability information to adjust the beam search space continuously is described in the second chapter of this dissertation. ^ However, sometimes even a (virtually) complete distance-based method is inferior to the significantly more elaborate (and computationally expensive) maximum likelihood (ML) method. In fact, depending on the nature of the sequence data in question either method might prove to be superior. Therefore, it is difficult (even for an expert) to tell a priori which phylogenetic reconstruction method—distance-based, ML or maybe maximum parsimony (MP)—should be chosen for any particular data set. ^ A number of factors, often hidden, influence the performance of a method. For example, it is generally understood that for a phylogenetically “difficult” data set more sophisticated methods (e.g., ML) tend to be more effective and thus should be chosen. However, it is the interplay of many factors that one needs to consider in order to avoid choosing an inferior method (potentially a costly mistake, both in terms of computational expenses and in terms of reconstruction accuracy.) ^ Chapter III of this dissertation details a phylogenetic reconstruction expert system that selects a superior proper method automatically. It uses a classifier (a Decision Tree-inducing algorithm) to map a new data set to the proper phylogenetic reconstruction method. ^

A big data platform for large scale event processing

To date, big data applications have focused on the store-and-process paradigm. In this paper we describe an initiative to deal with big data applications for continuous streams of events. In many emerging applications, the volume of data being streamed is so large that the traditional ‘store-then-process’ paradigm is either not suitable or too inefficient. Moreover, soft-real time requirements might severely limit the engineering solutions. Many scenarios fit this description. In network security for cloud data centres, for instance, very high volumes of IP packets and events from sensors at firewalls, network switches and routers and servers need to be analyzed and should detect attacks in minimal time, in order to limit the effect of the malicious activity over the IT infrastructure. Similarly, in the fraud department of a credit card company, payment requests should be processed online and need to be processed as quickly as possible in order to provide meaningful results in real-time. An ideal system would detect fraud during the authorization process that lasts hundreds of milliseconds and deny the payment authorization, minimizing the damage to the user and the credit card company.

Adapting autonomously classification data mining algorithms for ubiquitous devices

Abstract Due to recent scientific and technological advances in information sys¬tems, it is now possible to perform almost every application on a mobile device. The need to make sense of such devices more intelligent opens an opportunity to design data mining algorithm that are able to autonomous execute in local devices to provide the device with knowledge. The problem behind autonomous mining deals with the proper configuration of the algorithm to produce the most appropriate results. Contextual information together with resource information of the device have a strong impact on both the feasibility of a particu¬lar execution and on the production of the proper patterns. On the other hand, performance of the algorithm expressed in terms of efficacy and efficiency highly depends on the features of the dataset to be analyzed together with values of the parameters of a particular implementation of an algorithm. However, few existing approaches deal with autonomous configuration of data mining algorithms and in any case they do not deal with contextual or resources information. Both issues are of particular significance, in particular for social net¬works application. In fact, the widespread use of social networks and consequently the amount of information shared have made the need of modeling context in social application a priority. Also the resource consumption has a crucial role in such platforms as the users are using social networks mainly on their mobile devices. This PhD thesis addresses the aforementioned open issues, focusing on i) Analyzing the behavior of algorithms, ii) mapping contextual and resources information to find the most appropriate configuration iii) applying the model for the case of a social recommender. Four main contributions are presented: - The EE-Model: is able to predict the behavior of a data mining algorithm in terms of resource consumed and accuracy of the mining model it will obtain. - The SC-Mapper: maps a situation defined by the context and resource state to a data mining configuration. - SOMAR: is a social activity (event and informal ongoings) recommender for mobile devices. - D-SOMAR: is an evolution of SOMAR which incorporates the configurator in order to provide updated recommendations. Finally, the experimental validation of the proposed contributions using synthetic and real datasets allows us to achieve the objectives and answer the research questions proposed for this dissertation.

Ontology-based access to sensor data streams

Sensor networks are increasingly becoming one of the main sources of Big Data on the Web. However, the observations that they produce are made available with heterogeneous schemas, vocabularies and data formats, making it difficult to share and reuse these data for other purposes than those for which they were originally set up. In this thesis we address these challenges, considering how we can transform streaming raw data to rich ontology-based information that is accessible through continuous queries for streaming data. Our main contribution is an ontology-based approach for providing data access and query capabilities to streaming data sources, allowing users to express their needs at a conceptual level, independent of implementation and language-specific details. We introduce novel query rewriting and data translation techniques that rely on mapping definitions relating streaming data models to ontological concepts. Specific contributions include: • The syntax and semantics of the SPARQLStream query language for ontologybased data access, and a query rewriting approach for transforming SPARQLStream queries into streaming algebra expressions. • The design of an ontology-based streaming data access engine that can internally reuse an existing data stream engine, complex event processor or sensor middleware, using R2RML mappings for defining relationships between streaming data models and ontology concepts. Concerning the sensor metadata of such streaming data sources, we have investigated how we can use raw measurements to characterize streaming data, producing enriched data descriptions in terms of ontological models. Our specific contributions are: • A representation of sensor data time series that captures gradient information that is useful to characterize types of sensor data. • A method for classifying sensor data time series and determining the type of data, using data mining techniques, and a method for extracting semantic sensor metadata features from the time series.

Cooperation between expert knowledge and data mining discovered knowledge: Lessons learned

Expert systems are built from knowledge traditionally elicited from the human expert. It is precisely knowledge elicitation from the expert that is the bottleneck in expert system construction. On the other hand, a data mining system, which automatically extracts knowledge, needs expert guidance on the successive decisions to be made in each of the system phases. In this context, expert knowledge and data mining discovered knowledge can cooperate, maximizing their individual capabilities: data mining discovered knowledge can be used as a complementary source of knowledge for the expert system, whereas expert knowledge can be used to guide the data mining process. This article summarizes different examples of systems where there is cooperation between expert knowledge and data mining discovered knowledge and reports our experience of such cooperation gathered from a medical diagnosis project called Intelligent Interpretation of Isokinetics Data, which we developed. From that experience, a series of lessons were learned throughout project development. Some of these lessons are generally applicable and others pertain exclusively to certain project types.