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. ^

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.

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.

Data mining applied to the cognitive rehabilitation of patients with acquired brain injury

Acquired brain injury (ABI) is one of the leading causes of death and disability in the world and is associated with high health care costs as a result of the acute treatment and long term rehabilitation involved. Different algorithms and methods have been proposed to predict the effectiveness of rehabilitation programs. In general, research has focused on predicting the overall improvement of patients with ABI. The purpose of this study is the novel application of data mining (DM) techniques to predict the outcomes of cognitive rehabilitation in patients with ABI. We generate three predictive models that allow us to obtain new knowledge to evaluate and improve the effectiveness of the cognitive rehabilitation process. Decision tree (DT), multilayer perceptron (MLP) and general regression neural network (GRNN) have been used to construct the prediction models. 10-fold cross validation was carried out in order to test the algorithms, using the Institut Guttmann Neurorehabilitation Hospital (IG) patients database. Performance of the models was tested through specificity, sensitivity and accuracy analysis and confusion matrix analysis. The experimental results obtained by DT are clearly superior with a prediction average accuracy of 90.38%, while MLP and GRRN obtained a 78.7% and 75.96%, respectively. This study allows to increase the knowledge about the contributing factors of an ABI patient recovery and to estimate treatment efficacy in individual patients.

Self-configuring data mining for ubiquitous computing

Ubiquitous computing software needs to be autonomous so that essential decisions such as how to configure its particular execution are self-determined. Moreover, data mining serves an important role for ubiquitous computing by providing intelligence to several types of ubiquitous computing applications. Thus, automating ubiquitous data mining is also crucial. We focus on the problem of automatically configuring the execution of a ubiquitous data mining algorithm. In our solution, we generate configuration decisions in a resource aware and context aware manner since the algorithm executes in an environment in which the context often changes and computing resources are often severely limited. We propose to analyze the execution behavior of the data mining algorithm by mining its past executions. By doing so, we discover the effects of resource and context states as well as parameter settings on the data mining quality. We argue that a classification model is appropriate for predicting the behavior of an algorithm?s execution and we concentrate on decision tree classifier. We also define taxonomy on data mining quality so that tradeoff between prediction accuracy and classification specificity of each behavior model that classifies by a different abstraction of quality, is scored for model selection. Behavior model constituents and class label transformations are formally defined and experimental validation of the proposed approach is also performed.

Collaborative data stream mining in ubiquitous environments using dynamic classifier selection

In ubiquitous data stream mining applications, different devices often aim to learn concepts that are similar to some extent. In these applications, such as spam filtering or news recommendation, the data stream underlying concept (e.g., interesting mail/news) is likely to change over time. Therefore, the resultant model must be continuously adapted to such changes. This paper presents a novel Collaborative Data Stream Mining (Coll-Stream) approach that explores the similarities in the knowledge available from other devices to improve local classification accuracy. Coll-Stream integrates the community knowledge using an ensemble method where the classifiers are selected and weighted based on their local accuracy for different partitions of the feature space. We evaluate Coll-Stream classification accuracy in situations with concept drift, noise, partition granularity and concept similarity in relation to the local underlying concept. The experimental results show that Coll-Stream resultant model achieves stability and accuracy in a variety of situations using both synthetic and real world datasets.

Combining data mining and ontology engineering to enrich ontologies and linked data

In this position paper, we claim that the need for time consuming data preparation and result interpretation tasks in knowledge discovery, as well as for costly expert consultation and consensus building activities required for ontology building can be reduced through exploiting the interplay of data mining and ontology engineering. The aim is to obtain in a semi-automatic way new knowledge from distributed data sources that can be used for inference and reasoning, as well as to guide the extraction of further knowledge from these data sources. The proposed approach is based on the creation of a novel knowledge discovery method relying on the combination, through an iterative ?feedbackloop?, of (a) data mining techniques to make emerge implicit models from data and (b) pattern-based ontology engineering to capture these models in reusable, conceptual and inferable artefacts.

Data mining for the diagnosis of type 2 diabetes

Diabetes is the most common disease nowadays in all populations and in all age groups. diabetes contributing to heart disease, increases the risks of developing kidney disease, blindness, nerve damage, and blood vessel damage. Diabetes disease diagnosis via proper interpretation of the diabetes data is an important classification problem. Different techniques of artificial intelligence has been applied to diabetes problem. The purpose of this study is apply the artificial metaplasticity on multilayer perceptron (AMMLP) as a data mining (DM) technique for the diabetes disease diagnosis. The Pima Indians diabetes was used to test the proposed model AMMLP. The results obtained by AMMLP were compared with decision tree (DT), Bayesian classifier (BC) and other algorithms, recently proposed by other researchers, that were applied to the same database. The robustness of the algorithms are examined using classification accuracy, analysis of sensitivity and specificity, confusion matrix. The results obtained by AMMLP are superior to obtained by DT and BC.