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.

(Table 1) Individual codes, haplotype codes, GenBank accession numbers for DNA sequences and sample locality of the analysed Betamorpha fusiformis specimens from the ANDEEP III expedition

Based on our current knowledge about population genetics, phylogeography and speciation, we begin to understand that the deep sea harbours more species than suggested in the past. Deep-sea soft-sediment environment in particular hosts a diverse and highly endemic invertebrate fauna. Very little is known about evolutionary processes that generate this remarkable species richness, the genetic variability and spatial distribution of deep-sea animals. In this study, phylogeographic patterns and the genetic variability among eight populations of the abundant and widespread deep-sea isopod morphospecies Betamorpha fusiformis [Barnard, K.H., 1920. Contributions to the crustacean fauna of South Africa. 6. Further additions to the list of marine isopods. Annals of the South African Museum 17, 319-438] were examined. A fragment of the mitochondrial 16S rRNA gene of 50 specimens and the complete nuclear 18S rRNA gene of 7 specimens were sequenced. The molecular data reveal high levels of genetic variability of both genes between populations, giving evidence for distinct monophyletic groups of haplotypes with average p-distances ranging from 0.0470 to 0.1440 (d-distances: 0.0592-0.2850) of the 16S rDNA, and 18S rDNA p-distances ranging between 0.0032 and 0.0174 (d-distances: 0.0033-0.0195). Intermediate values are absent. Our results show that widely distributed benthic deep-sea organisms of a homogeneous phenotype can be differentiated into genetically highly divergent populations. Sympatry of some genotypes indicates the existence of cryptic speciation. Flocks of closely related but genetically distinct species probably exist in other widespread benthic deep-sea asellotes and other Peracarida. Based on existing data we hypothesize that many widespread morphospecies are complexes of cryptic biological species (patchwork hypothesis).

An application of evolutionary algorithms for WAG optimisation in the Norne Field

Water-alternating-gas (WAG) is an enhanced oil recovery method combining the improved macroscopic sweep of water flooding with the improved microscopic displacement of gas injection. The optimal design of the WAG parameters is usually based on numerical reservoir simulation via trial and error, limited by the reservoir engineer’s availability. Employing optimisation techniques can guide the simulation runs and reduce the number of function evaluations. In this study, robust evolutionary algorithms are utilized to optimise hydrocarbon WAG performance in the E-segment of the Norne field. The first objective function is selected to be the net present value (NPV) and two global semi-random search strategies, a genetic algorithm (GA) and particle swarm optimisation (PSO) are tested on different case studies with different numbers of controlling variables which are sampled from the set of water and gas injection rates, bottom-hole pressures of the oil production wells, cycle ratio, cycle time, the composition of the injected hydrocarbon gas (miscible/immiscible WAG) and the total WAG period. In progressive experiments, the number of decision-making variables is increased, increasing the problem complexity while potentially improving the efficacy of the WAG process. The second objective function is selected to be the incremental recovery factor (IRF) within a fixed total WAG simulation time and it is optimised using the same optimisation algorithms. The results from the two optimisation techniques are analyzed and their performance, convergence speed and the quality of the optimal solutions found by the algorithms in multiple trials are compared for each experiment. The distinctions between the optimal WAG parameters resulting from NPV and oil recovery optimisation are also examined. This is the first known work optimising over this complete set of WAG variables. The first use of PSO to optimise a WAG project at the field scale is also illustrated. Compared to the reference cases, the best overall values of the objective functions found by GA and PSO were 13.8% and 14.2% higher, respectively, if NPV is optimised over all the above variables, and 14.2% and 16.2% higher, respectively, if IRF is optimised.

Algorithms for super-resolution of images based on Sparse Representation and Manifolds

lmage super-resolution is defined as a class of techniques that enhance the spatial resolution of images. Super-resolution methods can be subdivided in single and multi image methods. This thesis focuses on developing algorithms based on mathematical theories for single image super­ resolution problems. lndeed, in arder to estimate an output image, we adopta mixed approach: i.e., we use both a dictionary of patches with sparsity constraints (typical of learning-based methods) and regularization terms (typical of reconstruction-based methods). Although the existing methods already per- form well, they do not take into account the geometry of the data to: regularize the solution, cluster data samples (samples are often clustered using algorithms with the Euclidean distance as a dissimilarity metric), learn dictionaries (they are often learned using PCA or K-SVD). Thus, state-of-the-art methods still suffer from shortcomings. In this work, we proposed three new methods to overcome these deficiencies. First, we developed SE-ASDS (a structure tensor based regularization term) in arder to improve the sharpness of edges. SE-ASDS achieves much better results than many state-of-the- art algorithms. Then, we proposed AGNN and GOC algorithms for determining a local subset of training samples from which a good local model can be computed for recon- structing a given input test sample, where we take into account the underlying geometry of the data. AGNN and GOC methods outperform spectral clustering, soft clustering, and geodesic distance based subset selection in most settings. Next, we proposed aSOB strategy which takes into account the geometry of the data and the dictionary size. The aSOB strategy outperforms both PCA and PGA methods. Finally, we combine all our methods in a unique algorithm, named G2SR. Our proposed G2SR algorithm shows better visual and quantitative results when compared to the results of state-of-the-art methods.

Principal Component Analysis of Results Obtained from Finite-Difference Time-Domain Algorithms

Finite-Differences Time-Domain (FDTD) algorithms are well established tools of computational electromagnetism. Because of their practical implementation as computer codes, they are affected by many numerical artefact and noise. In order to obtain better results we propose using Principal Component Analysis (PCA) based on multivariate statistical techniques. The PCA has been successfully used for the analysis of noise and spatial temporal structure in a sequence of images. It allows a straightforward discrimination between the numerical noise and the actual electromagnetic variables, and the quantitative estimation of their respective contributions. Besides, The GDTD results can be filtered to clean the effect of the noise. In this contribution we will show how the method can be applied to several FDTD simulations: the propagation of a pulse in vacuum, the analysis of two-dimensional photonic crystals. In this last case, PCA has revealed hidden electromagnetic structures related to actual modes of the photonic crystal.

Model updating using genetic algorithms with sequential niche technique

The authors would like to express their gratitude to organizations and people that supported this research. Piotr Omenzetter’s work within the Lloyd’s Register Foundation Centre for Safety and Reliability Engineering at the University of Aberdeen is supported by Lloyd’s Register Foundation. The Foundation helps to protect life and property by supporting engineering-related education, public engagement and the application of research. Ben Ryder of Aurecon and Graeme Cummings of HEB Construction assisted in obtaining access to the bridge and information for modelling. Luke Williams and Graham Bougen, undergraduate research students, assisted with testing.

Protein and Drug Design Algorithms Using Improved Biophysical Modeling

This thesis focuses on the development of algorithms that will allow protein design calculations to incorporate more realistic modeling assumptions. Protein design algorithms search large sequence spaces for protein sequences that are biologically and medically useful. Better modeling could improve the chance of success in designs and expand the range of problems to which these algorithms are applied. I have developed algorithms to improve modeling of backbone flexibility (DEEPer) and of more extensive continuous flexibility in general (EPIC and LUTE). I’ve also developed algorithms to perform multistate designs, which account for effects like specificity, with provable guarantees of accuracy (COMETS), and to accommodate a wider range of energy functions in design (EPIC and LUTE).

On Provable Algorithms for Determination of Continuous Protein Interdomain Motions from Residual Dipolar Couplings

Dynamics of biomolecules over various spatial and time scales are essential for biological functions such as molecular recognition, catalysis and signaling. However, reconstruction of biomolecular dynamics from experimental observables requires the determination of a conformational probability distribution. Unfortunately, these distributions cannot be fully constrained by the limited information from experiments, making the problem an ill-posed one in the terminology of Hadamard. The ill-posed nature of the problem comes from the fact that it has no unique solution. Multiple or even an infinite number of solutions may exist. To avoid the ill-posed nature, the problem needs to be regularized by making assumptions, which inevitably introduce biases into the result.

Here, I present two continuous probability density function approaches to solve an important inverse problem called the RDC trigonometric moment problem. By focusing on interdomain orientations we reduced the problem to determination of a distribution on the 3D rotational space from residual dipolar couplings (RDCs). We derived an analytical equation that relates alignment tensors of adjacent domains, which serves as the foundation of the two methods. In the first approach, the ill-posed nature of the problem was avoided by introducing a continuous distribution model, which enjoys a smoothness assumption. To find the optimal solution for the distribution, we also designed an efficient branch-and-bound algorithm that exploits the mathematical structure of the analytical solutions. The algorithm is guaranteed to find the distribution that best satisfies the analytical relationship. We observed good performance of the method when tested under various levels of experimental noise and when applied to two protein systems. The second approach avoids the use of any model by employing maximum entropy principles. This 'model-free' approach delivers the least biased result which presents our state of knowledge. In this approach, the solution is an exponential function of Lagrange multipliers. To determine the multipliers, a convex objective function is constructed. Consequently, the maximum entropy solution can be found easily by gradient descent methods. Both algorithms can be applied to biomolecular RDC data in general, including data from RNA and DNA molecules.

Algorithms for Geometric Matching, Clustering, and Covering

With the popularization of GPS-enabled devices such as mobile phones, location data are becoming available at an unprecedented scale. The locations may be collected from many different sources such as vehicles moving around a city, user check-ins in social networks, and geo-tagged micro-blogging photos or messages. Besides the longitude and latitude, each location record may also have a timestamp and additional information such as the name of the location. Time-ordered sequences of these locations form trajectories, which together contain useful high-level information about people's movement patterns.

The first part of this thesis focuses on a few geometric problems motivated by the matching and clustering of trajectories. We first give a new algorithm for computing a matching between a pair of curves under existing models such as dynamic time warping (DTW). The algorithm is more efficient than standard dynamic programming algorithms both theoretically and practically. We then propose a new matching model for trajectories that avoids the drawbacks of existing models. For trajectory clustering, we present an algorithm that computes clusters of subtrajectories, which correspond to common movement patterns. We also consider trajectories of check-ins, and propose a statistical generative model, which identifies check-in clusters as well as the transition patterns between the clusters.

The second part of the thesis considers the problem of covering shortest paths in a road network, motivated by an EV charging station placement problem. More specifically, a subset of vertices in the road network are selected to place charging stations so that every shortest path contains enough charging stations and can be traveled by an EV without draining the battery. We first introduce a general technique for the geometric set cover problem. This technique leads to near-linear-time approximation algorithms, which are the state-of-the-art algorithms for this problem in either running time or approximation ratio. We then use this technique to develop a near-linear-time algorithm for this

shortest-path cover problem.

Evaluating the spatial transferability and temporal repeatability of remote-sensing-based lake water quality retrieval algorithms at the European scale: a meta-analysis approach

Many studies have shown the considerable potential for the application of remote-sensing-based methods for deriving estimates of lake water quality. However, the reliable application of these methods across time and space is complicated by the diversity of lake types, sensor configuration, and the multitude of different algorithms proposed. This study tested one operational and 46 empirical algorithms sourced from the peer-reviewed literature that have individually shown potential for estimating lake water quality properties in the form of chlorophyll-a (algal biomass) and Secchi disc depth (SDD) (water transparency) in independent studies. Nearly half (19) of the algorithms were unsuitable for use with the remote-sensing data available for this study. The remaining 28 were assessed using the Terra/Aqua satellite archive to identify the best performing algorithms in terms of accuracy and transferability within the period 2001–2004 in four test lakes, namely Vänern, Vättern, Geneva, and Balaton. These lakes represent the broad continuum of large European lake types, varying in terms of eco-region (latitude/longitude and altitude), morphology, mixing regime, and trophic status. All algorithms were tested for each lake separately and combined to assess the degree of their applicability in ecologically different sites. None of the algorithms assessed in this study exhibited promise when all four lakes were combined into a single data set and most algorithms performed poorly even for specific lake types. A chlorophyll-a retrieval algorithm originally developed for eutrophic lakes showed the most promising results (R2 = 0.59) in oligotrophic lakes. Two SDD retrieval algorithms, one originally developed for turbid lakes and the other for lakes with various characteristics, exhibited promising results in relatively less turbid lakes (R2 = 0.62 and 0.76, respectively). The results presented here highlight the complexity associated with remotely sensed lake water quality estimates and the high degree of uncertainty due to various limitations, including the lake water optical properties and the choice of methods.

Distributed parallelization of greedy Mobile Network Optimization algorithms

The Mobile Network Optimization (MNO) technologies have advanced at a tremendous pace in recent years. And the Dynamic Network Optimization (DNO) concept emerged years ago, aimed to continuously optimize the network in response to variations in network traffic and conditions. Yet, DNO development is still at its infancy, mainly hindered by a significant bottleneck of the lengthy optimization runtime. This paper identifies parallelism in greedy MNO algorithms and presents an advanced distributed parallel solution. The solution is designed, implemented and applied to real-life projects whose results yield a significant, highly scalable and nearly linear speedup up to 6.9 and 14.5 on distributed 8-core and 16-core systems respectively. Meanwhile, optimization outputs exhibit self-consistency and high precision compared to their sequential counterpart. This is a milestone in realizing the DNO. Further, the techniques may be applied to similar greedy optimization algorithm based applications.

Asynchronous distributed parallelization of mobile network optimization algorithms

It has been years since the introduction of the Dynamic Network Optimization (DNO) concept, yet the DNO development is still at its infant stage, largely due to a lack of breakthrough in minimizing the lengthy optimization runtime. Our previous work, a distributed parallel solution, has achieved a significant speed gain. To cater for the increased optimization complexity pressed by the uptake of smartphones and tablets, however, this paper examines the potential areas for further improvement and presents a novel asynchronous distributed parallel design that minimizes the inter-process communications. The new approach is implemented and applied to real-life projects whose results demonstrate an augmented acceleration of 7.5 times on a 16-core distributed system compared to 6.1 of our previous solution. Moreover, there is no degradation in the optimization outcome. This is a solid sprint towards the realization of DNO.