This paper presents an application of two nature-inspired algorithms to the financial problem concerning the detection of turning points. Nature-Inspired methods are receiving a growing interest due to their ability to cope with complex tasks like classification, forecasting and anomaly detection problems. A swarm intelligence algorithm, Particle Swarm Optimization (PSO), and an artificial immune system one, the Negative Selection (NS), are applied to the problem of detection of turning points, modeled as an Anomaly Detection (AD) problem, and their performances are compared. Both methods are found to give interesting results with respect to an unpredictable behavior.
A study of nature-inspired methods for financial trend reversal detection / A. Azzini, M. De Felice, A.G.B. Tettamanzi - In: Applications of evolutionary computation : EvoApplications 2010: EvoCOMPLEX, EvoGAMES, EvoIASP, EvoINTELLIGENCE, EvoNUM and EvoSTOC : Istanbul, Turkey, april 7-9, 2010 : proceedings. 2. / [a cura di] Cecilia Di Chio ... [et al.], (eds.). - Berlin : Springer, 2010. - ISBN 3642122418. - pp. 161-170 (( convegno European Conference on the Applications of Evolutionary Computation tenutosi a Istanbul nel 2010 [10.1007/978-3-642-12242-2_17].
A study of nature-inspired methods for financial trend reversal detection
A. AzziniPrimo
;A.G.B. TettamanziUltimo
2010
Abstract
This paper presents an application of two nature-inspired algorithms to the financial problem concerning the detection of turning points. Nature-Inspired methods are receiving a growing interest due to their ability to cope with complex tasks like classification, forecasting and anomaly detection problems. A swarm intelligence algorithm, Particle Swarm Optimization (PSO), and an artificial immune system one, the Negative Selection (NS), are applied to the problem of detection of turning points, modeled as an Anomaly Detection (AD) problem, and their performances are compared. Both methods are found to give interesting results with respect to an unpredictable behavior.Pubblicazioni consigliate
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