arXiv subjects

Vadlamani Ravi

Publications and source records attributed to Vadlamani Ravi.

30 records · Page 2Linked to original sources

arXiv2022

Optimal Technical Indicator-based Trading Strategies Using NSGA-II

This paper proposes non-dominated sorting genetic algorithm-II (NSGA-II ) in the context of technical indicator-based stock trading, by finding optimal combinations of technical indicators to generate buy and sell strategies such that the objectives, namely, Sharpe ratio and Maximum Drawdown are maximized and minimized respectively. NSGA-II is chosen because it is a very popular and powerful bi-objective evolutionary algorithm. The training and testing used a rolling-based approach (two years training and a year for testing) and thus the results of the approach seem to be considerably better in stable periods without major economic fluctuations. Further, another important contribution of this study is to incorporate the transaction cost and domain expertise in the whole modeling approach.

cs.NE↗

arXiv2022

Scalable Feature Subset Selection for Big Data using Parallel Hybrid Evolutionary Algorithm based Wrapper in Apache Spark

Owing to the emergence of large datasets, applying current sequential wrapper-based feature subset selection (FSS) algorithms increases the complexity. This limitation motivated us to propose a wrapper for feature subset selection (FSS) based on parallel and distributed hybrid evolutionary algorithms (EAs) under the Apache Spark environment. The hybrid EAs are based on the BDE and Binary Threshold Accepting (BTA), a point-based EA, which is invoked to enhance the search capability and avoid premature convergence of the PB-DE. Thus, we designed the hybrid variants (i) parallel binary differential evolution and threshold accepting (PB-DETA), where DE and TA work in tandem in every iteration, and (ii) parallel binary threshold accepting and differential evolution (PB-TADE), where TA and DE work in tandem in every iteration under the Apache Spark environment. Both PB-DETA and PB-TADE are compared with the baseline, viz., the parallel version of the binary differential evolution (PB-DE). All three proposed approaches use logistic regression (LR) to compute the fitness function, namely, the area under ROC curve (AUC). The effectiveness of the proposed algorithms is tested over the five large datasets of varying feature space dimension, taken from cyber security and biology domains. It is noteworthy that the PB-TADE turned out to be statistically significant compared to PB-DE and PB-DETA. We reported the speedup analysis, average AUC obtained by the most repeated feature subset, feature subset with high AUC and least cardinality.

cs.NE↗

arXiv2021

Optimal Prediction Intervals for Macroeconomic Time Series Using Chaos and NSGA II

In a first-of-its-kind study, this paper proposes the formulation of constructing prediction intervals (PIs) in a time series as a bi-objective optimization problem and solves it with the help of Nondominated Sorting Genetic Algorithm (NSGA-II). We also proposed modeling the chaos present in the time series as a preprocessor in order to model the deterministic uncertainty present in the time series. Even though the proposed models are general in purpose, they are used here for quantifying the uncertainty in macroeconomic time series forecasting. Ideal PIs should be as narrow as possible while capturing most of the data points. Based on these two objectives, we formulated a bi-objective optimization problem to generate PIs in 2-stages, wherein reconstructing the phase space using Chaos theory (stage-1) is followed by generating optimal point prediction using NSGA-II and these point predictions are in turn used to obtain PIs (stage-2). We also proposed a 3-stage hybrid, wherein the 3rd stage invokes NSGA-II too in order to solve the problem of constructing PIs from the point prediction obtained in 2nd stage. The proposed models when applied to the macroeconomic time series, yielded better results in terms of both prediction interval coverage probability (PICP) and prediction interval average width (PIAW) compared to the state-of-the-art Lower Upper Bound Estimation Method (LUBE) with Gradient Descent (GD). The 3-stage model yielded better PICP compared to the 2-stage model but showed similar performance in PIAW with added computation cost of running NSGA-II second time.

cs.NE↗

arXiv2020

A Novel BGCapsule Network for Text Classification

Several text classification tasks such as sentiment analysis, news categorization, multi-label classification and opinion classification are challenging problems even for modern deep learning networks. Recently, Capsule Networks (CapsNets) are proposed for image classification. It has been shown that CapsNets have several advantages over Convolutional Neural Networks (CNNs), while their validity in the domain of text has been less explored. In this paper, we propose a novel hybrid architecture viz., BGCapsule, which is a Capsule model preceded by an ensemble of Bidirectional Gated Recurrent Units (BiGRU) for several text classification tasks. We employed an ensemble of Bidirectional GRUs for feature extraction layer preceding the primary capsule layer. The hybrid architecture, after performing basic pre-processing steps, consists of five layers: an embedding layer based on GloVe, a BiGRU based ensemble layer, a primary capsule layer, a flatten layer and fully connected ReLU layer followed by a fully connected softmax layer. In order to evaluate the effectiveness of BGCapsule, we conducted extensive experiments on five benchmark datasets (ranging from 10,000 records to 700,000 records) including Movie Review (MR Imdb 2005), AG News dataset, Dbpedia ontology dataset, Yelp Review Full dataset and Yelp review polarity dataset. These benchmarks cover several text classification tasks such as news categorization, sentiment analysis, multiclass classification, multi-label classification and opinion classification. We found that our proposed architecture (BGCapsule) achieves better accuracy compared to the existing methods without the help of any external linguistic knowledge such as positive sentiment keywords and negative sentiment keywords. Further, BGCapsule converged faster compared to other extant techniques.

cs.CL↗

arXiv2020

Article citation study: Context enhanced citation sentiment detection

Citation sentimet analysis is one of the little studied tasks for scientometric analysis. For citation analysis, we developed eight datasets comprising citation sentences, which are manually annotated by us into three sentiment polarities viz. positive, negative, and neutral. Among eight datasets, three were developed by considering the whole context of citations. Furthermore, we proposed an ensembled feature engineering method comprising word embeddings obtained for texts, parts-of-speech tags, and dependency relationships together. Ensembled features were considered as input to deep learning based approaches for citation sentiment classification, which is in turn compared with Bag-of-Words approach. Experimental results demonstrate that deep learning is useful for higher number of samples, whereas support vector machine is the winner for smaller number of samples. Moreover, context-based samples are proved to be more effective than context-less samples for citation sentiment analysis.

cs.CL↗

arXiv2020

Evolutionary Multi Objective Optimization Algorithm for Community Detection in Complex Social Networks

Most optimization-based community detection approaches formulate the problem in a single or bi-objective framework. In this paper, we propose two variants of a three-objective formulation using a customized non-dominated sorting genetic algorithm III (NSGA-III) to find community structures in a network. In the first variant, named NSGA-III-KRM, we considered Kernel k means, Ratio cut, and Modularity, as the three objectives, whereas the second variant, named NSGA-III-CCM, considers Community score, Community fitness and Modularity, as three objective functions. Experiments are conducted on four benchmark network datasets. Comparison with state-of-the-art approaches along with decomposition-based multi-objective evolutionary algorithm variants (MOEA/D-KRM and MOEA/D-CCM) indicates that the proposed variants yield comparable or better results. This is particularly significant because the addition of the third objective does not worsen the results of the other two objectives. We also propose a simple method to rank the Pareto solutions so obtained by proposing a new measure, namely the ratio of the hyper-volume and inverted generational distance (IGD). The higher the ratio, the better is the Pareto set. This strategy is particularly useful in the absence of empirical attainment function in the multi-objective framework, where the number of objectives is more than two.

cs.NE↗

arXiv2020

Optimizing the reliability of a bank with Logistic Regression and Particle Swarm Optimization

It is well-known that disciplines such as mechanical engineering, electrical engineering, civil engineering, aerospace engineering, chemical engineering and software engineering witnessed successful applications of reliability engineering concepts. However, the concept of reliability in its strict sense is missing in financial services. Therefore, in order to fill this gap, in a first-of-its-kind-study, we define the reliability of a bank/firm in terms of the financial ratios connoting the financial health of the bank to withstand the likelihood of insolvency or bankruptcy. For the purpose of estimating the reliability of a bank, we invoke a statistical and machine learning algorithm namely, logistic regression (LR). Once, the parameters are estimated in the 1st stage, we fix them and treat the financial ratios as decision variables. Thus, in the 1st stage, we accomplish the hitherto unknown way of estimating the reliability of a bank. Subsequently, in the 2nd stage, in order to maximize the reliability of the bank, we formulate an unconstrained optimization problem in a single-objective environment and solve it using the well-known particle swarm optimization (PSO) algorithm. Thus, in essence, these two stages correspond to predictive and prescriptive analytics respectively. The proposed 2-stage strategy of using them in tandem is beneficial to the decision-makers within a bank who can try to achieve the optimal or near-optimal values of the financial ratios in order to maximize the reliability which is tantamount to safeguarding their bank against solvency or bankruptcy.

q-fin.GN↗

arXiv2020

Evolutionary Multi-Objective Optimization Framework for Mining Association Rules

In this paper, two multi-objective optimization frameworks in two variants (i.e., NSGA-III-ARM-V1, NSGA-III-ARM-V2; and MOEAD-ARM-V1, MOEAD-ARM-V2) are proposed to find association rules from transactional datasets. The first framework uses Non-dominated sorting genetic algorithm III (NSGA-III) and the second uses Decomposition based multi-objective evolutionary algorithm (MOEA/D) to find the association rules which are diverse, non-redundant and non-dominated (having high objective function values). In both these frameworks, there is no need to specify minimum support and minimum confidence. In the first variant, support, confidence, and lift are considered as objective functions while in second, confidence, lift, and interestingness are considered as objective functions. These frameworks are tested on seven different kinds of datasets including two real-life bank datasets. Our study suggests that NSGA-III-ARM framework works better than MOEAD-ARM framework in both the variants across majority of the datasets.

cs.NE↗

arXiv2019

Predicting Indian stock market using the psycho-linguistic features of financial news

Financial forecasting using news articles is an emerging field. In this paper, we proposed hybrid intelligent models for stock market prediction using the psycholinguistic variables (LIWC and TAALES) extracted from news articles as predictor variables. For prediction purpose, we employed various intelligent techniques such as Multilayer Perceptron (MLP), Group Method of Data Handling (GMDH), General Regression Neural Network (GRNN), Random Forest (RF), Quantile Regression Random Forest (QRRF), Classification and regression tree (CART) and Support Vector Regression (SVR). We experimented on the data of 12 companies stocks, which are listed in the Bombay Stock Exchange (BSE). We employed chi-squared and maximum relevance and minimum redundancy (MRMR) feature selection techniques on the psycho-linguistic features obtained from the new articles etc. After extensive experimentation, using the Diebold-Mariano test, we conclude that GMDH and GRNN are statistically the best techniques in that order with respect to the MAPE and NRMSE values.

q-fin.ST↗

arXiv2019

Large Scale Global Optimization by Hybrid Evolutionary Computation

In management, business, economics, science, engineering, and research domains, Large Scale Global Optimization (LSGO) plays a predominant and vital role. Though LSGO is applied in many of the application domains, it is a very troublesome and a perverse task. The Congress on Evolutionary Computation (CEC) began an LSGO competition to come up with algorithms with a bunch of standard benchmark unconstrained LSGO functions. Therefore, in this paper, we propose a hybrid meta-heuristic algorithm, which combines an Improved and Modified Harmony Search (IMHS), along with a Modified Differential Evolution (MDE) with an alternate selection strategy. Harmony Search (HS) does the job of exploration and exploitation, and Differential Evolution does the job of giving a perturbation to the exploration of IMHS, as harmony search suffers from being stuck at the basin of local optimal. To judge the performance of the suggested algorithm, we compare the proposed algorithm with ten excellent meta-heuristic algorithms on fifteen LSGO benchmark functions, which have 1000 continuous decision variables, of the CEC 2013 LSGO special session. The experimental results consistently show that our proposed hybrid meta-heuristic performs statistically on par with some algorithms in a few problems, while it turned out to be the best in a couple of problems.

cs.NE↗

arXiv2019

A Review of Deep Learning with Special Emphasis on Architectures, Applications and Recent Trends

Deep learning has solved a problem that as little as five years ago was thought by many to be intractable - the automatic recognition of patterns in data; and it can do so with accuracy that often surpasses human beings. It has solved problems beyond the realm of traditional, hand-crafted machine learning algorithms and captured the imagination of practitioners trying to make sense out of the flood of data that now inundates our society. As public awareness of the efficacy of DL increases so does the desire to make use of it. But even for highly trained professionals it can be daunting to approach the rapidly increasing body of knowledge produced by experts in the field. Where does one start? How does one determine if a particular model is applicable to their problem? How does one train and deploy such a network? A primer on the subject can be a good place to start. With that in mind, we present an overview of some of the key multilayer ANNs that comprise DL. We also discuss some new automatic architecture optimization protocols that use multi-agent approaches. Further, since guaranteeing system uptime is becoming critical to many computer applications, we include a section on using neural networks for fault detection and subsequent mitigation. This is followed by an exploratory survey of several application areas where DL has emerged as a game-changing technology: anomalous behavior detection in financial applications or in financial time-series forecasting, predictive and prescriptive analytics, medical image processing and analysis and power systems research. The thrust of this review is to outline emerging areas of application-oriented research within the DL community as well as to provide a reference to researchers seeking to use it in their work for what it does best: statistical pattern recognition with unparalleled learning capacity with the ability to scale with information.

cs.LG↗

arXiv2019

CUDA-Self-Organizing feature map based visual sentiment analysis of bank customer complaints for Analytical CRM

With the widespread use of social media, companies now have access to a wealth of customer feedback data which has valuable applications to Customer Relationship Management (CRM). Analyzing customer grievances data, is paramount as their speedy non-redressal would lead to customer churn resulting in lower profitability. In this paper, we propose a descriptive analytics framework using Self-organizing feature map (SOM), for Visual Sentiment Analysis of customer complaints. The network learns the inherent grouping of the complaints automatically which can then be visualized too using various techniques. Analytical Customer Relationship Management (ACRM) executives can draw useful business insights from the maps and take timely remedial action. We also propose a high-performance version of the algorithm CUDASOM (CUDA based Self Organizing feature Map) implemented using NVIDIA parallel computing platform, CUDA, which speeds up the processing of high-dimensional text data and generates fast results. The efficacy of the proposed model has been demonstrated on the customer complaints data regarding the products and services of four leading Indian banks. CUDASOM achieved an average speed up of 44 times. Our approach can expand research into intelligent grievance redressal system to provide rapid solutions to the complaining customers.

cs.NE↗