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abstract

Multidimensional time series feature engineering by hybrid evolutionary approach

Published: 13 July 2019 Publication History

Abstract

This paper proposes a hybrid evolutionary approach to feature engineering for mining frequent patterns from multidimensional financial ultra-high frequency time series. Experiments performed on real-world data from the London Stock Exchange Rebuilt Order Book database confirms that the evolutionary algorithm is capable of improving significantly the results of classification.

References

[1]
S. Das and P. Suganfhan. {n. d.}. Differential Evolution: A Survey of the State-of-the-Art. 15, 1 ({n. d.}), 4--31.
[2]
Martin D. Gould, Mason A. Porter, Stacy Williams, Mark McDonald, Daniel J. Fenn, and Sam D. Howison. {n. d.}. Limit order books. Quantitative Finance 13, 11 ({n.d.}), 1709--1742.
[3]
Piotr Lipinski. 2014. Training Complex Decision Support Systems with Differential Evolution Enhanced by Locally Linear Embedding. In Applications of Evolutionary Computation, EvoWorkshops 2014. Lecture Notes in Computer Science, Vol. 8602. Springer, 125--137.
[4]
Piotr Lipinski. 2017. Optimization of Representation for Extracting Knowledge from Ultra-High Frequency Time Series. In Proceedings of the IEEE International Conference on Evolutionary Computing (CEC). IEEE.
[5]
S. Roweis and L. Saul. {n. d.}. Nonlinear Dimensionality Reduction by Locally Linear Embedding. 290, 5500 ({n. d.}), 2323--2326.

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Published In

cover image ACM Conferences
GECCO '19: Proceedings of the Genetic and Evolutionary Computation Conference Companion
July 2019
2161 pages
ISBN:9781450367486
DOI:10.1145/3319619
Permission to make digital or hard copies of part or all of this work for personal or classroom use is granted without fee provided that copies are not made or distributed for profit or commercial advantage and that copies bear this notice and the full citation on the first page. Copyrights for third-party components of this work must be honored. For all other uses, contact the Owner/Author.

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Association for Computing Machinery

New York, NY, United States

Publication History

Published: 13 July 2019

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GECCO '19
Sponsor:
GECCO '19: Genetic and Evolutionary Computation Conference
July 13 - 17, 2019
Prague, Czech Republic

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Overall Acceptance Rate 1,669 of 4,410 submissions, 38%

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