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Comparing extended classifier system and genetic programming for financial forecasting: an empirical study

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Abstract

As a broad subfield of artificial intelligence, machine learning is concerned with the development of algorithms and techniques that allow computers to learn. These methods such as fuzzy logic, neural networks, support vector machines, decision trees and Bayesian learning have been applied to learn meaningful rules; however, the only drawback of these methods is that it often gets trapped into a local optimal. In contrast with machine learning methods, a genetic algorithm (GA) is guaranteeing for acquiring better results based on its natural evolution and global searching. GA has given rise to two new fields of research where global optimization is of crucial importance: genetic based machine learning (GBML) and genetic programming (GP). This article adopts the GBML technique to provide a three-phase knowledge extraction methodology, which makes continues and instant learning while integrates multiple rule sets into a centralized knowledge base. Moreover, the proposed system and GP are both applied to the theoretical and empirical experiments. Results for both approaches are presented and compared. This paper makes two important contributions: (1) it uses three criteria (accuracy, coverage, and fitness) to apply the knowledge extraction process which is very effective in selecting an optimal set of rules from a large population; (2) the experiments prove that the rule sets derived by the proposed approach are more accurate than GP.

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Authors and Affiliations

  1. Department of Accounting, National Changhua University of Education, #2, Shi-Da Road, Changhua, 50058, Taiwan, R.O.C.

    Mu-Yen Chen & Kuang-Ku Chen

  2. Department of Information Management, National Changhua University of Education, #2, Shi-Da Road, Changhua, 50058, Taiwan, R.O.C.

    Heien-Kun Chiang, Hwa-Shan Huang & Mu-Jung Huang

Authors
  1. Mu-Yen Chen

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  2. Kuang-Ku Chen

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  3. Heien-Kun Chiang

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  4. Hwa-Shan Huang

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  5. Mu-Jung Huang

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Correspondence toMu-Yen Chen.

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Chen, MY., Chen, KK., Chiang, HK.et al. Comparing extended classifier system and genetic programming for financial forecasting: an empirical study.Soft Comput11, 1173–1183 (2007). https://doi.org/10.1007/s00500-007-0161-3

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