Evolution Strategy in Portfolio Optimization
Selected Papers from the 5th European Conference on Artificial Evolution
Data Mining: Practical Machine Learning Tools and Techniques, Second Edition (Morgan Kaufmann Series in Data Management Systems)
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In this paper we present a two-layered evolutionary system based on Voronoi regions to predict the initial return of a sample of initial pubic offerings. The proposed solution partitions the input space by evolving a set of prototypes using evolution strategies and subsequently fits specialized models to each of them. The exercise is repeated to produce a set of predictive models. The forecast for the return of new patterns is obtained averaging the solutions provided by different models into a single figure. The system is benchmarked against alternatives with the result of a strong relative performance.