A Preliminary Investigation of Overfitting in Evolutionary Driven Model Induction: Implications for Financial Modelling

Created by W.Langdon from gp-bibliography.bib Revision:1.8129

@InProceedings{tuite:evoapps11,

• author = "Cliodhna Tuite and Alexandros Agapitos and Michael O'Neill and Anthony Brabazon",
• title = "A Preliminary Investigation of Overfitting in Evolutionary Driven Model Induction: Implications for Financial Modelling",
• booktitle = "Applications of Evolutionary Computing, EvoApplications 2011: {EvoCOMNET}, {EvoFIN}, {EvoHOT}, {EvoMUSART}, {EvoSTIM}, {EvoTRANSLOG}",
• year = "2011",
• month = "27-29 " # apr,
• editor = "Cecilia {Di Chio} and Anthony Brabazon and Gianni {Di Caro} and Rolf Drechsler and Marc Ebner and Muddassar Farooq and Joern Grahl and Gary Greenfield and Christian Prins and Juan Romero and Giovanni Squillero and Ernesto Tarantino and Andrea G. B. Tettamanzi and Neil Urquhart and A. Sima Uyar",
• series = "LNCS",
• volume = "6625",
• publisher = "Springer Verlag",
• address = "Turin, Italy",
• publisher_address = "Berlin",
• pages = "120--130",
• organisation = "EvoStar",
• keywords = "genetic algorithms, genetic programming, grammatical evolution",
• isbn13 = "978-3-642-20519-4",
• DOI = "doi:10.1007/978-3-642-20520-0_13",
• size = "11 pages",
• abstract = "This paper investigates the effects of early stopping as a method to counteract overfitting in evolutionary data modelling using Genetic Programming. Early stopping has been proposed as a method to avoid model over training, which has been shown to lead to a significant degradation of out-of-sample performance. If we assume some sort of performance metric maximisation, the most widely used early training stopping criterion is the moment within the learning process that an unbiased estimate of the performance of the model begins to decrease after a strictly monotonic increase through the earlier learning iterations. We are conducting an initial investigation on the effects of early stopping in the performance of Genetic Programming in symbolic regression and financial modelling. Empirical results suggest that early stopping using the above criterion increases the extrapolation abilities of symbolic regression models, but is by no means the optimal training-stopping criterion in the case of a real-world financial dataset.",
• notes = "Part of \cite{DiChio:2011:evo_b} EvoApplications2011 held inconjunction with EuroGP'2011, EvoCOP2011 and EvoBIO2011",

}

Genetic Programming entries for Cliodhna Tuite Alexandros Agapitos Michael O'Neill Anthony Brabazon

Citations