scholarly journals Forecasting and trading cryptocurrencies with machine learning under changing market conditions

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Helder Sebastião ◽  
Pedro Godinho
Keyword(s):  
Machine Learning ◽  
Linear Models ◽  
Test Sample ◽  
Trading Strategies ◽  
Network Activity ◽  
Machine Learning Techniques ◽  
Support Vector ◽  
Success Rates ◽  
Market Conditions ◽  
Sharpe Ratios

AbstractThis study examines the predictability of three major cryptocurrencies—bitcoin, ethereum, and litecoin—and the profitability of trading strategies devised upon machine learning techniques (e.g., linear models, random forests, and support vector machines). The models are validated in a period characterized by unprecedented turmoil and tested in a period of bear markets, allowing the assessment of whether the predictions are good even when the market direction changes between the validation and test periods. The classification and regression methods use attributes from trading and network activity for the period from August 15, 2015 to March 03, 2019, with the test sample beginning on April 13, 2018. For the test period, five out of 18 individual models have success rates of less than 50%. The trading strategies are built on model assembling. The ensemble assuming that five models produce identical signals (Ensemble 5) achieves the best performance for ethereum and litecoin, with annualized Sharpe ratios of 80.17% and 91.35% and annualized returns (after proportional round-trip trading costs of 0.5%) of 9.62% and 5.73%, respectively. These positive results support the claim that machine learning provides robust techniques for exploring the predictability of cryptocurrencies and for devising profitable trading strategies in these markets, even under adverse market conditions.

scholarly journals A Machine Learning View on Momentum and Reversal Trading

Algorithms ◽  
2018 ◽  
Vol 11 (11) ◽  
pp. 170 ◽  
Author(s):  
Zhixi Li ◽  
Vincent Tam
Keyword(s):  
Neural Network ◽  
Machine Learning ◽  
Stock Market ◽  
Short Term Memory ◽  
Predictive Ability ◽  
Trading Strategies ◽  
Machine Learning Techniques ◽  
Support Vector ◽  
Learning Approaches ◽  
Learning Techniques

Momentum and reversal effects are important phenomena in stock markets. In academia, relevant studies have been conducted for years. Researchers have attempted to analyze these phenomena using statistical methods and to give some plausible explanations. However, those explanations are sometimes unconvincing. Furthermore, it is very difficult to transfer the findings of these studies to real-world investment trading strategies due to the lack of predictive ability. This paper represents the first attempt to adopt machine learning techniques for investigating the momentum and reversal effects occurring in any stock market. In the study, various machine learning techniques, including the Decision Tree (DT), Support Vector Machine (SVM), Multilayer Perceptron Neural Network (MLP), and Long Short-Term Memory Neural Network (LSTM) were explored and compared carefully. Several models built on these machine learning approaches were used to predict the momentum or reversal effect on the stock market of mainland China, thus allowing investors to build corresponding trading strategies. The experimental results demonstrated that these machine learning approaches, especially the SVM, are beneficial for capturing the relevant momentum and reversal effects, and possibly building profitable trading strategies. Moreover, we propose the corresponding trading strategies in terms of market states to acquire the best investment returns.

LEARNING PROCESS BEHAVIOR FOR FAULT DETECTION

2011 ◽  
Vol 20 (05) ◽  
pp. 969-980 ◽  
Author(s):  
CÁSSIO M. M. PEREIRA ◽  
RODRIGO F. DE MELLO
Keyword(s):  
Machine Learning ◽  
Fault Detection ◽  
Linear Models ◽  
Moving Average ◽  
Machine Learning Techniques ◽  
Support Vector ◽  
Self Healing ◽  
Detection Techniques ◽  
Process Behavior ◽  
Changes Over Time

Recently, there has been an increased interest in self-healing systems. These types of systems are able to cope with failures in the environment they execute and work continuously by taking proactive actions to correct these problems. The detection of faults plays a prominent role in self-healing systems, as faults are the original causes of failures. Fault detection techniques proposed in the literature have been based on three mainstream approaches: process heartbeats, statistical analysis and machine learning. However, these approaches present limitations. Heartbeat-based techniques only detect failures, not faults. Statistical approaches generally assume linear models. Most machine learning techniques assume the data is independent and identically distributed. In order to overcome all these limitations we propose a new approach to address fault detection, which also gives insight into how process behavior changes over time in the presence of faults. Experiments show that the proposed approach achieves a twofold increase in F -measure when compared to Support Vector Machines (SVM) and Auto-Regressive Integrated Moving Average (ARIMA).

scholarly journals Practical foundations of machine learning for addiction research. Part I. Methods and techniques

2021 ◽  
Author(s):  
Pablo Cresta Morgado ◽  
Martín Carusso ◽  
Laura Alonso Alemany ◽  
Laura Acion
Keyword(s):  
Machine Learning ◽  
Linear Models ◽  
Principal Component ◽  
Research Field ◽  
Machine Learning Techniques ◽  
Support Vector ◽  
Learning Tools ◽  
Wide Range ◽  
Methods And Techniques ◽  
Research Problems

Machine learning assembles a broad set of methods and techniques to solve a wide range of problems, such as identifying individuals with substance use disorders (SUD), finding patterns in neuroimages, understanding SUD prognostic factors and their association, or determining addiction genetic underpinnings. However, machine learning use in the addiction research field continues to be insufficient. This two-part review focuses on machine learning tools and concepts and provides insights into their capabilities to facilitate their understanding and acquisition by addiction researchers. In this first part, we present supervised and unsupervised methods and techniques such as linear models, naive Bayes, support vector machines, artificial neural networks, k-means, or principal component analysis and examples of how these tools are already in use in addiction research. We also provide open-source programming tools to apply these techniques. Throughout this work, we link machine learning techniques to applied statistics. Machine learning tools and techniques can be applied to many addiction research problems and can improve addiction research.

Using Machine Learning Algorithms on Prediction of Stock Price

2020 ◽  
Vol 12 (2) ◽  
pp. 84-99
Author(s):  
Li-Pang Chen
Keyword(s):  
Machine Learning ◽  
Stock Price ◽  
Short Term Memory ◽  
Machine Learning Algorithms ◽  
Machine Learning Techniques ◽  
Support Vector ◽  
Short Term ◽  
Learning Techniques ◽  
Historical Database ◽  
Long Short Term Memory

In this paper, we investigate analysis and prediction of the time-dependent data. We focus our attention on four different stocks are selected from Yahoo Finance historical database. To build up models and predict the future stock price, we consider three different machine learning techniques including Long Short-Term Memory (LSTM), Convolutional Neural Networks (CNN) and Support Vector Regression (SVR). By treating close price, open price, daily low, daily high, adjusted close price, and volume of trades as predictors in machine learning methods, it can be shown that the prediction accuracy is improved.

A Comparative Study of Different Machine Learning Algorithms for Disease Prediction

2017 ◽  
Vol 7 (7) ◽  
pp. 172
Author(s):  
Anantvir Singh Romana
Keyword(s):  
Machine Learning ◽  
Subsequent Treatment ◽  
Machine Learning Algorithms ◽  
Machine Learning Techniques ◽  
Support Vector ◽  
Disease Prediction ◽  
Classification Problems ◽  
Learning Techniques ◽  
Neural Network Classifiers ◽  
Diagnostic Detection

Accurate diagnostic detection of the disease in a patient is critical and may alter the subsequent treatment and increase the chances of survival rate. Machine learning techniques have been instrumental in disease detection and are currently being used in various classification problems due to their accurate prediction performance. Various techniques may provide different desired accuracies and it is therefore imperative to use the most suitable method which provides the best desired results. This research seeks to provide comparative analysis of Support Vector Machine, Naïve bayes, J48 Decision Tree and neural network classifiers breast cancer and diabetes datsets.

Structure-Based Virtual Screening of Perfluoroalkyl and Polyfluoroalkyl Substances (PFASs) as Endocrine Disruptors of Androgen Receptor Activity Using Molecular Docking and Machine Learning

2020 ◽  
Author(s):  
Azhagiya Singam Ettayapuram Ramaprasad ◽  
Phum Tachachartvanich ◽  
Denis Fourches ◽  
Anatoly Soshilov ◽  
Jennifer C.Y. Hsieh ◽  
...  
Keyword(s):  
Machine Learning ◽  
Molecular Docking ◽  
Androgen Receptor ◽  
Endocrine Disruptors ◽  
Hormone Receptors ◽  
Steroid Hormone Receptors ◽  
Machine Learning Techniques ◽  
Support Vector ◽  
Polyfluoroalkyl Substances ◽  
Perfluoroalkyl And Polyfluoroalkyl Substances

Perfluoroalkyl and Polyfluoroalkyl Substances (PFASs) pose a substantial threat as endocrine disruptors, and thus early identification of those that may interact with steroid hormone receptors, such as the androgen receptor (AR), is critical. In this study we screened 5,206 PFASs from the CompTox database against the different binding sites on the AR using both molecular docking and machine learning techniques. We developed support vector machine models trained on Tox21 data to classify the active and inactive PFASs for AR using different chemical fingerprints as features. The maximum accuracy was 95.01% and Matthew’s correlation coefficient (MCC) was 0.76 respectively, based on MACCS fingerprints (MACCSFP). The combination of docking-based screening and machine learning models identified 29 PFASs that have strong potential for activity against the AR and should be considered priority chemicals for biological toxicity testing.

Binary Spectrum Feature for Improved Classifier Performance

2020 ◽  
Author(s):  
Nalika Ulapane ◽  
Karthick Thiyagarajan ◽  
sarath kodagoda
Keyword(s):  
Machine Learning ◽  
Classification Performance ◽  
Feature Reduction ◽  
Sensor Data ◽  
Machine Learning Techniques ◽  
Support Vector ◽  
Svm Classifier ◽  
Monitoring Task ◽  
Classifier Performance ◽  
Spectrum Feature

<div>Classification has become a vital task in modern machine learning and Artificial Intelligence applications, including smart sensing. Numerous machine learning techniques are available to perform classification. Similarly, numerous practices, such as feature selection (i.e., selection of a subset of descriptor variables that optimally describe the output), are available to improve classifier performance. In this paper, we consider the case of a given supervised learning classification task that has to be performed making use of continuous-valued features. It is assumed that an optimal subset of features has already been selected. Therefore, no further feature reduction, or feature addition, is to be carried out. Then, we attempt to improve the classification performance by passing the given feature set through a transformation that produces a new feature set which we have named the “Binary Spectrum”. Via a case study example done on some Pulsed Eddy Current sensor data captured from an infrastructure monitoring task, we demonstrate how the classification accuracy of a Support Vector Machine (SVM) classifier increases through the use of this Binary Spectrum feature, indicating the feature transformation’s potential for broader usage.</div><div><br></div>

Big Data to Knowledge: Application of Machine Learning to Predictive Modeling of Therapeutic Response in Cancer.

2020 ◽  
Vol 21 ◽  
Author(s):  
Sukanya Panja ◽  
Sarra Rahem ◽  
Cassandra J. Chu ◽  
Antonina Mitrofanova
Keyword(s):  
Machine Learning ◽  
Missing Values ◽  
Therapeutic Response ◽  
Patient Data ◽  
Machine Learning Techniques ◽  
Support Vector ◽  
Complex Data ◽  
Human Machine Interaction ◽  
Data Repositories ◽  
Response Modeling

Background: In recent years, the availability of high throughput technologies, establishment of large molecular patient data repositories, and advancement in computing power and storage have allowed elucidation of complex mechanisms implicated in therapeutic response in cancer patients. The breadth and depth of such data, alongside experimental noise and missing values, requires a sophisticated human-machine interaction that would allow effective learning from complex data and accurate forecasting of future outcomes, ideally embedded in the core of machine learning design. Objective: In this review, we will discuss machine learning techniques utilized for modeling of treatment response in cancer, including Random Forests, support vector machines, neural networks, and linear and logistic regression. We will overview their mathematical foundations and discuss their limitations and alternative approaches all in light of their application to therapeutic response modeling in cancer. Conclusion: We hypothesize that the increase in the number of patient profiles and potential temporal monitoring of patient data will define even more complex techniques, such as deep learning and causal analysis, as central players in therapeutic response modeling.

A Review on Machine-Learning Based Code Smell Detection Techniquesin Object-Oriented Software System(s)

2020 ◽  
Vol 13 ◽  
Author(s):  
Amandeep Kaur ◽  
Sushma Jain ◽  
Shivani Goel ◽  
Gaurav Dhiman
Keyword(s):  
Machine Learning ◽  
Programming Languages ◽  
Software Quality ◽  
Empirical Studies ◽  
Statistical Testing ◽  
Machine Learning Techniques ◽  
Support Vector ◽  
Code Smells ◽  
Detection Techniques ◽  
Code Smell

Context: Code smells are symptoms, that something may be wrong in software systems that can cause complications in maintaining software quality. In literature, there exists many code smells and their identification is far from trivial. Thus, several techniques have also been proposed to automate code smell detection in order to improve software quality. Objective: This paper presents an up-to-date review of simple and hybrid machine learning based code smell detection techniques and tools. Methods: We collected all the relevant research published in this field till 2020. We extracted the data from those articles and classified them into two major categories. In addition, we compared the selected studies based on several aspects like, code smells, machine learning techniques, datasets, programming languages used by datasets, dataset size, evaluation approach, and statistical testing. Results: Majority of empirical studies have proposed machine- learning based code smell detection tools. Support vector machine and decision tree algorithms are frequently used by the researchers. Along with this, a major proportion of research is conducted on Open Source Softwares (OSS) such as, Xerces, Gantt Project and ArgoUml. Furthermore, researchers paid more attention towards Feature Envy and Long Method code smells. Conclusion: We identified several areas of open research like, need of code smell detection techniques using hybrid approaches, need of validation employing industrial datasets, etc.

scholarly journals Predictive Modelling of Employee Turnover in Indian IT Industry Using Machine Learning Techniques

2019 ◽  
Vol 23 (1) ◽  
pp. 12-21 ◽  
Author(s):  
Shikha N. Khera ◽  
Divya
Keyword(s):  
Machine Learning ◽  
Learning Algorithm ◽  
Confusion Matrix ◽  
Predictive Modelling ◽  
Supervised Machine Learning ◽  
Machine Learning Techniques ◽  
Support Vector ◽  
It Industry ◽  
Knowledge Based ◽  
Employee Attrition

Information technology (IT) industry in India has been facing a systemic issue of high attrition in the past few years, resulting in monetary and knowledge-based loses to the companies. The aim of this research is to develop a model to predict employee attrition and provide the organizations opportunities to address any issue and improve retention. Predictive model was developed based on supervised machine learning algorithm, support vector machine (SVM). Archival employee data (consisting of 22 input features) were collected from Human Resource databases of three IT companies in India, including their employment status (response variable) at the time of collection. Accuracy results from the confusion matrix for the SVM model showed that the model has an accuracy of 85 per cent. Also, results show that the model performs better in predicting who will leave the firm as compared to predicting who will not leave the company.

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