scholarly journals A Holistic Auto-Configurable Ensemble Machine Learning Strategy for Financial Trading

Computation ◽  
2019 ◽  
Vol 7 (4) ◽  
pp. 67 ◽  
Author(s):  
Salvatore Carta ◽  
Andrea Corriga ◽  
Anselmo Ferreira ◽  
Diego Reforgiato Recupero ◽  
Roberto Saia
Keyword(s):  
Machine Learning ◽  
Financial Markets ◽  
Learning Strategy ◽  
Selection Process ◽  
Financial Trading ◽  
Ensemble Machine Learning ◽  
Canonical State ◽  
Financial Domain ◽  
Fluctuation Noise ◽  
Series Of Experiments

Financial markets forecasting represents a challenging task for a series of reasons, such as the irregularity, high fluctuation, noise of the involved data, and the peculiar high unpredictability of the financial domain. Moreover, literature does not offer a proper methodology to systematically identify intrinsic and hyper-parameters, input features, and base algorithms of a forecasting strategy in order to automatically adapt itself to the chosen market. To tackle these issues, this paper introduces a fully automated optimized ensemble approach, where an optimized feature selection process has been combined with an automatic ensemble machine learning strategy, created by a set of classifiers with intrinsic and hyper-parameters learned in each marked under consideration. A series of experiments performed on different real-world futures markets demonstrate the effectiveness of such an approach with regard to both to the Buy and Hold baseline strategy and to several canonical state-of-the-art solutions.

scholarly journals Ensemble Machine Learning Assisted Reservoir Characterization Using Field Production Data–An Offshore Field Case Study

Energies ◽  
2021 ◽  
Vol 14 (4) ◽  
pp. 1052
Author(s):  
Baozhong Wang ◽  
Jyotsna Sharma ◽  
Jianhua Chen ◽  
Patricia Persaud
Keyword(s):  
Machine Learning ◽  
Random Forest ◽  
Reservoir Characterization ◽  
Time Lapse ◽  
Production Data ◽  
Oil Saturation ◽  
Ensemble Machine Learning ◽  
Input Parameters ◽  
Saturation Profiles ◽  
Field Production

Estimation of fluid saturation is an important step in dynamic reservoir characterization. Machine learning techniques have been increasingly used in recent years for reservoir saturation prediction workflows. However, most of these studies require input parameters derived from cores, petrophysical logs, or seismic data, which may not always be readily available. Additionally, very few studies incorporate the production data, which is an important reflection of the dynamic reservoir properties and also typically the most frequently and reliably measured quantity throughout the life of a field. In this research, the random forest ensemble machine learning algorithm is implemented that uses the field-wide production and injection data (both measured at the surface) as the only input parameters to predict the time-lapse oil saturation profiles at well locations. The algorithm is optimized using feature selection based on feature importance score and Pearson correlation coefficient, in combination with geophysical domain-knowledge. The workflow is demonstrated using the actual field data from a structurally complex, heterogeneous, and heavily faulted offshore reservoir. The random forest model captures the trends from three and a half years of historical field production, injection, and simulated saturation data to predict future time-lapse oil saturation profiles at four deviated well locations with over 90% R-square, less than 6% Root Mean Square Error, and less than 7% Mean Absolute Percentage Error, in each case.

scholarly journals Machine Learning-Based Prediction of Air Quality

2020 ◽  
Vol 10 (24) ◽  
pp. 9151
Author(s):  
Yun-Chia Liang ◽  
Yona Maimury ◽  
Angela Hsiang-Ling Chen ◽  
Josue Rodolfo Cuevas Juarez
Keyword(s):  
Machine Learning ◽  
Air Quality ◽  
Random Forest ◽  
Prediction Models ◽  
Superior Performance ◽  
Support Vector ◽  
Economic Activities ◽  
Adaptive Boosting ◽  
Series Of Experiments ◽  
Artificial Neural Network Ann

Air, an essential natural resource, has been compromised in terms of quality by economic activities. Considerable research has been devoted to predicting instances of poor air quality, but most studies are limited by insufficient longitudinal data, making it difficult to account for seasonal and other factors. Several prediction models have been developed using an 11-year dataset collected by Taiwan’s Environmental Protection Administration (EPA). Machine learning methods, including adaptive boosting (AdaBoost), artificial neural network (ANN), random forest, stacking ensemble, and support vector machine (SVM), produce promising results for air quality index (AQI) level predictions. A series of experiments, using datasets for three different regions to obtain the best prediction performance from the stacking ensemble, AdaBoost, and random forest, found the stacking ensemble delivers consistently superior performance for R2 and RMSE, while AdaBoost provides best results for MAE.

Machine learning strategy for predicting flutter performance of streamlined box girders

2021 ◽  
Vol 209 ◽  
pp. 104493
Author(s):  
Haili Liao ◽  
Hanyu Mei ◽  
Gang Hu ◽  
Bo Wu ◽  
Qi Wang
Keyword(s):  
Machine Learning ◽  
Learning Strategy ◽  
Box Girders

scholarly journals Comparison of Ensemble Machine Learning Methods for Soil Erosion Pin Measurements

2021 ◽  
Vol 10 (1) ◽  
pp. 42
Author(s):  
Kieu Anh Nguyen ◽  
Walter Chen ◽  
Bor-Shiun Lin ◽  
Uma Seeboonruang
Keyword(s):  
Machine Learning ◽  
Soil Erosion ◽  
Ensemble Methods ◽  
Machine Learning Algorithms ◽  
Multivariate Adaptive Regression Splines ◽  
Gradient Boosting ◽  
Support Vector ◽  
Ensemble Machine Learning ◽  
Boosting Method ◽  
Bagging Method

Although machine learning has been extensively used in various fields, it has only recently been applied to soil erosion pin modeling. To improve upon previous methods of quantifying soil erosion based on erosion pin measurements, this study explored the possible application of ensemble machine learning algorithms to the Shihmen Reservoir watershed in northern Taiwan. Three categories of ensemble methods were considered in this study: (a) Bagging, (b) boosting, and (c) stacking. The bagging method in this study refers to bagged multivariate adaptive regression splines (bagged MARS) and random forest (RF), and the boosting method includes Cubist and gradient boosting machine (GBM). Finally, the stacking method is an ensemble method that uses a meta-model to combine the predictions of base models. This study used RF and GBM as the meta-models, decision tree, linear regression, artificial neural network, and support vector machine as the base models. The dataset used in this study was sampled using stratified random sampling to achieve a 70/30 split for the training and test data, and the process was repeated three times. The performance of six ensemble methods in three categories was analyzed based on the average of three attempts. It was found that GBM performed the best among the ensemble models with the lowest root-mean-square error (RMSE = 1.72 mm/year), the highest Nash-Sutcliffe efficiency (NSE = 0.54), and the highest index of agreement (d = 0.81). This result was confirmed by the spatial comparison of the absolute differences (errors) between model predictions and observations using GBM and RF in the study area. In summary, the results show that as a group, the bagging method and the boosting method performed equally well, and the stacking method was third for the erosion pin dataset considered in this study.

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