GPPE: A Method to Generate Ad-Hoc Feature Extractors for Prediction in Financial Domains Articles uri icon

publication date

  • October 2008

start page

  • 174

end page

  • 185

issue

  • 2

volume

  • 29

International Standard Serial Number (ISSN)

  • 0924-669X

Electronic International Standard Serial Number (EISSN)

  • 1573-7497

abstract

  • When dealing with classification and regression problems, there is a strong need for high-quality attributes. This is a capital issue not only in financial problems, but in many Data Mining domains. Constructive Induction methods help to overcome this problem by mapping the original representation into a new one, where prediction becomes easier. In this work we present GPPE: a GP-based method that projects data from an original data space into another one where data approaches linear behavior (linear separability or linear regression). Also, GPPE is able to reduce the dimensionality of the problem by recombining related attributes and discarding irrelevant ones. We have applied GPPE to two financial domains: Bankruptcy prediction and IPO Underpricing prediction. In both cases GPPE automatically generated a new data representation that obtained competitive prediction rates and drastically reduced the dimensionality of the problem.[From the issue entitled "Special Issue on Soft Computing Techniques Applied to Finance. Guest Editors: Pedro Isasi and Asuncion Mochon"]