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A preliminary investigation of overfitting in evolutionary driven model induction : implications for financial modelling
Date Issued
2011-04-27
Date Available
2012-06-14T15:21:50Z
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 overtraining, 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.
Sponsorship
Science Foundation Ireland
Type of Material
Conference Publication
Publisher
Springer
Copyright (Published Version)
2011 Springer
Subject – LCSH
Genetic programming (Computer science)
Evolutionary computation
Finance--Computer simulation
Language
English
Status of Item
Peer reviewed
Part of
Di Chio, Cecilia et al (eds.). Applications of Evolutionary Computation EvoApplications 2011: EvoCOMNET, EvoFIN, EvoHOT, EvoMUSART, EvoSTIM, and EvoTRANSLOG, Torino, Italy, April 27-29, 2011, Proceedings, Part II
Conference Details
EvoFIN 2011, 5th European Event on Evolutionary and Natural Computation in Finance and Economics in EvoApplications, Torino, Italy, 27-29 April 2011
This item is made available under a Creative Commons License
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