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Dynamic Advisor-Based Ensemble (dynABE): Case Study in Stock Trend Prediction of a Major Critical Metal Producer

arXiv.org Machine Learning

The demand of metals by modern technology has been shifting from common base metals to a variety of minor metals, such as cobalt or indium. The industrial importance and limited geological availability of some minor metals have led to them being considered more "critical," and there is a growing interest in such critical metals and their producing companies. In this research, we create a novel framework, Dynamic Advisor-Based Ensemble (dynABE), to predict the stock trend of major critical metal producers. Specifically, dynABE first utilizes domain knowledge to group the features into different "advisors," each advisor dealing with a particular economic sector. Then through ensembles of weak classifiers, each advisor produces a prediction result, and all the advisors are combined again in a biased online update fashion to dynamically make the final prediction. Based on a misclassification error of 32% for Jinchuan Group's stock (HKG: 2362), we further test a simple stock trading strategy, which leads to a back-tested return of 296%, or an excess return of 130% within one year. In addition, the feature set selected by dynABE also suggests potentially influential factors to metal criticality, because stock prices of major producers influence metal production. Therefore, not only does this research propose a novel framework for specialized stock trend prediction, it also provides domain insights into dynamic features that potentially influence metal criticality.


A Linear Belief Function Approach to Portfolio Evaluation

arXiv.org Artificial Intelligence

By elaborating on the notion of linear belief functions (Dempster 1990; Liu 1996), we propose an elementary approach to knowledge representation for expert systems using linear belief functions. We show how to use basic matrices to represent market information and financial knowledge, including complete ignorance, statistical observations, subjective speculations, distributional assumptions, linear relations, and empirical asset pricing models. We then appeal to Dempster's rule of combination to integrate the knowledge for assessing an overall belief of portfolio performance, and updating the belief by incorporating additional information. We use an example of three gold stocks to illustrate the approach.


A Multi-Disciplinary Review of Knowledge Acquisition Methods: From Human to Autonomous Eliciting Agents

arXiv.org Artificial Intelligence

This paper offers a multi-disciplinary review of knowledge acquisition methods in human activity systems. The review captures the degree of involvement of various types of agencies in the knowledge acquisition process, and proposes a classification with three categories of methods: the human agent, the human-inspired agent, and the autonomous machine agent methods. In the first two categories, the acquisition of knowledge is seen as a cognitive task analysis exercise, while in the third category knowledge acquisition is treated as an autonomous knowledge-discovery endeavour. The motivation for this classification stems from the continuous change over time of the structure, meaning and purpose of human activity systems, which are seen as the factor that fuelled researchers' and practitioners' efforts in knowledge acquisition for more than a century. We show through this review that the KA field is increasingly active due to the higher and higher pace of change in human activity, and conclude by discussing the emergence of a fourth category of knowledge acquisition methods, which are based on red-teaming and co-evolution.


Automatic Discovery and Transfer of Task Hierarchies in Reinforcement Learning

AI Magazine

Sequential decision tasks present many opportunities for the study of transfer learning. A principal one among them is the existence of multiple domains that share the same underlying causal structure for actions. We describe an approach that exploits this shared causal structure to discover a hierarchical task structure in a source domain, which in turn speeds up learning of task execution knowledge in a new target domain. Our approach is theoretically justified and compares favorably to manually designed task hierarchies in learning efficiency in the target domain. We demonstrate that causally motivated task hierarchies transfer more robustly than other kinds of detailed knowledge that depend on the idiosyncrasies of the source domain and are hence less transferable.