Probability Distributions.- Linear Models for Regression.- Linear Models for Classification.- Neural Networks.- Kernel Methods.- Sparse Kernel Machines.- Graphical Models.- Mixture Models and EM.- Approximate Inference.- Sampling Methods.- Continuous Latent Variables.- Sequential Data.- Combining Models.

Pattern Recognition and Machine Learning

The proliferation and ubiquity of temporal data across many disciplines has generated substantial interest in the analysis and mining of time series. Clustering is one of the most popular data mining methods, not only due to its exploratory power, but also as a preprocessing step or subroutine for other techniques. In this paper, we present k-Shape, a novel algorithm for time-series clustering. k-Shape relies on a scalable iterative refinement procedure, which creates homogeneous and well-separated clusters. As its distance measure, k-Shape uses a normalized version of the cross-correlation measure in order to consider the shapes of time series while comparing them. Based on the properties of that distance measure, we develop a method to compute cluster centroids, which are used in every iteration to update the assignment of time series to clusters. To demonstrate the robustness of k-Shape, we perform an extensive experimental evaluation of our approach against partitional, hierarchical, and spectral clustering methods, with combinations of the most competitive distance measures. k-Shape outperforms all scalable approaches in terms of accuracy. Furthermore, k-Shape also outperforms all non-scalable (and hence impractical) combinations, with one exception that achieves similar accuracy results. However, unlike k-Shape, this combination requires tuning of its distance measure and is two orders of magnitude slower than k-Shape. Overall, k-Shape emerges as a domain-independent, highly accurate, and highly efficient clustering approach for time series with broad applications.

k-Shape: Efficient and Accurate Clustering of Time Series

We propose a survey of soft computing techniques applied to financial market.We surveyed several primary studies proposed in the literature.A framework for building an intelligent trading system was proposed.Future directions of this research field are discussed. Financial markets play an important role on the economical and social organization of modern society. In these kinds of markets, information is an invaluable asset. However, with the modernization of the financial transactions and the information systems, the large amount of information available for a trader can make prohibitive the analysis of a financial asset. In the last decades, many researchers have attempted to develop computational intelligent methods and algorithms to support the decision-making in different financial market segments. In the literature, there is a huge number of scientific papers that investigate the use of computational intelligence techniques to solve financial market problems. However, only few studies have focused on review the literature of this topic. Most of the existing review articles have a limited scope, either by focusing on a specific financial market application or by focusing on a family of machine learning algorithms. This paper presents a review of the application of several computational intelligent methods in several financial applications. This paper gives an overview of the most important primary studies published from 2009 to 2015, which cover techniques for preprocessing and clustering of financial data, for forecasting future market movements, for mining financial text information, among others. The main contributions of this paper are: (i) a comprehensive review of the literature of this field, (ii) the definition of a systematic procedure for guiding the task of building an intelligent trading system and (iii) a discussion about the main challenges and open problems in this scientific field.

Computational Intelligence and Financial Markets

Social data in digital form—including user-generated content, expressed or implicit relations between people, and behavioral traces—are at the core of popular applications and platforms, driving the research agenda of many researchers. The promises of social data are many, including understanding “what the world thinks” about a social issue, brand, celebrity, or other entity, as well as enabling better decision-making in a variety of fields including public policy, healthcare, and economics. Many academics and practitioners have warned against the naive usage of social data. There are biases and inaccuracies occurring at the source of the data, but also introduced during processing. There are methodological limitations and pitfalls, as well as ethical boundaries and unexpected consequences that are often overlooked. This paper recognizes the rigor with which these issues are addressed by different researchers varies across a wide range. We identify a variety of menaces in the practices around social data use, and organize them in a framework that helps to identify them.

“For your own sanity, you have to remember that not all problems can be solved. Not all problems can be solved, but all problems can be illuminated.” –Ursula Franklin1

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Social Data: Biases, Methodological Pitfalls, and Ethical Boundaries.

Natural language processing (NLP), or the pragmatic research perspective of computational linguistics, has become increasingly powerful due to data availability and various techniques developed in the past decade. This increasing capability makes it possible to capture sentiments more accurately and semantics in a more nuanced way. Naturally, many applications are starting to seek improvements by adopting cutting-edge NLP techniques. Financial forecasting is no exception. As a result, articles that leverage NLP techniques to predict financial markets are fast accumulating, gradually establishing the research field of natural language based financial forecasting (NLFF), or from the application perspective, stock market prediction. This review article clarifies the scope of NLFF research by ordering and structuring techniques and applications from related work. The survey also aims to increase the understanding of progress and hotspots in NLFF, and bring about discussions across many different disciplines.

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Natural language based financial forecasting: a survey

We study the problem of correlating micro-blogging activity with stock-market events, defined as changes in the price and traded volume of stocks. Specifically, we collect messages related to a number of companies, and we search for correlations between stock-market events for those companies and features extracted from the micro-blogging messages. The features we extract can be categorized in two groups. Features in the first group measure the overall activity in the micro-blogging platform, such as number of posts, number of re-posts, and so on. Features in the second group measure properties of an induced interaction graph, for instance, the number of connected components, statistics on the degree distribution, and other graph-based properties.We present detailed experimental results measuring the correlation of the stock market events with these features, using Twitter as a data source. Our results show that the most correlated features are the number of connected components and the number of nodes of the interaction graph. The correlation is stronger with the traded volume than with the price of the stock. However, by using a simulator we show that even relatively small correlations between price and micro-blogging features can be exploited to drive a stock trading strategy that outperforms other baseline strategies.

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Correlating financial time series with micro-blogging activity

A large number of organizations today generate and share textual descriptions of their products, services, and actions. Such collections of textual data contain significant amount of structured information, which remains buried in the unstructured text. While information extraction algorithms facilitate the extraction of structured relations, they are often expensive and inaccurate, especially when operating on top of text that does not contain any instances of the targeted structured information. We present a novel alternative approach that facilitates the generation of the structured metadata by identifying documents that are likely to contain information of interest and this information is going to be subsequently useful for querying the database. Our approach relies on the idea that humans are more likely to add the necessary metadata during creation time, if prompted by the interface; or that it is much easier for humans (and/or algorithms) to identify the metadata when such information actually exists in the document, instead of naively prompting users to fill in forms with information that is not available in the document. As a major contribution of this paper, we present algorithms that identify structured attributes that are likely to appear within the document, by jointly utilizing the content of the text and the query workload. Our experimental evaluation shows that our approach generates superior results compared to approaches that rely only on the textual content or only on the query workload, to identify attributes of interest.

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Facilitating Document Annotation Using Content and Querying Value

There is an abundance of systems today to search for relevant patents, ranging from free ones like Google Patents (google.com/patents) to subscription ones like Delphion (delphion.com). After studying many existing systems, we found that they all apply general-purpose Information Retrieval (IR) techniques to rank patents. We argue that the quality of search can be significantly improved by exploiting the domain semantics: e.g., patents are organized into classes and subclasses, and have links to external publication and to other patents. Also patents' text is organized into various sections and uses specific legal wording.We present the PatentsSearcher system, available at PatentsSearcher.com, whose key contribution is to leverage the domain semantics to improve the quality of discovery and ranking. PatentsSearcher also offers other novel functionalities to help users locate and navigate relevant and important patents or applications.

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Patentssearcher: a novel portal to search and explore patents

Many online services like Twitter and GNIP offer streaming programming interfaces that allow real-time information filtering based on keyword or other conditions. However, all these services specify strict access constraints, or charge a cost based on the usage. We refer to such streams as “hidden streams” to draw a parallel to the well-studied hidden Web, which similarly restricts access to the contents of a database through a querying interface. At the same time, the users’ interest is often captured by complex classification models that, implicitly or explicitly, specify hundreds of keyword-based rules, along with the rules’ accuracies. In this paper, we study how to best utilize a constrained streaming access interface to maximize the number of retrieved relevant items, with respect to a classifier, expressed as a set of rules. We consider two problem variants. The static version assumes that the popularity of the keywords is known and constant across time. The dynamic version lifts this assumption, and can be viewed as an exploration-vs.-exploitation problem. We show that both problems are NP-hard, and propose exact and bounded approximation algorithms for various settings, including various access constraint types. We experimentally evaluate our algorithms on real Twitter data.

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Efficient Filtering on Hidden Document Streams

management tools like Microsoft's SharePoint allow users of an application domain to share documents a nd tag them in an ad-hoc way. Similarly, Google Base allows use rs to define attributes for their objects or choose from predefi ned templates. This ad-hoc or predefined annotation of the shared data incurs problems like schema explosion or inadequate data a nnotation, which in turn lead to poor search and analysis capa bilities. We propose CADS, a Collaborative Adaptive Data Sharing platform, where the information demand of the community-e.g., query workload-is exploited to annotate the data at insertion-time. A key novelty of CADS is that it learns with time t he most important data attributes of the application, and u ses this knowledge to guide the data insertion and querying. In this position paper, we present the challenges and preli minary design ideas for building a CADS platform. We use the appl ication of CADS on the Business Continuity Information Network (BCIN) of South Florida as a motivating example.

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Eduardo J. Ruiz

Papers

Correlating financial time series with micro-blogging activity

Facilitating Document Annotation Using Content and Querying Value

Patentssearcher: a novel portal to search and explore patents

Efficient Filtering on Hidden Document Streams

CADS: A Collaborative Adaptive Data Sharing Platform 1