Title :
Two-layered evolutionary forecasting for IPO underpricing
Author :
Luque, C. ; Quintana, D. ; Valls, J.M. ; Isasi, P.
Author_Institution :
Dept. of Comput. Sci., Univ. Carlos III de Madrid, Leganes
Abstract :
In this paper we present a two-layered evolutionary system based on Voronoi regions to predict the initial return of a sample of initial pubic offerings. The proposed solution partitions the input space by evolving a set of prototypes using evolution strategies and subsequently fits specialized models to each of them. The exercise is repeated to produce a set of predictive models. The forecast for the return of new patterns is obtained averaging the solutions provided by different models into a single figure. The system is benchmarked against alternatives with the result of a strong relative performance.
Keywords :
evolutionary computation; forecasting theory; pricing; Voronoi region; initial pubic offering underpricing; two-layered evolutionary forecasting; two-layered evolutionary system; Economic forecasting; Evolutionary computation; Iterative algorithms; Linear regression; Machine learning algorithms; Predictive models; Prototypes; Stress; System testing; Training data;
Conference_Titel :
Evolutionary Computation, 2009. CEC '09. IEEE Congress on
Conference_Location :
Trondheim
Print_ISBN :
978-1-4244-2958-5
Electronic_ISBN :
978-1-4244-2959-2
DOI :
10.1109/CEC.2009.4983237
