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A well-established financial trading system should well perform in resource allocation, risk management, and sustainability. In this paper, we propose a self-management portfolio system with adaptive association mining for practical applications. The system allocates funds into independent units for risk management, and utilizes association mining and adaptive closing mechanism for resource allocation and sustainability, and adopts a self-management module for monitoring positions. The proposed system boosts the annual return and Sharpe ratio to 9.1% and 0.578 (increased to 2.28 and 2.48 times), and reduces the drawdown risk to 34.6% (decreased to almost half). Furthermore, the system rapidly closes the stock positions to avoid drawdown risk in the bear markets, and gradually increases the stock positions when the market turns into bull. Compared with benchmarks, proposed system outperforms all benchmarks in all measurements and on randomly sampled dataset.

Short term load forecasting (STLF) plays an essential role for reliable and economic operation of a power system. In general, the accuracies of the STLF algorithms are dependent on the representation of the input raw data. This paper proposes to use Bag of Words (BoW) model as the data representation to achieve improved accuracy of STLF. As verified in the experiments, the proposed representation of time series load data can drastically improve various STLF algorithms for a microgrid system --- a rather challenging case for load forecasting due to its smaller capacity and higher randomness.

An anomaly, or outlier, is an object exhibiting differences that suggest it belongs to an as-yet undefined class or category. Early detection of anomalies often proves of great importance because they may correspond to events such as fraud, spam, or device malfunctions. By automating the creation of a ranking or list of deviations, we can save time and decrease the cognitive overload of the individuals or groups responsible for responding to such events. Over the years many anomaly and outlier metrics have been developed. In this paper we propose a clustering-based score ensembling method for outlier detection. Using benchmark datasets we evaluate quantitatively the robustness and accuracy of different ensemble strategies. We find that ensembling strategies offer only limited value for increasing overall performance, but provide robustness by negating the influence of severely underperforming models.

Unsupervised domain adaptation deals with scenarios in which labeled data are available in the source domain, but only unlabeled data can be observed in the target domain. Since the classifiers trained by source-domain data would not be expected to generalize well in the target domain, how to transfer the label information from source to target-domain data is a challenging task. A common technique for unsupervised domain adaptation is to match cross-domain data distributions, so that the domain and distribution differences can be suppressed. In this paper, we propose to utilize the label information inferred from the source domain, while the structural information of the unlabeled target-domain data will be jointly exploited for adaptation purposes. Our proposed model not only reduces the distribution mismatch between domains, improved recognition of target-domain data can be achieved simultaneously. In the experiments, we will show that our approach performs favorably against the state-of-the-art unsupervised domain adaptation methods on benchmark data sets. We will also provide convergence, sensitivity, and robustness analysis, which support the use of our model for cross-domain classification.

Anomaly detection has been an important research topic in data mining and machine learning. Many real-world applications such as intrusion or credit card fraud detection require an effective and efficient framework to identify deviated data instances. However, most anomaly detection methods are typically implemented in batch mode, and thus cannot be easily extended to large-scale problems without sacrificing computation and memory requirements. In this paper, we propose an online oversampling principal component analysis (osPCA) algorithm to address this problem, and we aim at detecting the presence of outliers from a large amount of data via an online updating technique. Unlike prior principal component analysis (PCA)-based approaches, we do not store the entire data matrix or covariance matrix, and thus our approach is especially of interest in online or large-scale problems. By oversampling the target instance and extracting the principal direction of the data, the proposed osPCA allows us to determine the anomaly of the target instance according to the variation of the resulting dominant eigenvector. Since our osPCA need not perform eigen analysis explicitly, the proposed framework is favored for online applications which have computation or memory limitations. Compared with the well-known power method for PCA and other popular anomaly detection algorithms, our experimental results verify the feasibility of our proposed method in terms of both accuracy and efficiency.

When given multiple models it is often useful to combine them for improved reliability or performance over the individual models. Over the years many outlier metrics and detection methods have been developed for the purposed of finding data incongruous with the rest of the data. Inspired by the successes of supervised ensemble machine learning, many have proposed combining multiple anomaly detection methods together. We investigate the usefulness of building ensembles for the purpose of anomaly detection. We find that currently, to the best of our knowledge, there is no great advantage in using anything more complicated than the simple average over all available outlier scores.

We address a challenging unsupervised domain adaptation problem with imbalanced cross-domain data. For standard unsupervised domain adaptation, one typically obtains labeled data in the source domain and only observes unlabeled data in the target domain. However, most existing works do not consider the scenarios in which either the label numbers across domains are different, or the data in the source and/or target domains might be collected from multiple datasets. To address the aforementioned settings of imbalanced cross-domain data, we propose Closest Common Space Learning (CCSL) for associating such data with the capability of preserving label and structural information within and across domains. Experiments on multiple cross-domain visual classification tasks confirm that our method performs favorably against state-of-the-art approaches, especially when imbalanced cross-domain data are presented.

Variable Selection and Oversampling in the Use of Smooth Support Vector Machines for Predicting the Default Risk of Companies

Time series classification has attracted increasing attention in machine learning and data mining. In the analysis of time series data, how to represent data is a critical step for the performance. Generally, we can regard each time stamp as a feature dimension for time series data instance. However, this naive representation might be not suitable for data analysis due to the over-fitting of data. To address this problem, we proposed a temporal bag-of-words representation for time series classification. A codebook is generated by the representative subsequences from the time series data. Consequently, we encode a time series data instance by the codebook, which describes different local patterns of time series data. In our experiments, we demonstrate that our proposed method can achieve better results by comparing with competitive methods.

We aim at providing a comprehensive introduction to Support Vector Machines and their applications in computational finance. Based on the advances of the statistical learning theory, one of the first SVM algorithms was proposed in mid 1990s. Since then, they have drawn a lot of research interests both in theoretical and application domains and have became the state-of-the-art techniques in solving classification and regression problems. The reason for the success is not only because of their sound theoretical foundation but also their good generalization performance in many real applications. In this chapter, we address the theoretical, algorithmic and computational issues and try our best to make the article self-contained. Moreover, in the end of this chapter, a case study on default prediction is also presented. We discuss the issues when SVM algorithms are applied to bankruptcy prognosis such as how to deal with the unbalanced dataset, how to tune the parameters to have a better performance and how to deal with large scale dataset.

Anomaly detection aims to identify rare events that deviate remarkably from existing data. To satisfy real-world appli- cations, various anomaly detection technologies have been proposed. Due to the resource constraints, such as limited energy, computation ability and memory storage, most of them cannot be directly used in wireless sensor networks (WSNs). In this work, we proposed a hierarchical anomaly detection framework to overcome the challenges of anomaly detection in WSNs. We aim to detect anomalies by the accurate model and the approximated model learned at the re- mote server and sink nodes, respectively. Besides the framework, we also proposed an approximated local outlier factor algorithm, which can be learned at the sink nodes. The proposed algorithm is more efficient in computation and storage by comparing with the standard one. Experimental results verify the feasibility of our proposed method in terms of both accuracy and efficiency.