A Genetic Decomposition Algorithm for Predicting Rainfall within Financial Weather Derivatives

Created by W.Langdon from gp-bibliography.bib Revision:1.8010

@InProceedings{Cramer:2016:GECCO,

• author = "Sam Cramer and Michael Kampouridis and Alex Freitas",
• title = "A Genetic Decomposition Algorithm for Predicting Rainfall within Financial Weather Derivatives",
• booktitle = "GECCO '16: Proceedings of the 2016 Annual Conference on Genetic and Evolutionary Computation",
• year = "2016",
• editor = "Tobias Friedrich and Frank Neumann and Andrew M. Sutton and Martin Middendorf and Xiaodong Li and Emma Hart and Mengjie Zhang and Youhei Akimoto and Peter A. N. Bosman and Terry Soule and Risto Miikkulainen and Daniele Loiacono and Julian Togelius and Manuel Lopez-Ibanez and Holger Hoos and Julia Handl and Faustino Gomez and Carlos M. Fonseca and Heike Trautmann and Alberto Moraglio and William F. Punch and Krzysztof Krawiec and Zdenek Vasicek and Thomas Jansen and Jim Smith and Simone Ludwig and JJ Merelo and Boris Naujoks and Enrique Alba and Gabriela Ochoa and Simon Poulding and Dirk Sudholt and Timo Koetzing",
• pages = "885--892",
• keywords = "genetic algorithms, genetic programming",
• month = "20-24 " # jul,
• organisation = "SIGEVO",
• address = "Denver, USA",
• publisher = "ACM",
• publisher_address = "New York, NY, USA",
• isbn13 = "978-1-4503-4206-3",
• DOI = "doi:10.1145/2908812.2908894",
• abstract = "Regression problems provide some of the most challenging research opportunities, where the predictions of such domains are critical to a specific application. Problem domains that exhibit large variability and are of chaotic nature are the most challenging to predict. Rainfall being a prime example, as it exhibits very unique characteristics that do not exist in other time series data. Moreover, rainfall is essential for applications that surround financial securities such as rainfall derivatives. This paper is interested in creating a new methodology for increasing the predictive accuracy of rainfall within the problem domain of rainfall derivatives. Currently, the process of predicting rainfall within rainfall derivatives is dominated by statistical models, namely Markov-chain extended with rainfall prediction (MCRP). In this paper, we propose a novel algorithm for decomposing rainfall, which is a hybrid Genetic Programming/Genetic Algorithm (GP/GA) algorithm. Hence, the overall problem becomes easier to solve. We compare the performance of our hybrid GP/GA, against MCRP, Radial Basis Function and GP without decomposition. We aim to show the effectiveness that a decomposition algorithm can have on the problem domain. Results show that in general decomposition has a very positive effect by statistically outperforming GP without decomposition and MCRP.",
• notes = "GECCO-2016 A Recombination of the 25th International Conference on Genetic Algorithms (ICGA-2016) and the 21st Annual Genetic Programming Conference (GP-2016)",

}

Genetic Programming entries for Sam Cramer Michael Kampouridis Alex Alves Freitas

Citations