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A Genetic Decomposition Algorithm for Predicting Rainfall within Financial Weather Derivatives

Cramer, Sam, Kampouridis, Michael, Freitas, Alex A. (2016) A Genetic Decomposition Algorithm for Predicting Rainfall within Financial Weather Derivatives. In: Genetic and Evolutionary Computation Conference (GECCO 2016), 20-24 July 2016, Denver, United States.

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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.

Item Type: Conference or workshop item (Paper)
Subjects: Q Science > QA Mathematics (inc Computing science)
Divisions: Faculties > Sciences > School of Computing > Computational Intelligence Group
Depositing User: S. Cramer
Date Deposited: 26 Apr 2016 15:14 UTC
Last Modified: 04 Feb 2020 04:08 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/55155 (The current URI for this page, for reference purposes)
Freitas, Alex A.: https://orcid.org/0000-0001-9825-4700
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