There has been a growing demand for portfolio management using robo-advisors, and hence, research on the automation of portfolio composition has been increasing. In this study, we propose a model that automates the portfolio structure by using the instability index of the financial time series and genetic algorithms (GAs). We use the instability index to filter the investment assets and optimize the threshold value used as a filtering criterion by applying a GA. For an empirical analysis, we use stocks, bonds, commodities exchange traded funds (ETFs), and exchange rate. We compare the performance of our model with that of risk parity and mean-variance models and find our model has better performance. Several additional experiments with our model using various internal parameters are conducted, and the proposed model with a one-month test period after one year of learning is found to provide the highest Sharpe ratio.
Sepsis is a life-threatening condition with a high mortality rate. Early prediction and treatment are the most effective strategies for increasing survival rates. This paper proposes a neural architecture search (NAS) model to predict the onset of sepsis with a low computational cost and high search performance by applying a genetic algorithm (GA). The proposed model shares the weights of all possible connection nodes internally within the neural network. Externally, the search cost is reduced through the weight-sharing effect between the genotypes of the GA. A predictive analysis was performed using the Medical Information Mart for Intensive Care III (MIMIC-III), a medical time-series dataset, with the primary objective of predicting sepsis onset 3 h before occurrence. In addition, experiments were conducted under various prediction times (0–12 h) for comparison. The proposed model exhibited an area under the receiver operating characteristic curve (AUROC) score of 0.94 (95% CI: 0.92–0.96) for 3 h, which is 0.31–0.26 higher than the scores obtained using the Sequential Organ Failure Assessment (SOFA), quick SOFA (qSOFA), and Simplified Acute Physiology Score (SAPS) II scoring systems. Furthermore, the proposed model exhibited a 12% improvement in the AUROC value over a simple model based on the long short-term memory neural network. Additionally, it is not only optimally searchable for sepsis onset prediction, but also outperforms conventional models that use similar predictive purposes and datasets. Notably, it is sufficiently robust to shape changes in the input data and has less structural dependence.
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