A Preliminary Investigation of Overfitting in Evolutionary Driven Model Induction: Implications for Financial Modelling


Tuite C., Agapitos A., O'Neill M., Brabazon A.

Conference on EvoApplications 2011: EvoCOMPLEX, EvoGAMES, EvoIASP, EvoINTELLIGENCE, EvoNUM, AND EvoSTOC, Torino, Italy, 27 - 29 April 2011, vol.6625, pp.120-130 identifier

  • Publication Type: Conference Paper / Full Text
  • Volume: 6625
  • City: Torino
  • Country: Italy
  • Page Numbers: pp.120-130

Abstract

This paper investigates the effects of early stopping as a method to counteract overfitting in evolutionary data modelling using Genetic Programming. Early stopping has been proposed as a method to avoid model overtraining, which has been shown to lead to a significant degradation of out-of-sample performance. If we assume some sort of performance metric maximisation, the most widely used early training stopping criterion is the moment within the learning process that an unbiased estimate of the performance of the model begins to decrease after a strictly monotonic increase through the earlier learning iterations. We are conducting an initial investigation on the effects of early stopping in the performance of Genetic Programming in symbolic regression and financial modelling. Empirical results suggest that early stopping using the above criterion increases the extrapolation abilities of symbolic regression models, but is by no means the optimal training-stopping criterion in the case of a real-world financial dataset.