Value of information in the mean-square case and its application to the analysis of financial time-series forecast
Conference paper
Belavkin, R., Pardalos, P. and Principe, J. 2023. Value of information in the mean-square case and its application to the analysis of financial time-series forecast. Simos, D., Rasskazova, V., Archetti, F., Kotsireas, I. and Pardalos, P. (ed.) 16th International Conference on Learning and Intelligent Optimization. Milos Island, Greece 05 - 10 Jun 2022 Cham Springer. https://doi.org/10.1007/978-3-031-24866-5_39
| Type | Conference paper |
|---|---|
| Title | Value of information in the mean-square case and its application to the analysis of financial time-series forecast |
| Authors | Belavkin, R., Pardalos, P. and Principe, J. |
| Abstract | The advances and development of various machine learning techniques has lead to practical solutions in various areas of science, engineering, medicine and finance. The great choice of algorithms, their implementations and libraries has resulted in another challenge of selecting the right algorithm and tuning their parameters in order to achieve optimal or satisfactory performance in specific applications. Here we show how the value of information (V(I)) can be used in this task to guide the algorithm choice and parameter tuning process. After estimating the amount of Shannon's mutual information between the predictor and response variables, V(I) can define theoretical upper bound of performance of any algorithm. The inverse function I(V) defines the lower frontier of the minimum amount of information required to achieve the desired performance. In this paper, we illustrate the value of information for the mean-square error minimization and apply it to forecasts of cryptocurrency log-returns. |
| Keywords | Value of information; Shannon’s information; Mean-square error; Time-series forecast |
| Sustainable Development Goals | 9 Industry, innovation and infrastructure |
| Middlesex University Theme | Sustainability |
| Conference | 16th International Conference on Learning and Intelligent Optimization |
| Proceedings Title | Learning and Intelligent Optimization: 16th International Conference, LION 16, Milos Island, Greece, June 5–10, 2022, Revised Selected Papers |
| Series | Lecture Notes in Computer Science |
| Editors | Simos, D., Rasskazova, V., Archetti, F., Kotsireas, I. and Pardalos, P. |
| ISSN | 0302-9743 |
| Electronic | 1611-3349 |
| ISBN | |
| Paperback | 9783031248658 |
| Electronic | 9783031248665 |
| Publisher | Springer |
| Place of publication | Cham |
| Publication dates | |
| Online | 04 Feb 2023 |
| 05 Feb 2023 | |
| Publication process dates | |
| Deposited | 20 Jan 2023 |
| Accepted | 2022 |
| Output status | Published |
| Accepted author manuscript | File Access Level Open |
| Copyright Statement | This version of the article has been accepted for publication, after peer review (when applicable) and is subject to Springer Nature’s AM terms of use (https://www.springernature.com/gp/open-research/policies/accepted-ma...), but is not the Version of Record and does not reflect post-acceptance improvements, or any corrections. The Version of Record is available online at: http://dx.doi.org/10.1007/978-3-031-24866-5_39 |
| Digital Object Identifier (DOI) | https://doi.org/10.1007/978-3-031-24866-5_39 |
| Web address (URL) of conference proceedings | https://doi.org/10.1007/978-3-031-24866-5 |
| Language | English |
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