Suárez Cetrulo, Andrés L.Cervantes Rovira, AlejandroQuintana, David2022-06-072022-06-072019-01-01Suárez-Cetrulo, A.L.; Cervantes, A.; Quintana, D. Incremental Market Behavior Classification in Presence of Recurring Concepts. Entropy 2019, 21, 25. https://doi.org/10.3390/e210100251099-4300https://hdl.handle.net/10016/35010In recent years, the problem of concept drift has gained importance in the financial domain. The succession of manias, panics and crashes have stressed the non-stationary nature and the likelihood of drastic structural or concept changes in the markets. Traditional systems are unable or slow to adapt to these changes. Ensemble-based systems are widely known for their good results predicting both cyclic and non-stationary data such as stock prices. In this work, we propose RCARF (Recurring Concepts Adaptive Random Forests), an ensemble tree-based online classifier that handles recurring concepts explicitly. The algorithm extends the capabilities of a version of Random Forest for evolving data streams, adding on top a mechanism to store and handle a shared collection of inactive trees, called concept history, which holds memories of the way market operators reacted in similar circumstances. This works in conjunction with a decision strategy that reacts to drift by replacing active trees with the best available alternative: either a previously stored tree from the concept history or a newly trained background tree. Both mechanisms are designed to provide fast reaction times and are thus applicable to high-frequency data. The experimental validation of the algorithm is based on the prediction of price movement directions one second ahead in the SPDR (Standard & Poor's Depositary Receipts) S&P 500 Exchange-Traded Fund. RCARF is benchmarked against other popular methods from the incremental online machine learning literature and is able to achieve competitive results.eng© MDPI, 2019Atribución 3.0 Españaensemble methodsadaptive classifiersrecurrent conceptsconcept driftstock price direction predictionresearch articleInformáticahttps://doi.org/10.3390/e21010025open access12518Entropy (Entropy)21AR/0000023296