Combining time-scale feature extractions with SVMs for stock index forecasting

Research output: Chapter in Book/Report/Conference proceedingConference contribution

3 Citations (Scopus)

Abstract

Support vector machine (SVM) has appeared as a powerful tool for time series forecasting and demonstrated better performance over other methods. This paper proposes a novel hybrid model which combines time-scale feature extractions with SVM models for stock index forecasting. The time series of explanatory variables are decomposed by the wavelet basis, and the extracted time-scale features then serve as inputs of a SVM model which performs the nonparametric forecasting. Compared with pure SVM models or traditional GARCH models, the performance of the new method is the best. The root-mean-squared forecasting errors are significantly reduced. The results of this study can help investors for controlling and reducing their risks in international investments.

Original languageEnglish
Title of host publicationNeural Information Processing - 13th International Conference, ICONIP 2006, Proceedings
PublisherSpringer Verlag
Pages390-399
Number of pages10
Volume4234 LNCS - III
ISBN (Print)3540464840, 9783540464846
Publication statusPublished - 2006 Jan 1
Event13th International Conference on Neural Information Processing, ICONIP 2006 - Hong Kong, China
Duration: 2006 Oct 32006 Oct 6

Publication series

NameLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume4234 LNCS - III
ISSN (Print)0302-9743
ISSN (Electronic)1611-3349

Other

Other13th International Conference on Neural Information Processing, ICONIP 2006
CountryChina
CityHong Kong
Period06-10-0306-10-06

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All Science Journal Classification (ASJC) codes

  • Theoretical Computer Science
  • Computer Science(all)

Cite this

Huang, S-C., & Wang, H-W. (2006). Combining time-scale feature extractions with SVMs for stock index forecasting. In Neural Information Processing - 13th International Conference, ICONIP 2006, Proceedings (Vol. 4234 LNCS - III, pp. 390-399). (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 4234 LNCS - III). Springer Verlag.