Combining wavelet-based feature extractions with relevance vector machines for stock index forecasting

Research output: Contribution to journalArticle

19 Citations (Scopus)

Abstract

The relevance vector machine (RVM) is a Bayesian version of the support vector machine, which with a sparse model representation has appeared to be a powerful tool for time-series forecasting. The RVM has demonstrated better performance over other methods such as neural networks or autoregressive integrated moving average based models. This study proposes a hybrid model that combines wavelet-based feature extractions with RVM models to forecast stock indices. The time series of explanatory variables are decomposed using some wavelet bases and the extracted time-scale features serve as inputs of an RVM to perform the non-parametric regression and forecasting. Compared with traditional forecasting models, our proposed method performs best. The root-mean-squared forecasting errors are significantly reduced.

Original languageEnglish
Pages (from-to)133-149
Number of pages17
JournalExpert Systems
Volume25
Issue number2
DOIs
Publication statusPublished - 2008 May 1

All Science Journal Classification (ASJC) codes

  • Control and Systems Engineering
  • Theoretical Computer Science
  • Computational Theory and Mathematics
  • Artificial Intelligence

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