TY - GEN
T1 - Forecasting stock indices with wavelet-based kernel partial least square regressions
AU - Huang, Shian Chang
AU - Wu, Tung Kuang
PY - 2008/11/24
Y1 - 2008/11/24
N2 - This study combines wavelet-based feature extractions with kernel partial least square (PLS) regression for international stock index forecasting. Wavelet analysis is utilized as a preprocessing step to decompose and extract most important time scale features from high dimensional input data. Owing to the high dimensionality and heavy multi-collinearity of the input data, a kernel PLS regression model is employed to create the most efficient subspace that keeping maximum covariance between inputs and outputs, and perform the final forecasting. Compared with neural networks, pure SVMs or traditional GARCH models, the proposed model performs best. The root-mean-squared forecasting errors are significantly reduced.
AB - This study combines wavelet-based feature extractions with kernel partial least square (PLS) regression for international stock index forecasting. Wavelet analysis is utilized as a preprocessing step to decompose and extract most important time scale features from high dimensional input data. Owing to the high dimensionality and heavy multi-collinearity of the input data, a kernel PLS regression model is employed to create the most efficient subspace that keeping maximum covariance between inputs and outputs, and perform the final forecasting. Compared with neural networks, pure SVMs or traditional GARCH models, the proposed model performs best. The root-mean-squared forecasting errors are significantly reduced.
UR - http://www.scopus.com/inward/record.url?scp=56349157584&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=56349157584&partnerID=8YFLogxK
U2 - 10.1109/IJCNN.2008.4634059
DO - 10.1109/IJCNN.2008.4634059
M3 - Conference contribution
AN - SCOPUS:56349157584
SN - 9781424418213
T3 - Proceedings of the International Joint Conference on Neural Networks
SP - 1910
EP - 1916
BT - 2008 International Joint Conference on Neural Networks, IJCNN 2008
T2 - 2008 International Joint Conference on Neural Networks, IJCNN 2008
Y2 - 1 June 2008 through 8 June 2008
ER -