Combining ICA with Kernel based regressions for trading support systems on financial options

Shian-Chang Huang, Chuan Chyuan Li, Chih Wei Lee, M. Jen Chang

研究成果: Article

4 引文 斯高帕斯(Scopus)


Options are highly non-linear and complicated products in financial markets. Owing to the high risk associated with option trading, investment on options is a knowledge-intensive industry. This study develops a novel decision support system for option trading. In the first stage, independent component analysis (ICA) is employed to uncover the independent hidden forces of the stock market that drive the price movement of an option. In the second stage, a dynamic kernel predictors are constructed for trading decisions. Comparing with convectional feature extractions and pure regression models, the performance improvement of the new method is significant and robust. The cumulated trading profits are substantialy increased. The resultant intelligent investment decision support system can help investors, fund managers and investment decision-makers make profitable decisions.

頁(從 - 到)163-169
期刊Smart Innovation, Systems and Technologies
出版狀態Published - 2010 十二月 1


All Science Journal Classification (ASJC) codes

  • Decision Sciences(all)
  • Computer Science(all)