A New Approach for Stock Price Analysis and Prediction Based on SSA and SVM

doi:10.1142/S021962201841002X

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	A New Approach for Stock Price Analysis and Prediction Based on SSA and SVM
	Xiao, Jihong 1,2; Zhu, Xuehong 1,2; Huang, Chuangxia 3; Yang, Xiaoguang4 ; Wen, Fenghua 1,5,6; Zhong, Meirui 1,2
	2019
发表期刊	INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING
ISSN	0219-6220
卷号	18 期号:1 页码:287-310
摘要	Stock price exhibits distinct features during different time scales due to the effects of complex factors. Analyzing these features can help delineate the mechanisms that determine the stock price and enhance the prediction accuracy of the stock price. By using singular spectrum analysis (SSA), this paper first decomposes the original price series into a trend component, a market fluctuation component and a noise component to analyze the stock price. The economic meanings of the three components are identified as a long-term trend, effects of significant events and short-term fluctuations caused by noise in the market. Then, to take into account the features of the above three components to the stock price prediction, a novel combined model that integrates SSA and support vector machine (SVM) (e.g., SSA-SVM) is proposed. Compared with SVM, adaptive network-based fuzzy inference system (ANFIS), ensemble empirical mode decomposition-ANFIS (EEMD-ANFIS), EEMD-SVM and SSA-ANFIS, SSA-SVM demonstrates the best prediction performance based on four criteria, indicating that the proposed model is a promising approach for stock price prediction.
关键词	Stock price singular spectrum analysis support vector machine combined model
DOI	10.1142/S021962201841002X
语种	英语
资助项目	National Natural Science Foundation of China[71371195] ; National Natural Science Foundation of China[71431008] ; National Natural Science Foundation of China[71471020] ; National Natural Science Foundation of China[71573282]
WOS研究方向	Computer Science ; Operations Research & Management Science
WOS类目	Computer Science, Artificial Intelligence ; Computer Science, Information Systems ; Computer Science, Interdisciplinary Applications ; Operations Research & Management Science
WOS记录号	WOS:000457238100010
出版者	WORLD SCIENTIFIC PUBL CO PTE LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/32454
专题	系统科学研究所
通讯作者	Zhong, Meirui
作者单位	1.Cent S Univ, Sch Business, Changsha 410083, Hunan, Peoples R China 2.Inst Met Resources Strategy, Changsha 410083, Hunan, Peoples R China 3.Changsha Univ Sci & Technol, Coll Math & Comp Sci, Changsha 410004, Hunan, Peoples R China 4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 5.Univ Windsor, Fac Engn, Supply Chain & Logist Optimizat Res Ctr, Windsor, ON, Canada 6.Univ Essex, Ctr Computat Finance & Econ Agents, Colchester CO4 3SQ, Essex, England
推荐引用方式 GB/T 7714	Xiao, Jihong,Zhu, Xuehong,Huang, Chuangxia,et al. A New Approach for Stock Price Analysis and Prediction Based on SSA and SVM[J]. INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING,2019,18(1):287-310.
APA	Xiao, Jihong,Zhu, Xuehong,Huang, Chuangxia,Yang, Xiaoguang,Wen, Fenghua,&Zhong, Meirui.(2019).A New Approach for Stock Price Analysis and Prediction Based on SSA and SVM.INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING,18(1),287-310.
MLA	Xiao, Jihong,et al."A New Approach for Stock Price Analysis and Prediction Based on SSA and SVM".INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING 18.1(2019):287-310.