FORECASTING NIKKEI 225 INDEX WITH SUPPORT VECTOR MACHINE

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	FORECASTING NIKKEI 225 INDEX WITH SUPPORT VECTOR MACHINE
其他题名	Forecasting nikkei 225 index with support vector machine
	Huang Wei 1; Yoshiteru Nakamori 1; Wang Shouyang 2; Yu Lean 2
	2003-01-01
发表期刊	系统科学与复杂性：英文版
ISSN	1009-6124
卷号	16.0 期号:004 页码:415-423
摘要	Support Vector Machine (SVM) is a very specific type of learning algorithms characterized by the capacity control of the decision function, the use of the kernel functions and the sparsity of the solution. In this paper, we investigate the predictability of financial movement direction with SVM by forecasting the weekly movement direction of NIKKEI 225 index. To evaluate the forecasting ability of SVM, we compare the perfor-mance with those of Linear Discriminant Analysis, Quadratic Discriminant Analysis and Elman Backpropagation Neural Networks. The experiment results show that SVM outperforms other classification methods. Furthermore, we propose a combining model by integrating SVM with other classification methods. The combining model performs the best among the forecasting methods.
其他摘要	Support Vector Machine (SVM) is a very specific type of learning algorithms characterized by the capacity control of the decision function, the use of the kernel func-tions and the sparsity of the solution. In this paper, we investigate the predictability of financial movement direction with SVM by forecasting the weekly movement direction of NIKKEI 225 index. To evaluate the forecasting ability of SVM, we compare the perfor-mance with those of Linear1 Discriminant Analysis, Quadratic Discriminant Analysis and Elman Backpropagation Neural Networks. The experiment results show that SVM out-performs other classification methods. Furthermore, we propose a combining model by integrating SVM with other classification methods. The combining model performs the best among the forecasting methods.
关键词	支持向量机学习算法金融市场财务预测 NIKKEI225
收录类别	CSCD
语种	中文
CSCD记录号	CSCD:1271028
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/55714
专题	中国科学院数学与系统科学研究院
作者单位	1.北陆先端科学技术大学院大学 2.中国科学院数学与系统科学研究院
推荐引用方式 GB/T 7714	Huang Wei,Yoshiteru Nakamori,Wang Shouyang,et al. FORECASTING NIKKEI 225 INDEX WITH SUPPORT VECTOR MACHINE[J]. 系统科学与复杂性：英文版,2003,16.0(004):415-423.
APA	Huang Wei,Yoshiteru Nakamori,Wang Shouyang,&Yu Lean.(2003).FORECASTING NIKKEI 225 INDEX WITH SUPPORT VECTOR MACHINE.系统科学与复杂性：英文版,16.0(004),415-423.
MLA	Huang Wei,et al."FORECASTING NIKKEI 225 INDEX WITH SUPPORT VECTOR MACHINE".系统科学与复杂性：英文版 16.0.004(2003):415-423.