Forecasting of Stock Returns by Using Manifold Wavelet Support Vector Machine

被引：0

作者：

汤凌冰 ^{[1
,2
]}

盛焕烨 ^{[1
]}

汤凌霄 ^{[3
]}

机构：

[1] Department of Computer Science and Engineering,Shanghai Jiaotong University

[2] School of Economics,Changsha University of Science & Technology

[3] Department of Computer and Electronic Engineering,Hunan Business College

来源：

Journal of Shanghai Jiaotong University(Science) | 2010年 / 15卷 / 01期

基金：

湖南省自然科学基金;

关键词：

stock returns forecasting; kernel; manifold wavelet support vector machine(MWSVM);

D O I：

暂无

中图分类号：

F426.4 [];

学科分类号：

0202 ; 020205 ;

摘要：

An admissible manifold wavelet kernel is proposed to construct manifold wavelet support vector machine(MWSVM) for stock returns forecasting.The manifold wavelet kernel is obtained by incorporating manifold theory into wavelet technique in support vector machine(SVM).Since manifold wavelet function can yield features that describe of the stock time series both at various locations and at varying time granularities,the MWSVM can approximate arbitrary nonlinear functions and forecast stock returns accurately.The applicability and validity of MWSVM for stock returns forecasting is confirmed through experiments on real-world stock data.

引用

页码：49 / 53

页数：5

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