Empirical analysis: stock market prediction via extreme learning machine
文献类型：期刊论文
| 作者 | Li, Xiaodong; Xie, Haoran; Wang, Ran; Cai, Yi; Cao, Jingjing; Wang, Feng; Min, Huaqing; Deng, Xiaotie |
| 刊名 | NEURAL COMPUTING & APPLICATIONS
 |
| 出版日期 | 2016 |
| 英文摘要 | How to predict stock price movements based on quantitative market data modeling is an attractive topic. In front of the market news and stock prices that are commonly believed as two important market data sources, how to extract and exploit the hidden information within the raw data and make both accurate and fast predictions simultaneously becomes a challenging problem. In this paper, we present the design and architecture of our trading signal mining platform that employs extreme learning machine (ELM) to makestock price prediction based on those two data sources concurrently. Comprehensive experimental comparisons between ELM and the state-of-the-art learning algorithms, including support vector machine(SVM) and back-propagation neural network (BP-NN), have been undertaken on the intra-day tick-by-tick data of the H-share market and contemporaneous news archives. The results have shown that (1) both RBF ELM and RBF SVM achieve higher prediction accuracy and faster prediction speed than BP-NN; (2) the RBF ELM achieves similar accuracy with the RBF SVM and (3) the RBF ELM has faster prediction speed than the RBF SVM. Simulations of a preliminary trading strategy with the signals are conducted. Results show that strategy with more accurate signals will make more profits with less risk. |
| 收录类别 | SCI |
| 原文出处 | http://link.springer.com/article/10.1007/s00521-014-1550-z |
| 语种 | 英语 |
| 源URL | [http://ir.siat.ac.cn:8080/handle/172644/10267]  |
| 专题 | 深圳先进技术研究院_数字所 |
| 作者单位 | NEURAL COMPUTING & APPLICATIONS |
| 推荐引用方式 GB/T 7714 | Li, Xiaodong,Xie, Haoran,Wang, Ran,et al. Empirical analysis: stock market prediction via extreme learning machine[J]. NEURAL COMPUTING & APPLICATIONS,2016. |
| APA | Li, Xiaodong.,Xie, Haoran.,Wang, Ran.,Cai, Yi.,Cao, Jingjing.,...&Deng, Xiaotie.(2016).Empirical analysis: stock market prediction via extreme learning machine.NEURAL COMPUTING & APPLICATIONS. |
| MLA | Li, Xiaodong,et al."Empirical analysis: stock market prediction via extreme learning machine".NEURAL COMPUTING & APPLICATIONS (2016). |
入库方式： OAI收割
来源：深圳先进技术研究院
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。