A New Approach for Stock Price Analysis and Prediction Based on SSA and SVM
文献类型：期刊论文
| 作者 | Xiao, Jihong1,2; Zhu, Xuehong1,2; Huang, Chuangxia3; Yang, Xiaoguang4 ; Wen, Fenghua1,5,6; Zhong, Meirui1,2
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| 刊名 | INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING
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| 出版日期 | 2019 |
| 卷号 | 18期号:1页码:287-310 |
| 关键词 | Stock price singular spectrum analysis support vector machine combined model |
| ISSN号 | 0219-6220 |
| DOI | 10.1142/S021962201841002X |
| 英文摘要 | 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. |
| 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 |
| 语种 | 英语 |
| WOS记录号 | WOS:000457238100010 |
| 出版者 | WORLD SCIENTIFIC PUBL CO PTE LTD |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/32453]  |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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