FORECASTING NIKKEI 225 INDEX WITH SUPPORT VECTOR MACHINE
文献类型：期刊论文
| 作者 | Huang Wei1; Yoshiteru Nakamori1; Wang Shouyang2; Yu Lean2 |
| 刊名 | 系统科学与复杂性：英文版
 |
| 出版日期 | 2003 |
| 卷号 | 16.0期号:004页码:415-423 |
| 关键词 | 支持向量机 学习算法 金融市场 财务预测 NIKKEI225 |
| ISSN号 | 1009-6124 |
| 其他题名 | Forecasting nikkei 225 index with support vector machine |
| 英文摘要 | 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. |
| 语种 | 中文 |
| CSCD记录号 | CSCD:1271028 |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/55713]  |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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