Please use this identifier to cite or link to this item: https://doi.org/10.1007/s005210170010
Title: Financial forecasting using Support Vector Machines
Authors: Cao, L.
Tay, F.E.H. 
Keywords: Back propagation algorithm
Financial time series forecasting
Generalisation
Multi-layer perceptron
Support vector machines
Issue Date: 2001
Citation: Cao, L., Tay, F.E.H. (2001). Financial forecasting using Support Vector Machines. Neural Computing and Applications 10 (2) : 184-192. ScholarBank@NUS Repository. https://doi.org/10.1007/s005210170010
Abstract: The use of Support Vector Machines (SVMs) is studied in financial forecasting by comparing it with a multi-layer perceptron trained by the Back Propagation (BP) algorithm. SVMs forecast better than BP based on the criteria of Normalised Mean Square Error (NMSE), Mean Absolute Error (MAE), Directional Symmetry (DS), Correct Up (CP) trend and Correct Down (CD) trend. S&P 500 daily price index is used as the data set. Since there is no structured way to choose the free parameters of SVMs, the generalisation error with respect to the free parameters of SVMs is investigated in this experiment. As illustrated in the experiment, they have little impact on the solution. Analysis of the experimental results demonstrates that it is advantageous to apply SVMs to forecast the financial time series.
Source Title: Neural Computing and Applications
URI: http://scholarbank.nus.edu.sg/handle/10635/60314
ISSN: 09410643
DOI: 10.1007/s005210170010
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