Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/60494
Title: Improved financial time series forecasting by combining Support Vector Machines with self-organizing feature map
Authors: Tay, F.E.H. 
Cao, L.J.
Keywords: financial time series forecasting
non-stationarity
self-organizing feature map
support vector machines
Issue Date: 2001
Source: Tay, F.E.H.,Cao, L.J. (2001). Improved financial time series forecasting by combining Support Vector Machines with self-organizing feature map. Intelligent Data Analysis 5 (4) : 339-354. ScholarBank@NUS Repository.
Abstract: A two-stage neural network architecture constructed by combining Support Vector Machines (SVMs) with self-organizing feature map (SOM) is proposed for financial time series forecasting. In the first stage, SOM is used as a clustering algorithm to partition the whole input space into several disjoint regions. A tree-structured architecture is adopted in the partition to avoid the problem of predetermining the number of partitioned regions. Then, in the second stage, multiple SVMs, also called SVM experts, that best fit each partitioned region are constructed by finding the most appropriate kernel function and the optimal learning parameters of SVMs. The Santa Fe exchange rate and five real futures contracts are used in the experiment. It is shown that the proposed method achieves both significantly higher prediction performance and faster convergence speed in comparison with a single SVM model. © 2001-IOS Press.
Source Title: Intelligent Data Analysis
URI: http://scholarbank.nus.edu.sg/handle/10635/60494
ISSN: 1088467X
Appears in Collections:Staff Publications

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