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pca based support vector machine technique for volatility forecasting
based SVM technique (PCASVM)to overcome the above limitations. Gaussian kernel trick ... parametric technique to forecast volatility of stock markets. After the  ...
[ IJRET20140308060.pdf - Read/Download File

Market Index and Stock Price Direction Prediction using Machine
proposed framework, PCA, as a feature selection method, identifies principal ... remarkable performance of 75% hit ratio by using a SVM-based model to predict Nihon .... aim to forecast the directions of daily movements of the stock price indices and of ..... volatility and over-fitting problems, which is clearer from the tables.
[ 1309.7119v1.pdf - Read/Download File

Financial time series prediction using least squares support vector
in this paper to least squares support vector machine (LS-SVM) ... The aim of many nonlinear forecasting methods ... using the feature space has been used in kernel PCA [21], while ... ilar way as the inference of the time series model, the volatility ...... [24] A. Smola and B. Schölkopf, “On a kernel-based method for pattern.
[ 00935093.pdf - Read/Download File

Kernel principal component analysis and support vector machines
Keywords: Support vector regression, kernel principal component analysis, financial ... The forecasting of stock prices is one of the most chal- ... techniques, namely Support Vector Regression (SVR) and ... such as kPCA that is based on Support Vector Machines ..... that allows users to compare volatility and relative prices.
[ 773637408.pdf - Read/Download File

Supervised classification-based stock prediction and portfolio
Supervised classification-based stock prediction and portfolio optimization ... In this project, we use machine learning techniques to address ... dimensional data handling capabilities of support vector machines. .... To filter out this high- frequency volatility, we apply ..... tor machines in financial time series forecasting. ” Neu-.
[ ArikSercanEryilmazBurcGoldbergAdam-SupervisedClassificationStocks.pdf - Read/Download File

PCA-Fuzzy-SVR Stock Price Prediction
Aug 25, 2011 ... Keywords: Support vector regression, Fuzzy information granulation, Prin- .... ( SVR) in stock price forecasting, this paper provides a principle component .... they do contain some information which contributes to the stock volatility ... time series similarity search method based on PCA correlation coefficients.
[ f2099778754.pdf - Read/Download File

A Comparison between Regression, Artificial Neural Networks and
developed models will be evaluated and compared based on a ... sion; Artificial Neural Networks; Support Vector Machines. ... this field, we can classify the techniques used to solve the ... ANN models with trading volumes can improve forecasting ...... support vector machine and principal component analysis: A case .
[ Paper_10-A_Comparison_between_Regression_Artificial.pdf - Read/Download File

FOREX Trend Classification using Machine Learning Techniques
classification or forecasting system to do its prediction. ... For feature selection, an SVM-based, and a Bagging decision tree ... five methods are used, namely, PCA per class method ..... the volatility and variance changes in the time series.
[ ACRE-05.pdf - Read/Download File

Load -Price Forecasting Model Employing Machine Learning
forecast both 24 hours a head short term load and price values, which is a ... price forecasting,. Machine learning techniques, SVM. ... calculate the price and price volatilities based on a random ... point of view, volatility terms could be expressing the first ... this work, PCA has been employed with number of features equal to ...
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Download (513Kb) - Universiti Teknikal Malaysia Melaka Repository
Algorithm (GA) optimization technique to predict daily electricity prices ... Square Support Vector Machine (LSSVM), Genetic. Algorithm ... volatility of price series with unexpected price spikes at any ... of SVM. [29], Principal Component Analysis (PCA) and K- .... based on significant impact on price forecasting that had strong ...
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A Survey on Data Mining Techniques Applied to Electricity-Related
Nov 19, 2015 ... ANEM is also well-known for its volatility and its frequent appearance of outliers, turning ... support vector machines, genetic programming) and local (nearest neighbors). In Section 6, rule-based forecasting methods are analyzed, providing a ...... with a previous principal component analysis and two naive ...
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Heuristic Methods for Reservoir Monthly Inflow Forecasting: A Case
Aug 17, 2015 ... Thus, based on the thought of refined prediction by ... hybrid method performs better than ANN and SVM in terms of five ... reduce its performance volatility. ...... using PCA, Gamma test, and forward selection techniques for ...
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A note on the model selection risk for ANOVA based - Hu-berlin.de
factor forecasts ˆFT*+h we estimate a VAR(p) model based on extracted factors ... computed by means of the comparison swap valuation technique (Miron and ... exceeds the average cash flow over all unconditional PCA/VAR models for all trades con- .... 005 "The Default Risk of Firms Examined with Smooth Support Vector.
[ SFB649DP2008-064.pdf - Read/Download File

Download as a PDF - CiteSeerX
with Application to Foreign Exchange Rates Forecasting. Kin Keung ... (PCA) technique is used as a pruning tool to generate an optimal set of base models. ... model due to high volatility and irregularity in financial markets. More and ..... and support vector machine regression (SVMR) based metamodel [12] are also used.
[ 42930338.pdf - Read/Download File

Machine Learning in FX Carry Basket Prediction - Tristan Fletcher
port Vector Machines (SVM) and Relevance Vector. Machines (RVM) ... ing rules based on this amalgamated output were used to predict when ... three predictive techniques from the area of Machine. Learning .... tion methods as well as Principal Component Analysis .... [14] N. N. P. Tino and X. Yao, “Volatility forecasting.
[ FX Carry Paper.pdf - Read/Download File

Research Article A Trend-Based Segmentation Method and the
Feb 10, 2012 ... regression SVR for financial time series forecasting. ... machine SVM based on the statistical learning theory, is a powerful ...... 14 A. Swishchuk and R. Manca, “ Modeling and pricing of variance and volatility swaps for local semi- ... independent component analysis and principal component analysis.
[ 615152.pdf - Read/Download File

A Stock Selection Model Based on Fundamental and Technical
Mar 13, 2012 ... learning method known as the Support Vector Machines (SVM) have .... backpropagation neural networks for forecasting the six Asian stock markets. ... used technical indicators with principal component analysis in order to.
[ A Stock Selection Model Based on Fundamental and Technical Analysis Variables by Using Artificial Neural Networks and Support Vector Machines.pdf - Read/Download File

Evolving Least Squares Support Vector Machines for Stock Market
Abstract — In this study, an evolving least squares support vector machine ... produce some forecasting models that are easier to be interpreted by using a ... challenging task due to its high volatility, irregularity and noisy environment in ... [ 18] integrated the rule-based technique and ANN to predict .... But the PCA does not.
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Feature Selection for Stock Market Analysis - Nanyang
Keywords: Stock Market Analysis, Principal Component Analysis, Genetic. Algorithm ... Among them, the Feature Selection method is a very important research field. .... sure with the help of trading price and volume), %B Indicator, Volatility, Volatility. Band ..... using classification complexity for SVM market trend prediction.
[ 13_ICONIP.pdf - Read/Download File

A Feature Fusion Based Forecasting Model for Financial - PLOS
Jun 27, 2014 ... Finally, a support vector machine is applied to forecast the next day's ..... PCA- ICA method; and (3) Scaling factor method based on cluster ...... Wu E, Yu P ( 2005) Volatility modelling of multivariate financial time series by.
[ journal.pone.0101113.PDF - Read/Download File

Crude Oil Price Forecasting Based on Hybridizing Wavelet Multiple
Mar 18, 2014 ... Techniques, and Principal Component Analysis. Ani Shabri1 and ... oil price has the volatility, nonlinearity, and irregularity, the classical and ... wavelet-least square support vector machines (LSVM) (Bao et al. [16]), and ...
[ 854520.pdf - Read/Download File

Breast Cancer Detection with Reduced Feature Set
Dec 25, 2014 ... Support vector machine (SVM) is an effective statistical learning ... SVM is based on find- ing optimal ... Principal component analysis (PCA) is a technique to ...... based MSM model for financial short-term volatility forecast-.
[ 265138.pdf - Read/Download File

Special Issue: Contemporary development of neural computation
Mar 21, 2012 ... a support vector machine–based iterative Markov-switching multifractal model for financial short-term volatility forecasting;. a new classification technique for electroencephalogram (EEG) ... This work also uses principal component analysis to reduce the feature space dimensionality of the training data;.
[ 36p116427122w5v2.pdf - Read/Download File

Download PDF - Journal of Machine Learning Research
1. Introduction. Univariate forecasting techniques, such as Holt-Winters ... neural network-based forecasting system that is (i) scal- able, (ii) ... sion, Support Vector Machines, and MLP models is that ..... PCA compression dimension for generalization by testing .... have a high correlation with the volatility in the signal over.
[ riemer16.pdf - Read/Download File

forecasting financial time-series with grammar guided feature
(SVM) (Vapnik, 1999; Cortes and Vapnik, 1995) to forecast financial time-series. .... Technical indicators can be broadly classified as trend, momentum, volatility and .... sequently, a wrapper-based feature selection technique which considers .... duction using the principal component analysis (PCA) was also considered.
[ gram_ci15.pdf - Read/Download File

Prediction of Stock Price Movement Using Various Ensemble Models
models, machine learning techniques like support vector machine (SVM) and neural network ... Stock prediction is a process of forecasting the future value of the stock of a company. A stock is a unit of .... Shen et al. [7] proposed prediction model based on SVM to predict the next-day stock ... The PCA-SVM approach seems.
[ 121222011-Mahato.pdf - Read/Download File

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