Forecasting Stock Index Movement: A Comparison of Support Vector Machines and Random Forest
Citations
701 citations
Cites background or methods or result from "Forecasting Stock Index Movement: A..."
...It ensures that the larger value input attributes do not overwhelm smaller value inputs, and helps to reduce prediction errors (Kim, 2003; Manish & Thenmozhi, 2005)....
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...We selected ten technical indicators as feature subsets by the review of domain experts and prior researches (Armano et al., 2005; Diler, 2003; Huang & Tsai, 2009; Kim, 2003; Kim & Han, 2000; Manish & Thenmozhi, 2005; Yao, Chew, & Poh, 1999)....
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...ANN often exhibit inconsistent and unpredictable performance on noisy data (Kim, 2003; Kim & Han, 2000; Manish & Thenmozhi, 2005)....
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...Thus, investors can hedge against potential market risks and speculators and arbitrageurs have opportunities to make profit by trading in stock index (Manish & Thenmozhi, 2005)....
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...Manish and Thenmozhi (2005) used SVM and random forest to predict the daily movement of direction of S&P CNX NIFTY Market Index of the National Stock Exchange and compared the results with those of the traditional discriminant and logit models and ANN....
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368 citations
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References
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18,794 citations
"Forecasting Stock Index Movement: A..." refers background in this paper
...Hornik et al. (1989) in their theoretical work found that single hidden layer is sufficient for the network to approximate any complex non-linear function with any desired accuracy....
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4,110 citations
"Forecasting Stock Index Movement: A..." refers methods in this paper
...Using time-series analysis, Fama and Schwert (1977), Rozeff (1984), Keim and Stambaugh (1986), Campbell (1987), Fama and Bliss (1987), and Fama and French (1988, 1988, 1990) found out that macroeconomic variables such as short-term interest rates, expected inflation, dividend yields, yield spreads…...
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3,811 citations
"Forecasting Stock Index Movement: A..." refers background or methods or result in this paper
...(1989), and Fama and French (1992) are good examples of this group of research. Further, studies based on European markets report similar findings. The results of Ferson and Harvey (1993) indicate that returns are, to a certain extent, predictable across a number of European markets (e....
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...(1989), and Fama and French (1992) are good examples of this group of research. Further, studies based on European markets report similar findings. The results of Ferson and Harvey (1993) indicate that returns are, to a certain extent, predictable across a number of European markets (e.g., UK, France, Germany). In their study which is aimed at forecasting the UK stock prices, Jung and Boyd (1996) report “reasonably good” performance of their forecasts, suggesting that the predictive strength of their stock return models are not negligible. For the Japanese stock market, the empirical investigations by Jaffe and Westerfield (1985) and Kato et al. (1990) also find some evidence of predictability in the behavior of index returns....
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...(1989), and Fama and French (1992) are good examples of this group of research. Further, studies based on European markets report similar findings. The results of Ferson and Harvey (1993) indicate that returns are, to a certain extent, predictable across a number of European markets (e.g., UK, France, Germany). In their study which is aimed at forecasting the UK stock prices, Jung and Boyd (1996) report “reasonably good” performance of their forecasts, suggesting that the predictive strength of their stock return models are not negligible....
[...]
...Using time-series analysis, Fama and Schwert (1977), Rozeff (1984), Keim and Stambaugh (1986), Campbell (1987), Fama and Bliss (1987), and Fama and French (1988, 1988, 1990) found out that macroeconomic variables such as short-term interest rates, expected inflation, dividend yields, yield spreads…...
[...]
...(1989), and Fama and French (1992) are good examples of this group of research....
[...]
3,015 citations
"Forecasting Stock Index Movement: A..." refers methods in this paper
...Using time-series analysis, Fama and Schwert (1977), Rozeff (1984), Keim and Stambaugh (1986), Campbell (1987), Fama and Bliss (1987), and Fama and French (1988, 1988, 1990) found out that macroeconomic variables such as short-term interest rates, expected inflation, dividend yields, yield spreads…...
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