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Journal ArticleDOI

Support vector regression with chaos-based firefly algorithm for stock market price forecasting

TL;DR: A forecasting model based on chaotic mapping, firefly algorithm, and support vector regression (SVR) is proposed to predict stock market price and performs best based on two error measures, namely mean squared error (MSE) and mean absolute percent error (MAPE).
Abstract: Due to the inherent non-linearity and non-stationary characteristics of financial stock market price time series, conventional modeling techniques such as the Box-Jenkins autoregressive integrated moving average (ARIMA) are not adequate for stock market price forecasting. In this paper, a forecasting model based on chaotic mapping, firefly algorithm, and support vector regression (SVR) is proposed to predict stock market price. The forecasting model has three stages. In the first stage, a delay coordinate embedding method is used to reconstruct unseen phase space dynamics. In the second stage, a chaotic firefly algorithm is employed to optimize SVR hyperparameters. Finally in the third stage, the optimized SVR is used to forecast stock market price. The significance of the proposed algorithm is 3-fold. First, it integrates both chaos theory and the firefly algorithm to optimize SVR hyperparameters, whereas previous studies employ a genetic algorithm (GA) to optimize these parameters. Second, it uses a delay coordinate embedding method to reconstruct phase space dynamics. Third, it has high prediction accuracy due to its implementation of structural risk minimization (SRM). To show the applicability and superiority of the proposed algorithm, we selected the three most challenging stock market time series data from NASDAQ historical quotes, namely Intel, National Bank shares and Microsoft daily closed (last) stock price, and applied the proposed algorithm to these data. Compared with genetic algorithm-based SVR (SVR-GA), chaotic genetic algorithm-based SVR (SVR-CGA), firefly-based SVR (SVR-FA), artificial neural networks (ANNs) and adaptive neuro-fuzzy inference systems (ANFIS), the proposed model performs best based on two error measures, namely mean squared error (MSE) and mean absolute percent error (MAPE).
Citations
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Book
17 Feb 2014
TL;DR: This book can serve as an introductory book for graduates, doctoral students and lecturers in computer science, engineering and natural sciences, and researchers and engineers as well as experienced experts will also find it a handy reference.
Abstract: Nature-Inspired Optimization Algorithms provides a systematic introduction to all major nature-inspired algorithms for optimization. The book's unified approach, balancing algorithm introduction, theoretical background and practical implementation, complements extensive literature with well-chosen case studies to illustrate how these algorithms work. Topics include particle swarm optimization, ant and bee algorithms, simulated annealing, cuckoo search, firefly algorithm, bat algorithm, flower algorithm, harmony search, algorithm analysis, constraint handling, hybrid methods, parameter tuning and control, as well as multi-objective optimization. This book can serve as an introductory book for graduates, doctoral students and lecturers in computer science, engineering and natural sciences. It can also serve a source of inspiration for new applications. Researchers and engineers as well as experienced experts will also find it a handy reference.Discusses and summarizes the latest developments in nature-inspired algorithms with comprehensive, timely literatureProvides a theoretical understanding as well as practical implementation hintsProvides a step-by-step introduction to each algorithm

901 citations

Dissertation
01 Jan 2004

602 citations

Journal ArticleDOI
TL;DR: A systematic analysis of the use of deep learning networks for stock market analysis and prediction using five-minute intraday data from the Korean KOSPI stock market as input data to examine the effects of three unsupervised feature extraction methods.
Abstract: Deep learning networks are applied to stock market analysis and prediction.A comprehensive analysis with different data representation methods is offered.Five-minute intraday data from the Korean KOSPI stock market is used.The network applied to residuals of autoregressive model improves prediction.Covariance estimation for market structure analysis is improved with the network. We offer a systematic analysis of the use of deep learning networks for stock market analysis and prediction. Its ability to extract features from a large set of raw data without relying on prior knowledge of predictors makes deep learning potentially attractive for stock market prediction at high frequencies. Deep learning algorithms vary considerably in the choice of network structure, activation function, and other model parameters, and their performance is known to depend heavily on the method of data representation. Our study attempts to provides a comprehensive and objective assessment of both the advantages and drawbacks of deep learning algorithms for stock market analysis and prediction. Using high-frequency intraday stock returns as input data, we examine the effects of three unsupervised feature extraction methodsprincipal component analysis, autoencoder, and the restricted Boltzmann machineon the networks overall ability to predict future market behavior. Empirical results suggest that deep neural networks can extract additional information from the residuals of the autoregressive model and improve prediction performance; the same cannot be said when the autoregressive model is applied to the residuals of the network. Covariance estimation is also noticeably improved when the predictive network is applied to covariance-based market structure analysis. Our study offers practical insights and potentially useful directions for further investigation into how deep learning networks can be effectively used for stock market analysis and prediction.

526 citations

Journal ArticleDOI
TL;DR: The paper proposes two stage fusion approach involving Support Vector Regression (SVR) in the first stage and second stage of the fusion approach uses Artificial Neural Network (ANN), Random Forest (RF) and SVR resulting into SVR-ANN, Svr-RF and S VR-SVR fusion prediction models.
Abstract: Two stage fusion model comprising three machine learning techniques is used.Emphasis is on adequacy of information given to prediction models.First stage provides future value of statistical parameters helping the later stage.Two stage fusion model helps in decreasing overall prediction error. The paper focuses on the task of predicting future values of stock market index. Two indices namely CNX Nifty and S&P Bombay Stock Exchange (BSE) Sensex from Indian stock markets are selected for experimental evaluation. Experiments are based on 10years of historical data of these two indices. The predictions are made for 1-10, 15 and 30days in advance. The paper proposes two stage fusion approach involving Support Vector Regression (SVR) in the first stage. The second stage of the fusion approach uses Artificial Neural Network (ANN), Random Forest (RF) and SVR resulting into SVR-ANN, SVR-RF and SVR-SVR fusion prediction models. The prediction performance of these hybrid models is compared with the single stage scenarios where ANN, RF and SVR are used single-handedly. Ten technical indicators are selected as the inputs to each of the prediction models.

385 citations

Journal ArticleDOI
Jian Cao1, Zhi Li1, Jian Li1
TL;DR: Two hybrid forecasting models are proposed in this paper which combine the two kinds of empirical mode decomposition (EMD) with the long short-term memory (LSTM) with a better performance in one-step-ahead forecasting of financial time series.
Abstract: In order to improve the accuracy of the stock market prices forecasting, two hybrid forecasting models are proposed in this paper which combine the two kinds of empirical mode decomposition (EMD) with the long short-term memory (LSTM). The financial time series is a kind of non-linear and non-stationary random signal, which can be decomposed into several intrinsic mode functions of different time scales by the original EMD and the complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN). To ensure the effect of historical data onto the prediction result, the LSTM prediction models are established for all each characteristic series from EMD and CEEMDAN deposition. The final prediction results are obtained by reconstructing each prediction series. The forecasting performance of the proposed models is verified by linear regression analysis of the major global stock market indices. Compared with single LSTM model, support vector machine (SVM), multi-layer perceptron (MLP) and other hybrid models, the experimental results show that the proposed models display a better performance in one-step-ahead forecasting of financial time series.

346 citations

References
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Book
Vladimir Vapnik1
01 Jan 1995
TL;DR: Setting of the learning problem consistency of learning processes bounds on the rate of convergence ofLearning processes controlling the generalization ability of learning process constructing learning algorithms what is important in learning theory?
Abstract: Setting of the learning problem consistency of learning processes bounds on the rate of convergence of learning processes controlling the generalization ability of learning processes constructing learning algorithms what is important in learning theory?.

40,147 citations


"Support vector regression with chao..." refers background in this paper

  • ...…of Software, Faculty of Engineering and Information Technology, University of Technology Sydney, Ultimo, NSW, Australia c Islamic Azad University, Tafresh Branch, Young Researchers Club, Tafresh, Iran d School of Information Systems, Curtin University, Perth, WA, Australia a r t i c l e i n f o...

    [...]

Journal ArticleDOI
TL;DR: In this article, a new class of stochastic processes called autoregressive conditional heteroscedastic (ARCH) processes are introduced, which are mean zero, serially uncorrelated processes with nonconstant variances conditional on the past, but constant unconditional variances.
Abstract: Traditional econometric models assume a constant one-period forecast variance. To generalize this implausible assumption, a new class of stochastic processes called autoregressive conditional heteroscedastic (ARCH) processes are introduced in this paper. These are mean zero, serially uncorrelated processes with nonconstant variances conditional on the past, but constant unconditional variances. For such processes, the recent past gives information about the one-period forecast variance. A regression model is then introduced with disturbances following an ARCH process. Maximum likelihood estimators are described and a simple scoring iteration formulated. Ordinary least squares maintains its optimality properties in this set-up, but maximum likelihood is more efficient. The relative efficiency is calculated and can be infinite. To test whether the disturbances follow an ARCH process, the Lagrange multiplier procedure is employed. The test is based simply on the autocorrelation of the squared OLS residuals. This model is used to estimate the means and variances of inflation in the U.K. The ARCH effect is found to be significant and the estimated variances increase substantially during the chaotic seventies.

20,728 citations

Journal ArticleDOI
TL;DR: In this paper, a natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in 1982 to allow for past conditional variances in the current conditional variance equation is proposed.

17,555 citations

Book
01 Jan 2000
TL;DR: This is the first comprehensive introduction to Support Vector Machines (SVMs), a new generation learning system based on recent advances in statistical learning theory, and will guide practitioners to updated literature, new applications, and on-line software.
Abstract: From the publisher: This is the first comprehensive introduction to Support Vector Machines (SVMs), a new generation learning system based on recent advances in statistical learning theory. SVMs deliver state-of-the-art performance in real-world applications such as text categorisation, hand-written character recognition, image classification, biosequences analysis, etc., and are now established as one of the standard tools for machine learning and data mining. Students will find the book both stimulating and accessible, while practitioners will be guided smoothly through the material required for a good grasp of the theory and its applications. The concepts are introduced gradually in accessible and self-contained stages, while the presentation is rigorous and thorough. Pointers to relevant literature and web sites containing software ensure that it forms an ideal starting point for further study. Equally, the book and its associated web site will guide practitioners to updated literature, new applications, and on-line software.

13,736 citations


"Support vector regression with chao..." refers background in this paper

  • ...…of Software, Faculty of Engineering and Information Technology, University of Technology Sydney, Ultimo, NSW, Australia c Islamic Azad University, Tafresh Branch, Young Researchers Club, Tafresh, Iran d School of Information Systems, Curtin University, Perth, WA, Australia a r t i c l e i n f o...

    [...]

Journal ArticleDOI
TL;DR: This tutorial gives an overview of the basic ideas underlying Support Vector (SV) machines for function estimation, and includes a summary of currently used algorithms for training SV machines, covering both the quadratic programming part and advanced methods for dealing with large datasets.
Abstract: In this tutorial we give an overview of the basic ideas underlying Support Vector (SV) machines for function estimation. Furthermore, we include a summary of currently used algorithms for training SV machines, covering both the quadratic (or convex) programming part and advanced methods for dealing with large datasets. Finally, we mention some modifications and extensions that have been applied to the standard SV algorithm, and discuss the aspect of regularization from a SV perspective.

10,696 citations

Trending Questions (1)
Vector autoregression model for financial forecasting?

The paper does not mention the use of vector autoregression model for financial forecasting.