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Forecasting of stock returns by using manifold wavelet support vector machine |
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| Authors: | Ling-bing Tang Huan-ye Sheng Ling-xiao Tang |
| Institution: | TANG Ling-bing1,2,SHENG Huan-ye1,TANG Ling-xiao3(1.Department of Computer Science , Engineering,Shanghai Jiaotong University,Shanghai 200240,China,2.Department of Computer , Electronic Engineering,Hunan Business College,Changsha 410205,3.School of Economics,Changsha University of Science & Technology,Changsha 410076,China) |
| Abstract: | An admissible manifold wavelet kernel is proposed to construct manifold wavelet support vector machine(MWSVM) for stock returns forecasting.The manifold wavelet kernel is obtained by incorporating manifold theory into wavelet technique in support vector machine(SVM).Since manifold wavelet function can yield features that describe of the stock time series both at various locations and at varying time granularities,the MWSVM can approximate arbitrary nonlinear functions and forecast stock returns accurately.T... |
| Keywords: | stock returns forecasting kernel manifold wavelet support vector machine(MWSVM) |
| 本文献已被 CNKI 维普 SpringerLink 等数据库收录！ | |