A multiple-kernel support vector regression approach for stock market price forecasting

作者：Yeh, Chi Yuan; Huang, Chi Wei; Lee, Shie Jue^*

来源：Expert Systems with Applications, 2011, 38(3): 2177-2186.

DOI：10.1016/j.eswa.2010.08.004

• Stock market forecasting
• Support vector regression
• Multiple-kernel learning
• SMO
• Gradient projection

Support vector regression has been applied to stock market forecasting problems. However, it is usually needed to tune manually the hyperparameters of the kernel functions. Multiple-kernel learning was developed to deal with this problem, by which the kernel matrix weights and Lagrange multipliers can be simultaneously derived through semidefinite programming. However, the amount of time and space required is very demanding. We develop a two-stage multiple-kernel learning algorithm by incorporating sequential minimal optimization and the gradient projection method. By this algorithm, advantages from different hyperparameter settings can be combined and overall system performance can be improved. Besides, the user need not specify the hyperparameter settings in advance, and trial-and-error for determining appropriate hyperparameter settings can then be avoided. Experimental results, obtained by running on datasets taken from Taiwan Capitalization Weighted Stock Index, show that our method performs better than other methods.

• 出版日期2011-3
• 单位中山大学