A Stock Market Forecasting Model Combining Two-Directional Two-Dimensional Principal Component Analysis and Radial Basis Function Neural Network

作者：Guo, Zhiqiang^*; Wang, Huaiqing; Yang, Jie; Miller, David J.

来源：PLos One, 2015, 10(4): e0122385.

DOI：10.1371/journal.pone.0122385

• ALGORITHM
• SYSTEM

In this paper, we propose and implement a hybrid model combining two-directional two-dimensional principal component analysis ((2D)(2)PCA) and a Radial Basis Function Neural Network (RBFNN) to forecast stock market behavior. First, 36 stock market technical variables are selected as the input features, and a sliding window is used to obtain the input data of the model. Next, (2D)(2)PCA is utilized to reduce the dimension of the data and extract its intrinsic features. Finally, an RBFNN accepts the data processed by (2D)(2)PCA to forecast the next day's stock price or movement. The proposed model is used on the Shanghai stock market index, and the experiments show that the model achieves a good level of fitness. The proposed model is then compared with one that uses the traditional dimension reduction method principal component analysis (PCA) and independent component analysis (ICA). The empirical results show that the proposed model outperforms the PCA-based model, as well as alternative models based on ICA and on the multilayer perceptron.

• 出版日期2015-4-7
• 单位南方科技大学; 武汉理工大学