A Trend-Based Segmentation Method and the Support Vector Regression for Financial Time Series Forecasting

Joint Authors

Wu, Jheng-Long
Chang, Pei-Chann

Source

Mathematical Problems in Engineering

Issue

Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-20, 20 p.

Publisher

Hindawi Publishing Corporation

Publication Date

2012-05-29

Country of Publication

Egypt

No. of Pages

20

Main Subjects

Civil Engineering

Abstract EN

This paper presents a novel trend-based segmentation method (TBSM) and the support vector regression (SVR) for financial time series forecasting.

The model is named as TBSM-SVR.

Over the last decade, SVR has been a popular forecasting model for nonlinear time series problem.

The general segmentation method, that is, the piecewise linear representation (PLR), has been applied to locate a set of trading points within a financial time series data.

However, owing to the dynamics in stock trading, PLR cannot reflect the trend changes within a specific time period.

Therefore, a trend based segmentation method is developed in this research to overcome this issue.

The model is tested using various stocks from America stock market with different trend tendencies.

The experimental results show that the proposed model can generate more profits than other models.

The model is very practical for real-world application, and it can be implemented in a real-time environment.

American Psychological Association (APA)

Wu, Jheng-Long& Chang, Pei-Chann. 2012. A Trend-Based Segmentation Method and the Support Vector Regression for Financial Time Series Forecasting. Mathematical Problems in Engineering،Vol. 2012, no. 2012, pp.1-20.
https://search.emarefa.net/detail/BIM-1001759

Modern Language Association (MLA)

Wu, Jheng-Long& Chang, Pei-Chann. A Trend-Based Segmentation Method and the Support Vector Regression for Financial Time Series Forecasting. Mathematical Problems in Engineering No. 2012 (2012), pp.1-20.
https://search.emarefa.net/detail/BIM-1001759

American Medical Association (AMA)

Wu, Jheng-Long& Chang, Pei-Chann. A Trend-Based Segmentation Method and the Support Vector Regression for Financial Time Series Forecasting. Mathematical Problems in Engineering. 2012. Vol. 2012, no. 2012, pp.1-20.
https://search.emarefa.net/detail/BIM-1001759

Data Type

Journal Articles

Language

English

Notes

Includes bibliographical references

Record ID

BIM-1001759