Stock Indices Forecasting Using a Support Vector Machine

Stock Indices Forecasting Using a Support Vector Machine

碩士 === 國立交通大學 === 科技管理研究所 === 92 === This thesis deals with the application of a novel neural network technique, Support Vector Machine (SVM), in stock indices movement prediction. The purpose of this thesis is to demonstrate and verify the predictability of stock index direction using SVM, to devel...

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Main Authors: Po-Hao Chen, 陳伯豪
Other Authors: Gwo-Hshiung Tzeng
Format: Others
Language:en_US
Published: 2004
Online Access:http://ndltd.ncl.edu.tw/handle/89862312651459498965
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spelling ndltd-TW-092NCTU52300302015-10-13T13:04:21Z http://ndltd.ncl.edu.tw/handle/89862312651459498965 Stock Indices Forecasting Using a Support Vector Machine 運用數學模式來對股價指數作預測 Po-Hao Chen 陳伯豪 碩士 國立交通大學 科技管理研究所 92 This thesis deals with the application of a novel neural network technique, Support Vector Machine (SVM), in stock indices movement prediction. The purpose of this thesis is to demonstrate and verify the predictability of stock index direction using SVM, to develop effective trading strategies and to test the relative performance. A real future contract (Taiwan Stock Exchange Capitalization Weighted Stock Index) collected from Taiwan Futures Exchange is used as the data set. The series of relative difference in percentage of price (RDP) is adopted as the input variables to describe the patters of market movement. Results indicate that the technique is capable of returning results that are superior to those attained by buy-and-hold strategy. Gwo-Hshiung Tzeng Yi-Hsin Liu 曾國雄 劉宜欣 2004 學位論文 ; thesis 30 en_US
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language en_US
format Others
sources NDLTD
description 碩士 === 國立交通大學 === 科技管理研究所 === 92 === This thesis deals with the application of a novel neural network technique, Support Vector Machine (SVM), in stock indices movement prediction. The purpose of this thesis is to demonstrate and verify the predictability of stock index direction using SVM, to develop effective trading strategies and to test the relative performance. A real future contract (Taiwan Stock Exchange Capitalization Weighted Stock Index) collected from Taiwan Futures Exchange is used as the data set. The series of relative difference in percentage of price (RDP) is adopted as the input variables to describe the patters of market movement. Results indicate that the technique is capable of returning results that are superior to those attained by buy-and-hold strategy.
author2 Gwo-Hshiung Tzeng
author_facet Gwo-Hshiung Tzeng
Po-Hao Chen
陳伯豪
author Po-Hao Chen
陳伯豪
spellingShingle Po-Hao Chen
陳伯豪
Stock Indices Forecasting Using a Support Vector Machine
author_sort Po-Hao Chen
title Stock Indices Forecasting Using a Support Vector Machine
title_short Stock Indices Forecasting Using a Support Vector Machine
title_full Stock Indices Forecasting Using a Support Vector Machine
title_fullStr Stock Indices Forecasting Using a Support Vector Machine
title_full_unstemmed Stock Indices Forecasting Using a Support Vector Machine
title_sort stock indices forecasting using a support vector machine
publishDate 2004
url http://ndltd.ncl.edu.tw/handle/89862312651459498965
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