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Authors: Minghao Zhu and Jie Li

Affiliation: Beijing Jiaotong University, China

Keyword(s): Stock index, Mutual prediction, Nonlinear dependence, Support Vector Machine.

Related Ontology Subjects/Areas/Topics: Artificial Intelligence and Decision Support Systems ; Enterprise Information Systems ; Parallel Control and Management in ITS

Abstract: China's market economy continues to advance, which makes the transparency of information of stock market increasing, the information between the stock market flows faster, a variety of interactions between the stocks increasingly significant. In this paper, support vector machine method is used to study the stock market in the nonlinear discontinuous time series, through the establishment of different support vector machine model, respectively to predict for the Shanghai A shares index, the Shenzhen A share index, the Shanghai B share index and Shenzhen B share index, analyze their absolute error and relative error, it was found there is a strong nonlinear interdependence in the same stock market and a strong dependence of different securities markets, the Shanghai index has a larger effect compare to the Shenzhen index slightly.

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Paper citation in several formats:
Zhu, M. and Li, J. (2011). MUTUAL INTERDEPENDENCE OF STOCK MARKETS BASED ON SUPPORT VECTOR MACHINE. In Proceedings of the 13th International Conference on Enterprise Information Systems - Volume 1: ICEIS; ISBN 978-989-8425-54-6; ISSN 2184-4992, SciTePress, pages 218-221. DOI: 10.5220/0003552702180221

@conference{iceis11,
author={Minghao Zhu. and Jie Li.},
title={MUTUAL INTERDEPENDENCE OF STOCK MARKETS BASED ON SUPPORT VECTOR MACHINE},
booktitle={Proceedings of the 13th International Conference on Enterprise Information Systems - Volume 1: ICEIS},
year={2011},
pages={218-221},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0003552702180221},
isbn={978-989-8425-54-6},
issn={2184-4992},
}

TY - CONF

JO - Proceedings of the 13th International Conference on Enterprise Information Systems - Volume 1: ICEIS
TI - MUTUAL INTERDEPENDENCE OF STOCK MARKETS BASED ON SUPPORT VECTOR MACHINE
SN - 978-989-8425-54-6
IS - 2184-4992
AU - Zhu, M.
AU - Li, J.
PY - 2011
SP - 218
EP - 221
DO - 10.5220/0003552702180221
PB - SciTePress