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Authors: Xia Liang ; Haoran Zhu and Xun Liang

Affiliation: Renmin University of China, China

Keyword(s): Wavelet transforms, Least squares support vector machine, Stock price prediction, Noisy signal, Machine learning.

Related Ontology Subjects/Areas/Topics: Artificial Intelligence ; Artificial Intelligence and Decision Support Systems ; Biomedical Engineering ; Biomedical Signal Processing ; Computational Intelligence ; Enterprise Information Systems ; Health Engineering and Technology Applications ; Human-Computer Interaction ; Industrial Applications of Artificial Intelligence ; Methodologies and Methods ; Neural Network Software and Applications ; Neural Networks ; Neurocomputing ; Neurotechnology, Electronics and Informatics ; Pattern Recognition ; Physiological Computing Systems ; Sensor Networks ; Signal Processing ; Soft Computing ; Theory and Methods

Abstract: In this paper, we propose a novel method using wavelet transform to denoise the input of least squares support vector machine for classification of closing price of stocks. The proposed method classifies closing price as either down or up. We have tested the proposed approach using passed three-year data of 10 stocks randomly selected from sample stock of hs300 index and compared the proposed method with other machine learning methods. Good classification percentage of almost 99% was achieved by WT-SVM model. We observed that the performance of stock price prediction can be significantly enhanced by using hybrized WT in comparison with a single model.

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Paper citation in several formats:
Liang, X.; Zhu, H. and Liang, X. (2011). STOCK MARKET FORECASTING BASED ON WAVELET AND LEAST SQUARES 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 46-53. DOI: 10.5220/0003436500460053

@conference{iceis11,
author={Xia Liang. and Haoran Zhu. and Xun Liang.},
title={STOCK MARKET FORECASTING BASED ON WAVELET AND LEAST SQUARES SUPPORT VECTOR MACHINE},
booktitle={Proceedings of the 13th International Conference on Enterprise Information Systems - Volume 1: ICEIS},
year={2011},
pages={46-53},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0003436500460053},
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 - STOCK MARKET FORECASTING BASED ON WAVELET AND LEAST SQUARES SUPPORT VECTOR MACHINE
SN - 978-989-8425-54-6
IS - 2184-4992
AU - Liang, X.
AU - Zhu, H.
AU - Liang, X.
PY - 2011
SP - 46
EP - 53
DO - 10.5220/0003436500460053
PB - SciTePress

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