Automatic stock decision support system based on box theory and SVM algorithm

Autor: Zehong Yang, Qinghua Wen, Yixu Song, Peifa Jia
Rok vydání: 2010
Předmět:
Zdroj: Expert Systems with Applications. 37:1015-1022
ISSN: 0957-4174
DOI: 10.1016/j.eswa.2009.05.093
Popis: The stock market is considered as a high complex and dynamic system with noisy, non-stationary and chaotic data series. So it is widely acknowledged that stock price series modeling and forecasting is a challenging work. A significant amount of work has been done in this field, and in them, soft computing techniques have showed good performance. Generally most of these works can be divided into two categories. One is to predict the future trend or price; another is to construct decision support system which can give certain buy/sell signals. In this paper, we propose a new intelligent trading system based on oscillation box prediction by combining stock box theory and support vector machine algorithm. The box theory believes a successful stock buying/selling generally occurs when the price effectively breaks out the original oscillation box into another new box. In the system, two SVM estimators are first utilized to make forecasts of the upper bound and lower bound of the price oscillation box. Then a trading strategy based on the two bound forecasts is constructed to make trading decisions. In the experiment, we test the system on different stock movement patterns, i.e. bull, bear and fluctuant market, and investigate the training of the system and the choice of the time span of the price box. The experiments on 442 S&P500 components show a promising performance is achieved and the system dramatically outperforms buy-and-hold strategy.
Databáze: OpenAIRE
Externí odkaz: