|
| << vorige | volgende >> |
Tijdschrift beschrijving
Alle jaargangen van het bijbehorende tijdschrift
Alle afleveringen van het bijbehorende jaargang
Alle artikelen van de bijbehorende aflevering
Details van artikel 5 van 6 gevonden artikelen
| Titel: |
Improved financial time series forecasting by combining Support Vector Machines with self-organizing feature map |
| Auteur: |
Francis Eng Hock Tay Li Juan Cao |
| Verschenen in: |
Intelligent data analysis |
| Paginering: | Jaargang 5 (2001) nr. 4 pagina's 339-354 |
| Jaar: |
2001-11-19 |
| Inhoud: |
A two-stage neural network architecture constructed by combining Support Vector Machines (SVMs) with self-organizing feature map (SOM) is proposed for financial time series forecasting. In the first stage, SOM is used as a clustering algorithm to partition the whole input space into several disjoint regions. A tree-structured architecture is adopted in the partition to avoid the problem of predetermining the number of partitioned regions. Then, in the second stage, multiple SVMs, also called SVM experts, that best fit each partitioned region are constructed by finding the most appropriate kernel function and the optimal learning parameters of SVMs. The Santa Fe exchange rate and five real futures contracts are used in the experiment. It is shown that the proposed method achieves both significantly higher prediction performance and faster convergence speed in comparison with a single SVM model. |
| Uitgever: |
IOS Press |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
Details van artikel 5 van 6 gevonden artikelen
| << vorige | volgende >> |