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Articles

A SVM-GARCH Model for Stock Price Forecasting Based on Neighborhood Mutual Information

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  • 1. Institute of Management and Decision, Shanxi University, Taiyuan 030006, China;
    2. School of Economics and Management, Shanxi University, Taiyuan 030006, China

Received date: 2015-11-09

  Revised date: 2016-03-24

  Online published: 2016-09-30

Abstract

In order to overcome the limitations of the traditional linear model in dealing with the nonlinearity in time series, a novel SVM-GARCH forecasting model is proposed based on the neighborhood mutual information. By constructing high dimensional input variables, the proposed nonlinear model not only absorbs the historical information in the time series data but also incorporates the stock market information in different regions through feature selection by the neighborhood mutual information. Empirical studies demonstrate that the proposed model is superior to the traditional linear ARMA-GARCH model in terms of data denosing, trend discrimination and prediction accuracy etc.

Cite this article

ZHANG Gui-sheng, ZHANG Xin-dong . A SVM-GARCH Model for Stock Price Forecasting Based on Neighborhood Mutual Information[J]. Chinese Journal of Management Science, 2016 , 24(9) : 11 -20 . DOI: 10.16381/j.cnki.issn1003-207x.2016.09.002

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