Financial risk forecasting with nonlinear dynamics and support vector regression

DOI10.1057/PALGRAVE.JORS.2602594MaRDI QIDQ3184443zbMATH OpenOpenAlexFDO

Authors

Publication date 15 October 2009

Published in The Journal of the Operational Research Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1057/palgrave.jors.2602594

zbMATH Keywords

deterministic systemforecastnonlinear dynamicssupport vector regression

Mathematics Subject Classification ID

Dynamical systems in optimization and economics (37N40) Dynamic programming (90C39) Economic time series analysis (91B84)

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(6)

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• Practical Bayesian support vector regression for financial time series prediction and market condition change detection
• Direction-of-change financial time series forecasting using a similarity-based classification model
• Recurrent support vector regression for a non-linear ARMA model with applications to forecasting financial returns

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