Support vector machine as an efficient framework for stock market volatility forecasting

DOI10.1007/S10287-005-0005-5MaRDI QIDQ2468372zbMATH OpenOpenAlexFDO

Authors Valeriy V. Gavrishchaka, Supriya Banerjee

Publication date 22 January 2008

Published in Computational Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10287-005-0005-5

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites work

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• Breast Cancer Diagnosis and Prognosis Via Linear Programming
• Choosing multiple parameters for support vector machines
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Generalized autoregressive conditional heteroscedasticity
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• Introduction to Econophysics
• Threshold heteroskedastic models

Cited in

(18)

• Forecasting NIKKEI 225 index with support vector machine
• Simulation and evaluation of the distribution of interest rate risk
• Volatility forecasting via SVR-GARCH with mixture of Gaussian kernels
• Time series adaptive online prediction method combined with modified LS-SVR and AGO
• A derivative-free optimization approach for the autotuning of a forex trading strategy
• Forecasting stock market in high and low volatility periods: a modified multifractal volatility approach
• Tightening big Ms in integer programming formulations for support vector machines with ramp loss
• Intraday volume percentages forecasting using a dynamic SVM-based approach
• Forecasting volatility with support vector machine-based GARCH model
• Supervised classification and mathematical optimization
• Boosting-Based Frameworks in Financial Modeling: Application to Symbolic Volatility Forecasting
• scientific article; zbMATH DE number 5526000 (Why is no real title available?)
• Stock market simulation using support vector machines
• scientific article; zbMATH DE number 1927182 (Why is no real title available?)
• Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
• On conditional risk estimation considering model risk
• Nonlinear support vector machines can systematically identify stocks with high and low future returns
• Statistical methods for decision support systems in finance: how Benford's law predicts financial risk

Describes a project that uses

Uses Software

• FinTS

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