Recurrent support vector regression for a non-linear ARMA model with applications to forecasting financial returns

DOI10.1007/S00180-014-0543-9MaRDI QIDQ740075zbMATH OpenOpenAlexFDO

Authors Shiyi Chen, Kiho Jeong, Wolfgang K. Härdle

Publication date 12 August 2016

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2008-051.pdf

zbMATH Keywords

financial forecastingnonlinear ARMArecurrent support vector regression

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Learning and adaptive systems in artificial intelligence (68T05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A comparison between neural networks and chaotic models for exchange rate prediction.
• AR parameter estimation by a feedback neural network
• Comparison of the performance of multi-layer perceptron and linear regression for epidemiological data
• Deterministic Nonperiodic Flow
• Financial forecasting using support vector machines
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Mining the customer credit using classification and regression tree and multivariate adaptive regression splines
• Model-free forecasting for nonlinear time series (with application to exchange rates)
• Regularization and statistical learning theory for data analysis.

Cited in

(5)

• Comparison of the finite mixture of ARMA-GARCH, back propagation neural networks and support-vector machines in forecasting financial returns
• Predict GARCH based volatility of Shanghai composite index by recurrent relevant vector machines and recurrent least square support vector machines
• Editorial to the special issue on applicable semiparametrics of computational statistics
• Stock price prediction using multi-scale nonlinear ensemble of deep learning and evolutionary weighted support vector regression
• Financial risk forecasting with nonlinear dynamics and support vector regression

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