Financial market forecasting using a two-step kernel learning method for the support vector regression

DOI10.1007/s10479-008-0357-7zbMath1185.91154MaRDI QIDQ970173

Ji Zhu, Li Wang

Publication date: 10 May 2010

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-008-0357-7

zbMATH Keywords

support vector regression; kernel learning; financial market forecasting; LAR/LASSO; non-negative garrote

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures