Multiple-output support vector regression with a firefly algorithm for interval-valued stock price index forecasting
نویسندگان
چکیده
Highly accurate interval forecasting of a stock price index is fundamental to successfully making a profit when making investment decisions, by providing a range of values rather than a point estimate. In this study, we investigate the possibility of forecasting an interval-valued stock price index series over short and long horizons using multi-output support vector regression (MSVR). Furthermore, this study proposes a firefly algorithm (FA)-based approach, built on the established MSVR, for determining the parameters of MSVR (abbreviated as FA-MSVR). Three globally traded broadmarket indices are used to compare the performance of the proposed FA-MSVRmethod with selected counterparts. The quantitative and comprehensive assessments are performed on the basis of statistical criteria, economic criteria, and computational cost. In terms of statistical criteria, we compare the out-of-sample forecasting using goodness-of-forecast measures and testing approaches. In terms of economic criteria, we assess the relative forecast performance with a simple trading strategy. The results obtained in this study indicate that the proposed FA-MSVR method is a promising alternative for forecasting interval-valued financial time series. 2013 Elsevier B.V. All rights reserved.
منابع مشابه
Multiple - output support vector regression with a firefly algorithm for 1 interval - valued stock price index forecasting
6 Highly accurate interval forecasting of a stock price index is fundamental to 7 successfully making a profit when making investment decisions, by providing a range 8 of values rather than a point estimate. In this study, we investigate the possibility of 9 forecasting an interval-valued stock price index series over short and long horizons 10 using multi-output support vector regression (MSVR...
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ورودعنوان ژورنال:
- Knowl.-Based Syst.
دوره 55 شماره
صفحات -
تاریخ انتشار 2014