Volatility Tube Support Vector Machines

نویسندگان

  • Tony Van Gestel
  • Johan Suykens
  • Bart De Moor
چکیده

In Support Vector Machines (SVM's), a non-linear model is estimated based on solving a Quadratic Programming (QP) problem. The quadratic cost function consists of a maximum likelihood cost term with constant variance and a regularization term. By specifying a diierence inclusion on the noise variance model, the maximum likelihood term is adopted for the case of heteroskedastic noise, which arises in nancial time series. The resulting Volatility Tube SVM's are applied on the 1-day ahead prediction of the DAX30 stock index. The innu-ence of today's closing prices of the New York Stock Exchange on the prediction of tomorrow's DAX30 closing price is analyzed.

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تاریخ انتشار 1999