A Hybrid Least Square Support Vector Machine Model with Parameters Optimization for Stock Forecasting
نویسندگان
چکیده
This paper proposes an EMD-LSSVM (empirical mode decomposition least squares support vector machine) model to analyze the CSI 300 index. A WD-LSSVM (wavelet denoising least squares support machine) is also proposed as a benchmark to compare with the performance of EMD-LSSVM. Since parameters selection is vital to the performance of the model, different optimization methods are used, including simplex, GS (grid search), PSO (particle swarm optimization), and GA (genetic algorithm). Experimental results show that the EMD-LSSVMmodel with GS algorithm outperforms other methods in predicting stock market movement direction.
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