Predicting Stock Price Direction using Support Vector Machines

Support Vector Machine is a machine learning technique used in recent studies to forecast stock prices. This study uses daily closing prices for 34 technology stocks to calculate price volatility and momentum for individual stocks and for the overall sector. These are used as parameters to the SVM model. The model attempts to predict whether a stock price sometime in the future will be higher or lower than it is on a given day. We find little predictive ability in the short-run but definite predictive ability in the long-run.

[1]  Rob J. Hyndman,et al.  Machine learning strategies for multi-step-ahead time series forecasting , 2014 .

[2]  B. Jacobsen,et al.  The Halloween indicator, 'Sell in May and go Away': An Even Bigger Puzzle , 2014 .

[3]  David de la Fuente,et al.  Stock Market Simulation Using Support Vector Machines , 2014 .

[4]  A. Victor Devadoss,et al.  Stock Prediction Using Artificial Neural Networks , 2013 .

[5]  B. Jacobsen,et al.  Are Monthly Seasonals Real? A Three Century Perspective , 2012 .

[6]  D. Blanchflower,et al.  UK Unemployment in the Great Recession , 2010, National Institute Economic Review.

[7]  Martin D. Buhmann,et al.  Radial basis function , 2010, Scholarpedia.

[8]  Jun Zhang,et al.  Applying Time Series Analysis Builds Stock Price Forecast Model , 2009 .

[9]  Kyoung-jae Kim,et al.  Financial time series forecasting using support vector machines , 2003, Neurocomputing.

[10]  Narasimhan Jegadeesh,et al.  Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency , 1993 .

[11]  Sunil R. Yalamalle,et al.  Stock Price Prediction Using Artificial Neural Network , 2014 .

[12]  Gianluca Bontempi,et al.  Machine Learning Strategies for Time Series Forecasting , 2012, eBISS.

[13]  Bruce J. Vanstone,et al.  Financial time series forecasting with machine learning techniques: a survey , 2010, ESANN.

[14]  H. Theil.  Introduction to econometrics , 1978 .

[15]  Abhishek Kar,et al.  Stock Prediction using Artificial Neural Networks , 2022 .