Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/13532
Title: Predicting financial time series data using hybrid model
Authors: Al-Hnaity, B
Abbod, M
Issue Date: 2016
Publisher: Springer
Citation: Studies in Computational Intelligence, 650: pp. 19 - 41,(2016)
Abstract: Prediction of financial time series is described as one of the most challenging tasks of time series prediction, due to its characteristics and their dynamic nature. Support vector regression (SVR), Support vector machine (SVM) and back propagation neural network (BPNN) are the most popular data mining techniques in prediction financial time series. In this paper a hybrid combination model is introduced to combine the three models and to be most beneficial of them all. Quantization factor is used in this paper for the first time to improve the single SVM and SVR prediction output. And also genetic algorithm (GA) used to determine the weights of the proposed model. FTSE100, S&P 500 and Nikkei 225 daily index closing prices are used to evaluate the proposed model performance. The proposed hybrid model numerical results shows the outperform result over all other single model, traditional simple average combiner and the traditional time series model Autoregressive (AR).
URI: http://bura.brunel.ac.uk/handle/2438/13532
DOI: http://dx.doi.org/10.1007/978-3-319-33386-1_2
ISSN: 1860-949X
Appears in Collections:Dept of Electronic and Computer Engineering Research Papers

Files in This Item:
File Description SizeFormat 
Fulltext.pdf15.07 MBAdobe PDFView/Open


Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.