文章基本信息

标题：Stock price prediction using support vector regression on daily and up to the minute prices
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作者：Bruno Miranda Henrique ; Bruno Miranda Henrique ; Vinicius Amorim Sobreiro 等
期刊名称：The Journal of Finance and Data Science
印刷版ISSN：2405-9188
出版年度：2018
卷号：4
期号：3
页码：183-201
DOI：10.1016/j.jfds.2018.04.003
语种：English
出版社：Elsevier
摘要：AbstractThe purpose of predictive stock price systems is to provide abnormal returns for financial market operators and serve as a basis for risk management tools. Although the Efficient Market Hypothesis (EMH) states that it is not possible to anticipate market movements consistently, the use of computationally intensive systems that employ machine learning algorithms is increasingly common in the development of stock trading mechanisms. Several studies, using daily stock prices, have presented predictive system applications trained on fixed periods without considering new model updates. In this context, this study uses a machine learning technique called Support Vector Regression (SVR) to predict stock prices for large and small capitalisations and in three different markets, employing prices with both daily and up-to-the-minute frequencies. Prediction errors are measured, and the model is compared to the random walk model proposed by the EMH. The results suggest that the SVR has predictive power, especially when using a strategy of updating the model periodically. There are also indicative results of increased predictions precision during lower volatility periods.
关键词：Prediction;Stock market;Machine learning;Support vector regression;High frequency trading