A Trend-Based Segmentation Method and the Support Vector Regression for Financial Time Series Forecasting

Jheng-Long Wu and Pei-Chann Chang

Mathematical Problems in Engineering, 2012, vol. 2012, 1-20

Abstract:

This paper presents a novel trend-based segmentation method (TBSM) and the support vector regression (SVR) for financial time series forecasting. The model is named as TBSM-SVR. Over the last decade, SVR has been a popular forecasting model for nonlinear time series problem. The general segmentation method, that is, the piecewise linear representation (PLR), has been applied to locate a set of trading points within a financial time series data. However, owing to the dynamics in stock trading, PLR cannot reflect the trend changes within a specific time period. Therefore, a trend based segmentation method is developed in this research to overcome this issue. The model is tested using various stocks from America stock market with different trend tendencies. The experimental results show that the proposed model can generate more profits than other models. The model is very practical for real-world application, and it can be implemented in a real-time environment.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:615152

DOI: 10.1155/2012/615152

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