Comparison of support-vector machines and back propagation neural networks in forecasting the six major Asian stock markets

Wun-Hua Chen, Jen-Ying Shih and Soushan Wu

International Journal of Electronic Finance, 2006, vol. 1, issue 1, 49-67

Abstract: Recently, applying the novel data mining techniques for financial time-series forecasting has received much research attention. However, most researches are for the US and European markets, with only a few for Asian markets. This research applies Support-Vector Machines (SVMs) and Back Propagation (BP) neural networks for six Asian stock markets and our experimental results showed the superiority of both models, compared to the early researches.

Keywords: financial forecasting; support vector machines; SVMs; backpropagation neural networks; Asian stock markets; data mining; electronic finance; e-finance. (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (25)

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