Forecasting leading industry stock prices based on a hybrid time-series forecast model

Ming-Chi Tsai, Ching-Hsue Cheng, Meei-Ing Tsai and Huei-Yuan Shiu

PLOS ONE, 2018, vol. 13, issue 12, 1-24

Abstract: Many different time-series methods have been widely used in forecast stock prices for earning a profit. However, there are still some problems in the previous time series models. To overcome the problems, this paper proposes a hybrid time-series model based on a feature selection method for forecasting the leading industry stock prices. In the proposed model, stepwise regression is first adopted, and multivariate adaptive regression splines and kernel ridge regression are then used to select the key features. Second, this study constructs the forecasting model by a genetic algorithm to optimize the parameters of support vector regression. To evaluate the forecasting performance of the proposed models, this study collects five leading enterprise datasets in different industries from 2003 to 2012. The collected stock prices are employed to verify the proposed model under accuracy. The results show that proposed model is better accuracy than the other listed models, and provide persuasive investment guidance to investors.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:plo:pone00:0209922

DOI: 10.1371/journal.pone.0209922

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