Financial time series forecasting using twin support vector regression

Deepak Gupta, Mahardhika Pratama, Zhenyuan Ma, Jun Li and Mukesh Prasad

PLOS ONE, 2019, vol. 14, issue 3, 1-27

Abstract: Financial time series forecasting is a crucial measure for improving and making more robust financial decisions throughout the world. Noisy data and non-stationarity information are the two key factors in financial time series prediction. This paper proposes twin support vector regression for financial time series prediction to deal with noisy data and nonstationary information. Various interesting financial time series datasets across a wide range of industries, such as information technology, the stock market, the banking sector, and the oil and petroleum sector, are used for numerical experiments. Further, to test the accuracy of the prediction of the time series, the root mean squared error and the standard deviation are computed, which clearly indicate the usefulness and applicability of the proposed method. The twin support vector regression is computationally faster than other standard support vector regression on the given 44 datasets.

Date: 2019
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Citations: View citations in EconPapers (33)

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Persistent link: https://EconPapers.repec.org/RePEc:plo:pone00:0211402

DOI: 10.1371/journal.pone.0211402

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