Improving the integration of piece wise linear representation and weighted support vector machine for stock trading signal prediction

The integrated piecewise linear representation (PLR) and weighted support vector machine (PLR-WSVM) has shown success in the prediction of stock trading signals. Meanwhile drawbacks of PLR-WSVM exist particularly in a real world setting. For example, the profitability using PLR-WSVM is unstable, it is not reasonable to specify same threshold value for all stocks in PLR, and critical errors in trading signals may significantly reduce the profit. In this paper, we conduct a set of improvements to PLR-WSVM. First, most of absolute technical indicators in input variables are substituted with relative indicators since the relative indicators are generally more helpful in predicting trading signals. Second, a four-class prediction problem is converted into a two-class problem in which one class is a turning point (TP) and the other is an ordinary point. And prior domain knowledge is exploited to identify either buying or selling signals from TPs. Thirdly, a delay-one-day strategy (DODS) is proposed to further correct the predicted trading signals. DODS reduces the critical errors occurring to PLR-WSVM. Finally, a procedure for selecting a threshold in PLR is provided. The threshold is automatically selected by a given percentage of TPs in a training set. The percentage of TPs is easier to understand by investor compared with the threshold. We conduct experimental study over 20 stocks, and the results confirm the expected performance of the improved PLR-WSVM. More importantly, the improved PLR-WSVM provides steady profits in average over the stocks of interest with accepted retracements.     

基于分段线性表示和高斯过程分类的股票转折点概率预测

针对股票交易过程中价格转折点的预测问题,提出了一种基于分段线性表示(PLR)与高斯过程分类(GPC)相结合的股票价格转折点预测算法PLR-GPC。该算法通过PLR提取股票历史价格序列的转折点,对转折点进行分类标记,建立基于GPC的股票价格转折点预测模型,以上述股票历史价格序列对模型进行训练,最终由预测模型对股票价格转折点进行预测,并对预测结果进行概率解释。将PLR-GPC与基于BP神经网络(BPN)的PLR-BPN算法、基于加权支持向量机支持向量机(WSVM)的PLR-WSVM算法进行实验对比:PLR-GPC在预测准确率上高于PLR-BPN与PLR-WSVM;在投资收益率上高于PLR-BPN,与PLR-WSVM持平。实验结果表明PLR-GPC在股票价格转折点的预测上是有效的,并且可以应用在实际股票投资交易中。     

A Takagi–Sugeno fuzzy model combined with a support vector regression for stock trading forecasting

The turning points prediction scheme for future time series analysis based on past and present information is widely employed in the field of financial applications. In this research, a novel approach to identify turning points of the trading signal using a fuzzy rule-based model is presented. The Takagi–Sugeno fuzzy rule-based model (the TS model) can accurately identify daily stock trading from sets of technical indicators according to the trading signals learned by a support vector regression (SVR) technique. In addition, when new trading points are created, the structure and parameters of the TS model are constantly inherited and updated. To verify the effectiveness of the proposed TS fuzzy rule-based modeling approach, we have acquired the stock trading data in the US stock market. The TS fuzzy approach with dynamic threshold control is compared with a conventional linear regression model and artificial neural networks. Our result indicates that the TS fuzzy model not only yields more profit than other approaches but also enables stable dynamic identification of the complexities of the stock forecasting system.     

意愿计算的股市突变点预测方法

由于传统分段线性表示方法没有考虑股市数据分布变化导致分段不合理,同时股市突变点相关特征的局部性导致突变点难以有效预测,所以在分段线性表示方法的基础上提出一种意愿计算的股市突变点预测方法(WC-WSVM)。首先,给出一种波动率分布变化的分段线性表示(V-PLR)方法,通过波动率分布变化自适应地优化PLR分段阈值;然后,提取与主力买卖股票意愿相关的股市特征并进行量化,利用逻辑回归(LR)对于所提取的特征进行融合得到意愿计算结果;最后,将意愿计算结果与PLR-WSVM算法输入特征共同代入到WSVM中,进行突变点预测。在真实数据上的实验结果表明,算法具有强适应性,预测精度得到有效提升。     

Empirical analysis: stock market prediction via extreme learning machine

How to predict stock price movements based on quantitative market data modeling is an attractive topic. In front of the market news and stock prices that are commonly believed as two important market data sources, how to extract and exploit the hidden information within the raw data and make both accurate and fast predictions simultaneously becomes a challenging problem. In this paper, we present the design and architecture of our trading signal mining platform that employs extreme learning machine (ELM) to make stock price prediction based on those two data sources concurrently. Comprehensive experimental comparisons between ELM and the state-of-the-art learning algorithms, including support vector machine (SVM) and back-propagation neural network (BP-NN), have been undertaken on the intra-day tick-by-tick data of the H-share market and contemporaneous news archives. The results have shown that (1) both RBF ELM and RBF SVM achieve higher prediction accuracy and faster prediction speed than BP-NN; (2) the RBF ELM achieves similar accuracy with the RBF SVM and (3) the RBF ELM has faster prediction speed than the RBF SVM. Simulations of a preliminary trading strategy with the signals are conducted. Results show that strategy with more accurate signals will make more profits with less risk.     

A turning point prediction method of stock price based on RVFL-GMDH and chaotic time series analysis

Stock market prediction is extremely important for investors because knowing the future trend of stock prices will reduce the risk of investing capital for profit. Therefore, seeking an accurate, fast, and effective approach to identify the stock market movement is of great practical significance. This study proposes a novel turning point prediction method for the time series analysis of stock price. Through the chaos theory analysis and application, we put forward a new modeling approach for the nonlinear dynamic system. The turning indicator of time series is computed firstly; then, by applying the RVFL-GMDH model, we perform the turning point prediction of the stock price, which is based on the fractal characteristic of a strange attractor with an infinite self-similar structure. The experimental findings confirm the efficacy of the proposed procedure and have become successful for the intelligent decision support of the stock trading strategy.

     

Stock trend prediction based on a new status box method and AdaBoost probabilistic support vector machine

Stock trend prediction is regarded as one of the most challenging tasks of financial time series prediction. Conventional statistical modeling techniques are not adequate for stock trend forecasting because of the non-stationarity and non-linearity of the stock market. With this regard, many machine learning approaches are used to improve the prediction results. These approaches mainly focus on two aspects: regression problem of the stock price and prediction problem of the turning points of stock price. In this paper, we concentrate on the evaluation of the current trend of stock price and the prediction of the change orientation of the stock price in future. Then, a new approach named status box method is proposed. Different from the prediction issue of the turning points, the status box method packages some stock points into three categories of boxes which indicate different stock status. And then, some machine learning techniques are used to classify these boxes so as to measure whether the states of each box coincides with the stock price trend and forecast the stock price trend based on the states of the box. These results would support us to make buying or selling strategies. Comparing with the turning points prediction that only considered the features of one day, each status box contains a certain amount of points which represent the stock price trend in a certain period of time. So, the status box reflects more information of stock market. To solve the classification problem of the status box, a special features construction approach is presented. Moreover, a new ensemble method integrated with the AdaBoost algorithm, probabilistic support vector machine (PSVM), and genetic algorithm (GA) is constructed to perform the status boxes classification. To verify the applicability and superiority of the proposed methods, 20 shares chosen from Shenzhen Stock Exchange (SZSE) and 16 shares from National Association of Securities Dealers Automated Quotations (NASDAQ) are applied to perform stock trend prediction. The results show that the status box method not only have the better classification accuracy but also effectively solve the unbalance problem of the stock turning points classification. In addition, the new ensemble classifier achieves preferable profitability in simulation of stock investment and remarkably improves the classification performance compared with the approach that only uses the PSVM or back-propagation artificial neural network (BPN).     

基于近端强化学习的股价预测方法

股价预测一直是金融时间序列研究的热点和难点,采用一种合理有效的股价预测方法对于投资者获取高额收益回报及规避交易风险具有重要的指导意义.通过结合近端策略优化(proximal policy optimization, PPO)和强化学习(reinforcement learning, RL),将股价预测视为一个时间序列预测问题,提出一种近端强化学习的股价预测方法 (PPORL).此外,在预测方法的基础上引入股票的相对强弱性能和股票均线指标,提出一种能够自动捕捉潜在交易点的量化交易策略,期望在获取高额收益的同时降低交易过程中存在的风险.通过实验对比了长短期记忆网络(long short-term memory, LSTM)和循环神经网络(recurrent neural network, RNN)模型在上证指数(SZZS)、深证成指(SZCZ)和沪深300指数(HS300)上的预测性能和交易决策表现,并利用多种误差评估方法对预测结果进行定量分析,从而验证了PPORL在预测性能和交易决策等方面的有效性和鲁棒性.     

基于最小方差的股市拐点预测方法

预测股市拐点对指导股市投资具有重要意义,而股市拐点的预测是不平衡分类问题,针对SVM在解决此类不平衡问题时存在偏斜性的问题,提出了一种选取惩罚因子的方法。该方法以训练集交叉验证后所有类别样本的查全率与查准率的方差的乘积做为判断标准,将最小方差乘积对应的惩罚因子作为各类的最优惩罚因子,并将此Biased-SVM模型应用于股市拐点预测。在实验中,选取了常用股票技术指标作为输入向量,与其他几种解决不平衡问题的方法相比。实验结果表明最小方差法在保证非拐点的多数类样本识别精度的同时,提高了两类拐点样本的识别精度,为投资决策提供了佐证与帮助。     

Using support vector machine with a hybrid feature selection method to the stock trend prediction

In this paper, we developed a prediction model based on support vector machine (SVM) with a hybrid feature selection method to predict the trend of stock markets. This proposed hybrid feature selection method, named F-score and Supported Sequential Forward Search (F_SSFS), combines the advantages of filter methods and wrapper methods to select the optimal feature subset from original feature set. To evaluate the prediction accuracy of this SVM-based model combined with F_SSFS, we compare its performance with back-propagation neural network (BPNN) along with three commonly used feature selection methods including Information gain, Symmetrical uncertainty, and Correlation-based feature selection via paired t-test. The grid-search technique using 5-fold cross-validation is used to find out the best parameter value of kernel function of SVM. In this study, we show that SVM outperforms BPN to the problem of stock trend prediction. In addition, our experimental results show that the proposed SVM-based model combined with F_SSFS has the highest level of accuracies and generalization performance in comparison with the other three feature selection methods. With these results, we claim that SVM combined with F_SSFS can serve as a promising addition to the existing stock trend prediction methods.     

基于神经网络LAMSTAR的短线股票预测研究

股票预测在金融领域是一个重要的课题。LAMSTAR是一个用于存储、识别、比较和决策的网络系统。本文尝试开发一个关于短期股票预测的LAMSTAR网络应用程序,每一次预测都会从历史数据里获取股票特征,然后输入LAMSTAR网络。网络会自动检测各特征之间的多维非线性关系并编码,然后根据预测的趋势进行交易。本文提供了三个公司的预测结果,该预测结果非常有效。     

An application of support vector machines in bankruptcy prediction model

This study investigates the efficacy of applying support vector machines (SVM) to bankruptcy prediction problem. Although it is a well-known fact that the back-propagation neural network (BPN) performs well in pattern recognition tasks, the method has some limitations in that it is an art to find an appropriate model structure and optimal solution. Furthermore, loading as many of the training set as possible into the network is needed to search the weights of the network. On the other hand, since SVM captures geometric characteristics of feature space without deriving weights of networks from the training data, it is capable of extracting the optimal solution with the small training set size. In this study, we show that the proposed classifier of SVM approach outperforms BPN to the problem of corporate bankruptcy prediction.The results demonstrate that the accuracy and generalization performance of SVM is better than that of BPN as the training set size gets smaller. We also examine the effect of the variability in performance with respect to various values of parameters in SVM. In addition, we investigate and summarize the several superior points of the SVM algorithm compared with BPN.     

Forecasting volatility based on wavelet support vector machine

One of the challenging problems in forecasting the conditional volatility of stock market returns is that general kernel functions in support vector machine (SVM) cannot capture the cluster feature of volatility accurately. While wavelet function yields features that describe of the volatility time series both at various locations and at varying time granularities, so this paper construct a multidimensional wavelet kernel function and prove it meeting the mercer condition to address this problem. The applicability and validity of wavelet support vector machine (WSVM) for volatility forecasting are confirmed through computer simulations and experiments on real-world stock data.     

Cascading logistic regression onto gradient boosted decision trees for forecasting and trading stock indices

Forecasting the direction of the daily changes of stock indices is an important yet difficult task for market participants. Advances on data mining and machine learning make it possible to develop more accurate predictions to assist investment decision making. This paper attempts to develop a learning architecture LR2GBDT for forecasting and trading stock indices, mainly by cascading the logistic regression (LR) model onto the gradient boosted decision trees (GBDT) model. Without any assumption on the underlying data generating process, raw price data and twelve technical indicators are employed for extracting the information contained in the stock indices. The proposed architecture is evaluated by comparing the experimental results with the LR, GBDT, SVM (support vector machine), NN (neural network) and TPOT (tree-based pipeline optimization tool) models on three stock indices data of two different stock markets, which are an emerging market (Shanghai Stock Exchange Composite Index) and a mature stock market (Nasdaq Composite Index and S&P 500 Composite Stock Price Index). Given the same test conditions, the cascaded model not only outperforms the other models, but also shows statistically and economically significant improvements for exploiting simple trading strategies, even when transaction cost is taken into account.     

基于多层级新闻的股价预测与交易策略研究

构建包括公司、子行业和行业三个层级的综合新闻体系,从新闻层级角度拓展了股价预测任务中所使用新闻的范围,研究多层级新闻体系对股价趋势的预测作用。为了更好地利用各层级新闻,引入了多核学习（MKL）模型。研究发现,三个层级的新闻都能在预测中发挥作用,相比只考虑个股新闻的SVM模型,基于多层级新闻的MKL模型预测准确率提升了10%。在此基础上构建交易策略,模拟交易的结果显示,引入多层级新闻的MKL模型能获得超额收益,表明其在市场交易中具有实践价值。     

An intelligent stock trading system using comprehensive features

The aim of this study is to predict automatic trading decisions in stock markets. Comprehensive features (CF) for predicting future trend are very difficult to generate in a complex environment, especially in stock markets. According to related work, the relevant stock information can help investors formulate objects that may result in better profits. With this in mind, we present a framework of an intelligent stock trading system using comprehensive features (ISTSCF) to predict future stock trading decisions. The ISTSCF consists of stock information extraction, prediction model learning and stock trading decision. We apply three different methods to generate comprehensive features, including sentiment analysis (SA) that provides sensitive market events from stock news articles for sentiment indices (SI), technical analysis (TA) that yields effective trading rules based on trading information on the stock exchange for technical indices (TI), as well as the trend-based segmentation method (TBSM) that raises trading decisions from stock price for trading signals (TS). Experiments on the Taiwan stock market show that the results of employing comprehensive features are significantly better than traditional methods using numeric features alone (without textual sentiment features).     

基于多输出学习的沪深300指数预测研究

在股票市场中,人们通常会依赖于股票的历史交易数据来进行推测。目前采用SVM方法进行预测的研究较多,但其模型复杂,耗时较长,而且通常只预测未来1天的数据。文中采用多输出的正则化方法来预测未来多天的走势,对多任务的学习方法进行改进,提出了一种基于多输出的学习方法。实验表明,与SVM支持向量机的方法相比,该方法在沪深300指数预测的均方差值上提高了约10倍,运行时长也减少了近3/4。     

Stock Trading Using RSPOP: A Novel Rough Set-Based Neuro-Fuzzy Approach

This paper investigates the method of forecasting stock price difference on artificially generated price series data using neuro-fuzzy systems and neural networks. As trading profits is more important to an investor than statistical performance, this paper proposes a novel rough set-based neuro-fuzzy stock trading decision model called stock trading using rough set-based pseudo outer-product (RSPOP) which synergizes the price difference forecast method with a forecast bottleneck free trading decision model. The proposed stock trading with forecast model uses the pseudo outer-product based fuzzy neural network using the compositional rule of inference [POPFNN-CRI(S)] with fuzzy rules identified using the RSPOP algorithm as the underlying predictor model and simple moving average trading rules in the stock trading decision model. Experimental results using the proposed stock trading with RSPOP forecast model on real world stock market data are presented. Trading profits in terms of portfolio end values obtained are benchmarked against stock trading with dynamic evolving neural-fuzzy inference system (DENFIS) forecast model, the stock trading without forecast model and the stock trading with ideal forecast model. Experimental results showed that the proposed model identified rules with greater interpretability and yielded significantly higher profits than the stock trading with DENFIS forecast model and the stock trading without forecast model.     

A weighted support vector machine method for control chart pattern recognition

Manual inspection and evaluation of quality control data is a tedious task that requires the undistracted attention of specialized personnel. On the other hand, automated monitoring of a production process is necessary, not only for real time product quality assessment, but also for potential machinery malfunction diagnosis. For this reason, control chart pattern recognition (CCPR) methods have received a lot of attention over the last two decades. Current state-of-the-art control monitoring methodology includes K charts which are based on support vector machines (SVM). Although K charts have some profound benefits, their performance deteriorate when the learning examples for the normal class greatly outnumbers the ones for the abnormal class. Such problems are termed imbalanced and represent the vast majority of the real life control pattern classification problems. Original SVM demonstrate poor performance when applied directly to these problems. In this paper, we propose the use of weighted support vector machines (WSVM) for automated process monitoring and early fault diagnosis. We show the benefits of WSVM over traditional SVM, compare them under various fault scenarios. We evaluate the proposed algorithm in binary and multi-class environments for the most popular abnormal quality control patterns as well as a real application from wafer manufacturing industry.     

Improved voicing decision using glottal activity features for statistical parametric speech synthesis

A method to improve voicing decision using glottal activity features proposed for statistical parametric speech synthesis. In existing methods, voicing decision relies mostly on fundamental frequency $\mathrm{F}0$, which may result in errors when the prediction is inaccurate. Even though $\mathrm{F}0$ is a glottal activity feature, other features that characterize this activity may help in improving the voicing decision. The glottal activity features used in this work are the strength of excitation (SoE), normalized autocorrelation peak strength (NAPS), and higher-order statistics (HOS). These features obtained from approximated source signals like zero-frequency filtered signal and integrated linear prediction residual. To improve voicing decision and to avoid heuristic threshold for classification, glottal activity features are trained using different statistical learning methods such as the k-nearest neighbor, support vector machine (SVM), and deep belief network. The voicing decision works best with SVM classifier, and its effectiveness is tested using the statistical parametric speech synthesis. The glottal activity features SoE, NAPS, and HOS modeled along with $\mathrm{F}0$ and Mel-cepstral coefficients in Hidden Markov model and deep neural network to get the voicing decision. The objective and subjective evaluations demonstrate that the proposed method improves the naturalness of synthetic speech.