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.     

Gaussian小波SVM及其混沌时间序列预测

为了提高混沌时间序列的预测精度,针对小波有利于信号细微特征提取的优点,结合小波技术和SVM的核函数方法,提出基于Gaussian小波SVM的混沌时间序列预测模型.证明了偶数阶Ganssian小波函数满足SVM平移不变核条件,并构建相应的Gaussian小波SVM.时混沌时间序列进行相空间重构,将重构相空间中的向量作为SVM的输入参量.用Ganssian小波SVM与常用的径向基SVM及Morlet小渡SVM进行对比实验,通过对Chen's混沌时间序列和负荷混沌时间序列的预测,结果表明,Ganssian小波SVM的效果比其他两种SVM更好.     

高斯小波支持向量机的研究

证明了偶数阶高斯小波函数满足支持向量机的平移不变核函数条件．应用小波核函数建立了相应的高斯小波支持向量机,并且使用云遗传算法对支持向量机及其核函数的参数进行优化．用该算法与常用的高斯核和Morlet小波核支持向量机进行对比实验．通过对非线性函数的逼近和电力系统短期负荷的预测,验证了该算法的有效性和优越性,表明其具有一定的实用价值．     

Wavelet twin support vector machine

Twin support vector machine (TWSVM) is a research hot spot in the field of machine learning in recent years. Although its performance is better than traditional support vector machine (SVM), the kernel selection problem still affects the performance of TWSVM directly. Wavelet analysis has the characteristics of multivariate interpolation and sparse change, and it is suitable for the analysis of local signals and the detection of transient signals. The wavelet kernel function based on wavelet analysis can approximate any nonlinear functions. Based on the wavelet kernel features and the kernel function selection problem, wavelet twin support vector machine (WTWSVM) is proposed by this paper. It introduces the wavelet kernel function into TWSVM to make the combination of wavelet analysis techniques and TWSVM come true. The experimental results indicate that WTWSVM is feasible, and it improves the classification accuracy and generalization ability of TWSVM significantly.     

Wavelet support vector machine

An admissible support vector (SV) kernel (the wavelet kernel), by which we can construct a wavelet support vector machine (SVM), is presented. The wavelet kernel is a kind of multidimensional wavelet function that can approximate arbitrary nonlinear functions. The existence of wavelet kernels is proven by results of theoretic analysis. Computer simulations show the feasibility and validity of wavelet support vector machines (WSVMs) in regression and pattern recognition.     

最小二乘Littlewood-Paley小波支持向量机

基于小波分解理论和支持向量机核函数的条件，提出了一种多维允许支持向量核函数——Littlewood-Paley小波核函数．该核函数不仅具有平移正交性，而且可以以其正交性逼近二次可积空间上的任意曲线，从而提升了支持向量机的泛化性能．在Littlewood-Paley小波函数作为支持向量核函数的基础上，提出了最小二乘Littlewood-Paley小波支持向量机(LS-LPWSVM)．实验结果表明，LS-LPWSVM在同等条件下比最小二乘支持向量机的学习精度要高，因而更适用于复杂函数的学习问题．     

小波核支持向量机的网络入侵检测

将小波理论和统计学习运用到网络入侵检测中,使用小波核支持向量机(WSVM)对网络连接信息进行攻击检测和异常发现。仿真试验结果表明,与RBF核相比,小波核支持向量机在泛化能力和检测能力方面都有所提高。     

提升小波支持向量机在交通流量预测中的应用*

采用提升小波方法构造出一种满足双正交的小波函数,并将这种小波函数作为支持向量机的核函数;此外,用线性规划问题来代替二次规划问题及稀疏正则化,本质上确保了解的稀疏性.基于提升小波构造出提升小波支持向量机模型,并将其用于交通流量的预测中.仿真实验表明该模型具有良好的预测能力和泛化能力.     

A support vector machine based MSM model for financial short-term volatility forecasting

Financial time series forecasting has become a challenge because of its long-memory, thick tails and volatility persistence. Multifractal process has recently been proposed as a new formalism for this problem. An iterative Markov-Switching Multifractal (MSM) model was introduced to the literature. It is able to capture many of the important stylized features of the financial time series, including long-memory in volatility, volatility clustering, and return outliers. The model delivers stronger performance both in- and out-of-sample than GARCH-type models in long-term forecasts. To enhance MSM’s short-term prediction accuracy, this paper proposes a support vector machine (SVM) based MSM approach which exploits MSM model to forecast volatility and SVM to model the innovations. To verify the effectiveness of the proposed approach, two stock indexes in the Chinese A-share market are chosen as the forecasting targets. Comparing with some existing state-of-the-art models, the proposed approach gives superior results. It indicates that the proposed model provides a promising alternative to financial short-term volatility prediction.     

基于混沌粒子群算法和小波SVM的P2P流量识别方法

针对对等网络(Peer-to-Peer,P2P)流量具有的多尺度和突变性等问题,提出了基于小波核函数的支持向量机(Support Vector Machine,SVM)的P2P流量识别算法。进一步,对常用的SVM参数训练方法训练时间过长和易陷入局部极优值等缺陷进行分析,使用混沌粒子群算法对SVM参数进行优化以提高参数训练效率和识别准确率。最后利用真实的校园网网络流量数据对所提方法的有效性进行测试,结果表明,相对于使用传统核函数和参数训练方法的支持向量机P2P流量识别方法,所提方法具有更高的P2P流量识别正确率和计算效率。     

基于小波核LS—SVM的网络流量预测

网络流量预测对大规模网络管理、规划、设计具有重要意义。支持向量机方法是近年来发展起来的新型机器学习算法,用于解决高度非线性分类及回归问题。介绍了基于小波核最小二乘支持向量机的网络流量预测方法,利用小波核函数的多分辨特性提高了支持向量机的非线性建模能力。通过对实测网络流量数据的学习,对未来网络流量进行预测。实验结果表明,取得了较好的预测效果。     

基于小波和支持向量机的光纤微振动传感器模式识别

为实现对双M-Z型光纤传感器的振动信号进行识别,提出一种基于小波能熵和支持向量机(SVM)的光纤传感信号模式识别方法。该方法对小波分解得到的各频段系数求解其能量信息熵,归一化后得到特征向量。其作为SVM的输入,通过选用合适的核函数和多类的分类方法,对SVM多类分类器进行建模。在多种振动信号的条件下,用测试样本对SVM分类器模型进行测试,测试结果表明:该方法对双M-Z型光纤微振动传感器的振动信号的分类达到了较高的识别率。     

A novel approach to wavelet selection and tree kernel construction for diagnosis of rolling element bearing fault

A novel methodology for early diagnosis of rolling element bearing fault is employed based on continuous wavelet transform (CWT) and support vector machine (SVM). CWT is especially suited for analyzing non-stationary signals in time–frequency domain where time information is retained as well as frequency content. To better approximate non-stationary vibration signals from rolling element bearing, a wavelet choice criterion is established to select an appropriate mother wavelet for feature extraction. The Shannon wavelet is picked out of several considered wavelets. The classification tree kernels (CTK) are constructed to address nonlinear classification of the characteristic samples derived from the wavelet coefficients. By using Fuzzy pruning strategy, a large variety of classification trees are generated. The trees with diverse structures can effectively explore intrinsic information among samples. Then, the tree kernel matrices can be acquired through ensemble statistical learning, which eventually reveal the similarity of samples objectively and stably. Under such architecture of kernel methods, a classification tree kernel based support vector machine (CTKSVM) is proposed to identify bearing fault. The performance of the methodology involving CWT and CTKSVM (CWT–CTKSVM) is evaluated by cross validation and independent test. The results show that the CWT–CTKSVM totally is superior to other SVM methods with common kernels. Therefore, it is a prospective technique for detection and identification of rolling element bearing fault.     

K线能量计算的股市生命期态势预测方法*

股市中K线特征是股价涨跌的因果信息,基于支持向量机（SVM）的股价预测模型没有考虑K线特征知识,对于股价态势难以有效预测。本文提出基于K线能量计算的股市生命期支持向量机态势预测算法（LPF-SVM）。首先,提取典型K线特征,通过引入特征的孕育成熟度和爆发力定义,给出K线特征支持向量机算法（KLF-SVM）;进而,在KLF-SVM算法基础上定义特征的能量计算模型,给出一种K线能量计算的SVM股价预测算法。为了有效地预测态势,引入股价波动的生命期概念,通过K线组合特征判定股价所处的生命期的阶段,进而结合生命期阶段之间的时序影响关系,给出一种基于生命期的股价态势预测算法。在上证和深证数据集上的实验结果表明,LPF-SVM算法对于股价上升波段和下跌波段的股价预测取得了很好的效果。     

基于小波变换和优化的SVM的网络流量预测模型

提出一种基于小波变换和优化的SVM的网络流量预测模型(WaOSVM),首先对网络流量进行无抽取小波分解得到小波系数和尺度系数,然后选取适当核函数的SVM分别进行预测,其中SVM的参数用自适应量子粒子群算法(AQPSO)进行优化,最后将各预测结果进行小波重构得到最终预测结果.实验结果表明:优化过的SVM具有较好的泛化能力...     

一种基于Morlet小波核的约简支持向量机

针对支持向量机（SVM）的训练数据量仅局限于较小样本集的问题,结合Morlet小波核函数,提出了一种基于Morlet小波核的约倚支持向量机（MWRSVM—DC）．算法的核心是通过密度聚类寻找聚类中每个簇的边缘点作为约倚集合,并利用该约倚集合寻找支持向量．实验表明,利用小波核,该算法不仅提高了分类的准确率,而且提高了整体分类效率．     

小波包和GA-SVM在轴承故障诊断中的应用

为了解决傅里叶变换难以兼顾信号在时域和频域中的全貌和局部化特征以及支持向量机惩罚参数c和核函数参数g选取的问题,提出了基于小波包和GA-SVM的轴承故障诊断方法;首先通过实验采集多种工况下故障轴承和正常轴承的振动信号,从振动信号中提取能够表征轴承运行状态的时频域特征以及基于小波包分析的特征向量来作为GA-SVM的输入,然后在SVM的基础上,针对SVM的惩罚参数和核函数参数在不同应用场景下的取值难以确定的特性,采用了遗传算法对支持向量机进行参数优化的GA-SVM算法进行模式识别;实验结果显示,基于小波包和GA-SVM的轴承故障诊断方法比SVM和BP都具有更高的识别精度。     

基于Boruta-PSO-SVM的股票收益率研究

针对股票收益率的分类预测研究中支持向量机(SVM)存在的参数选择困难以及分类性能较差的问题,提出了一种基于特征选择(Boruta算法)和粒子群优化(PSO)算法SVM的新算法.通过Boruta算法对训练集进行特征选择,剔除无价值的特征以降低输入维度,同时引入PSO算法优化SVM核函数参数,从而提高SVM的分类性能.实验结果表明:相比决策树、神经网络及极限学习机算法,新算法取得了更高的分类精度,可以有效提高股票收益率的分类预测性能.     

基于能量特征和支持向量机的网络蠕虫检测方法

根据网络蠕虫攻击的特点,建立了能够反映蠕虫扫描特征的失败连接流量(FCT)时间序列,提出了一种基于FCT时间序列小波包能量特征和支持向量机(SVM)的蠕虫检测新方法。该方法利用小波包分析计算FCT时间序列在各频带投影序列的能量分布,获得能够表征蠕虫扫描的特征向量,使用经过样本训练的SVM分类器进行分类,实现蠕虫攻击扫描的自动检测。实验结果表明,该方法能够比较准确地检测蠕虫攻击,和理论值相比,漏报率低于6%,误报率低于1%。     

基于信息几何的混沌支持向量机预测

复杂环境中存在大量的混沌现象,难以用传统的预测方法进行准确预测.针对这一问题,本文利用信息几何理论、支持向量机理论与重构相空间理论,提出混沌支持向量机CSVM,对含有混沌现象的时间序列进行预测;针对混沌环境下核函数难于构造,从信息几何角度,提出在混沌环境下,如何方便准确得进行构造核函数;最后将CSVM应用于Henon混沌系统实验.实验结果表明,误差随嵌入维数变化和延迟时间变化趋于恒定;与BP、RBF和SVM相比,CSVM具有所需支持向量少,收敛速度快,准确性高等特点.