A novel hybrid stock selection method with stock prediction

The success of stock selection is contingent upon the future performance of stock markets. We incorporate stock prediction into stock selection to specifically capture the future features of stock markets, thereby forming a novel hybrid (two-step) stock selection method (involving stock prediction and stock scoring). (1) Stock returns for the next period are predicted using emerging computational intelligence (CI), i.e., extreme learning machine with a powerful learning capacity and a fast computing speed. (2) A stock scoring mechanism is developed as a linear combination of the predicted factor (generated in the first step) and the fundamental factors (popular in existing literature) based on CI-based optimization for weights, and top-ranked stocks are selected for an equally weighted portfolio. Using the A-share market of China as the study sample, the empirical results show that the novel hybrid approach, using highly weighted predicted factors, statistically outperforms both traditional methods (without stock prediction) and similar counterparts (with other model designs) in terms of market returns, which suggests the great contribution of stock prediction for improving stock selection.     

基于特征选择和支持向量机的异常检测方法

针对异常检测系统虚警率高、检测率低以及冗余特征对检测系统造成负担的问题,提出一种基于特征选择和支持向量机相结合的异常检测方法.该方法通过构造一种基于分类模型分类准确率计算的特征选择算法,筛选出能够获得分类准确率最高的特征组合,并与支持向量机分类算法相结合,实现数据的异常检测.仿真测试结果表明,该方法具有较高的检测准确率和较低的检测时间,并通过去除噪声特征,降低了系统的数据处理难度.     

Incorporating feature selection method into support vector regression for stock index forecasting

Stock index forecasting is one of the most difficult tasks that financial organizations, firms and private investors have to face. Support vector regression (SVR) has become a popular alternative in stock index forecasting tasks due to its generalization capability in obtaining a unique solution. However, the major limitation of SVR is that it cannot capture the relative importance of independent variables to the dependent variable when many potential independent variables are considered. This study incorporates feature selection method and SVR for building stock index forecasting model. The proposed model uses multivariate adaptive regression splines (MARS), an effective nonlinear and nonparametric regression methodology, to identify important forecasting variables. The obtained significant predictor variables are then served as the inputs for the SVR model. Experimental results reveal that the obtained important variables from MARS can improve the forecasting performance of the SVR models. Moreover, the MARS results provide useful information about the relationship between the selected predictor variables and stock index through the obtained basis functions, important predictor variables and the MARS prediction function. Hence, the proposed stock index forecasting model can generate good forecasting performance and exhibits the capability of identifying significant predictor variables, which provide valuable information for further investment decisions/strategies.     

A feature weighted support vector machine and K-nearest neighbor algorithm for stock market indices prediction

This study investigates stock market indices prediction that is an interesting and important research in the areas of investment and applications, as it can get more profits and returns at lower risk rate with effective exchange strategies. To realize accurate prediction, various methods have been tried, among which the machine learning methods have drawn attention and been developed. In this paper, we propose a basic hybridized framework of the feature weighted support vector machine as well as feature weighted K-nearest neighbor to effectively predict stock market indices. We first establish a detailed theory of feature weighted SVM for the data classification assigning different weights for different features with respect to the classification importance. Then, to get the weights, we estimate the importance of each feature by computing the information gain. Lastly, we use feature weighted K-nearest neighbor to predict future stock market indices by computing k weighted nearest neighbors from the historical dataset. Experiment results on two well known Chinese stock market indices like Shanghai and Shenzhen stock exchange indices are finally presented to test the performance of our established model. With our proposed model, it can achieve a better prediction capability to Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange Component Index in the short, medium and long term respectively. The proposed algorithm can also be adapted to other stock market indices prediction.     

Adaptive feature selection via a new version of support vector machine

This paper focuses on feature selection in classification. A new version of support vector machine (SVM) named p-norm support vector machine ( $p\in[0,1]$ ) is proposed. Different from the standard SVM, the p-norm $(p\in[0,1])$ of the normal vector of the decision plane is used which leads to more sparse solution. Our new model can not only select less features but also improve the classification accuracy by adjusting the parameter p. The numerical experiments results show that our p-norm SVM is more effective than some usual methods in feature selection.     

基于支持向量机的特征提取方法研究与应用

支持向量机是一种基于结构风险最小化原理的分类技术,已逐渐引起国内外研究者的关注。提出了一种用于最佳特征子集选取的特征筛选算法,且实现了特征与分类识别相关性强度的排序,并通过使用该算法对Ⅱ型糖尿病判别与风险因素筛选,求证了该方法的可靠性和可行性。当以该算法提取的特征子集{腰围、腰围/臀围、舒张血压、年龄}作为输入向量时,敏感度、特异性、准确率最高,分别为0.866 6、0.642 0、0.701 4。同时,还将该算法与主成分分析法进行比较。实验表明,在特征提取方面该算法优于主成分分析法。因此,该算法对分类识别、风险因素筛选是一种有效的方法,为解决该类问题探索了一条有效途径。     

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).     

A hybrid optimization algorithm-based feature selection for thyroid disease classifier with rough type-2 fuzzy support vector machine

Thyroid hormones are essential for all the metabolic and reproductive activities with significance to growth, and neuron development in the human body. The thyroid hormone dysfunction has many ill consequences, affecting the human population; thereby being a global epidemic. It is noticed that every one in 10 persons suffer from different thyroid disorders in India. In recent years, many researchers have implemented various disease predictive models based on Information and Communications Technology (ICT). Increasing the accuracy of disease classification is a critical and challenging task. To increase the accuracy of classification, in this paper, we propose a hybrid optimization algorithm-based feature selection design for thyroid disease classifier with rough type-2 fuzzy support vector machine. This work uses the hybrid optimization algorithm, which combines the firefly algorithm (FA) and butterfly optimization algorithm (BOA) to select the top-n features. The proposed hybrid firefly butterfly optimization-rough type-2 fuzzy support vector machine (HFBO-RT2FSVM) is evaluated with several key metrics such as specificity, accuracy, and sensitivity. We compare our approach with well-known benchmark methods such as improved grey wolf optimization linear support vector machine (IGWO Linear SVM) and mixed-kernel support vector machine (MKSVM) methods. From the experimental evaluations, we justify that our technique improves the accuracy by large thereby precise in identifying the thyroid disease. HFBO-RT2FSVM model attained an accuracy of 99.28%, having specificity and sensitivity of 98 and 99.2%, respectively.     

基于小波和支持向量机的故障趋势预报

从工业生产过程实用的观点出发,鉴于小波变换能有效地对信号进行消噪的优点和支持向量机的卓越学习性能,探讨基于小波和支持向量机的故障趋势预报,并结合专家系统建立解释机制。将其用于工业精对苯二甲酸(PTA)生产过程中对二甲苯(PX)氧化反应器尾氧浓度故障预报的结果表明:该方法能准确地对尾氧浓度故障趋势进行预测,并同时给出故障产生的概率大小,为PX氧化反应器的安全平稳操作提供了保证。     

基于D-score与支持向量机的混合特征选择方法

F-score作为特征评价准则时,没有考虑不同特征的不同测量量纲对特征重要性的影响。为此,提出一种新的特征评价准则D-score,该准则不仅可以衡量样本特征在两类或多类之间的辨别能力,而且不受特征测量量纲对特征重要性的影响。以D-score为特征重要性评价准则,结合前向顺序搜索、前向顺序浮动搜索以及后向浮动搜索三种特征搜索策略,以支持向量机分类正确率评价特征子集的分类性能得到三种混合的特征选择方法。这些特征选择方法结合了Filter方法和Wrapper方法的各自优势实现特征选择。对UCI机器学习数据库中9个标准数据集的实验测试,以及与基于改进F-score与支持向量机的混合特征选择方法的实验比较,表明D-score特征评价准则是一种有效的样本特征重要性,也即特征辨别能力衡量准则。基于该准则与支持向量机的混合特征选择方法实现了有效的特征选择,在保持数据集辨识能力不变情况下实现了维数压缩。     

A hybrid stock selection model using genetic algorithms and support vector regression

In the areas of investment research and applications, feasible quantitative models include methodologies stemming from soft computing for prediction of financial time series, multi-objective optimization of investment return and risk reduction, as well as selection of investment instruments for portfolio management based on asset ranking using a variety of input variables and historical data, etc. Among all these, stock selection has long been identified as a challenging and important task. This line of research is highly contingent upon reliable stock ranking for successful portfolio construction. Recent advances in machine learning and data mining are leading to significant opportunities to solve these problems more effectively. In this study, we aim at developing a methodology for effective stock selection using support vector regression (SVR) as well as genetic algorithms (GAs). We first employ the SVR method to generate surrogates for actual stock returns that in turn serve to provide reliable rankings of stocks. Top-ranked stocks can thus be selected to form a portfolio. On top of this model, the GA is employed for the optimization of model parameters, and feature selection to acquire optimal subsets of input variables to the SVR model. We will show that the investment returns provided by our proposed methodology significantly outperform the benchmark. Based upon these promising results, we expect this hybrid GA-SVR methodology to advance the research in soft computing for finance and provide an effective solution to stock selection in practice.     

Feature clustering based support vector machine recursive feature elimination for gene selection

In a DNA microarray dataset, gene expression data often has a huge number of features(which are referred to as genes) versus a small size of samples. With the development of DNA microarray technology, the number of dimensions increases even faster than before, which could lead to the problem of the curse of dimensionality. To get good classification performance, it is necessary to preprocess the gene expression data. Support vector machine recursive feature elimination (SVM-RFE) is a classical method for gene selection. However, SVM-RFE suffers from high computational complexity. To remedy it, this paper enhances SVM-RFE for gene selection by incorporating feature clustering, called feature clustering SVM-RFE (FCSVM-RFE). The proposed method first performs gene selection roughly and then ranks the selected genes. First, a clustering algorithm is used to cluster genes into gene groups, in each which genes have similar expression profile. Then, a representative gene is found to represent a gene group. By doing so, we can obtain a representative gene set. Then, SVM-RFE is applied to rank these representative genes. FCSVM-RFE can reduce the computational complexity and the redundancy among genes. Experiments on seven public gene expression datasets show that FCSVM-RFE can achieve a better classification performance and lower computational complexity when compared with the state-the-art-of methods, such as SVM-RFE.     

Forecasting stock market movement direction with support vector machine

Support vector machine (SVM) is a very specific type of learning algorithms characterized by the capacity control of the decision function, the use of the kernel functions and the sparsity of the solution. In this paper, we investigate the predictability of financial movement direction with SVM by forecasting the weekly movement direction of NIKKEI 225 index. To evaluate the forecasting ability of SVM, we compare its performance with those of Linear Discriminant Analysis, Quadratic Discriminant Analysis and Elman Backpropagation Neural Networks. The experiment results show that SVM outperforms the other classification methods. Further, we propose a combining model by integrating SVM with the other classification methods. The combining model performs best among all the forecasting methods.     

基于特征向量的最小二乘支持向量机PM2.5浓度预测模型

针对大气中细颗粒物(PM2.5)浓度预测的问题,提出一种预测模型。首先,通过引入综合气象指数综合考虑风力、湿度、温度等因素;然后,结合实际二氧化硫（SO2）浓度、二氧化氮（NO2）浓度、一氧化碳（CO）浓度和PM10浓度等,构成特征向量;最后,利用特征向量和PM2.5浓度数据来建立最小二乘支持向量机（LS-SVM）预测模型。经2013年城市A和城市B环境监测中心的数据预测分析表明,引入综合气象指数后预测的准确性提高,误差降低近30%。说明该模型能够较为准确地预测PM2.5浓度,并具有较高的泛化能力。此外还分析了PM2.5浓度与住院率、医院门诊量的关系,发现了它们的高度相关性。     

基于改进的F-score与支持向量机的特征选择方法

将传统F-score度量样本特征在两类之间的辨别能力进行推广,提出了改进的F-score,使其不但能够评价样本特征在两类之间的辨别能力,而且能够度量样本特征在多类之间的辨别能力大小。以改进的F-score作为特征选择准则,用支持向量机(SVM)评估所选特征子集的有效性,实现有效的特征选择。通过UCI机器学习数据库中六组数据集的实验测试,并与SVM、PCA+SVM方法进行比较,证明基于改进F-score与SVM的特征选择方法不仅提高了分类精度,并具有很好的泛化能力,且在训练时间上优于PCA+SVM方法。     

An effective feature selection method for hyperspectral image classification based on genetic algorithm and support vector machine

With the development and popularization of the remote-sensing imaging technology, there are more and more applications of hyperspectral image classification tasks, such as target detection and land cover investigation. It is a very challenging issue of urgent importance to select a minimal and effective subset from those mass of bands. This paper proposed a hybrid feature selection strategy based on genetic algorithm and support vector machine (GA–SVM), which formed a wrapper to search for the best combination of bands with higher classification accuracy. In addition, band grouping based on conditional mutual information between adjacent bands was utilized to counter for the high correlation between the bands and further reduced the computational cost of the genetic algorithm. During the post-processing phase, the branch and bound algorithm was employed to filter out those irrelevant band groups. Experimental results on two benchmark data sets have shown that the proposed approach is very competitive and effective.     

Improved barnacles mating optimizer algorithm for feature selection and support vector machine optimization

Pattern Analysis and Applications - With the rapid development of computer technology, data collection becomes easier, and data object presents more complex. Data analysis method based on machine...     

Parameter determination of support vector machine and feature selection using simulated annealing approach

Support vector machine (SVM) is a novel pattern classification method that is valuable in many applications. Kernel parameter setting in the SVM training process, along with the feature selection, significantly affects classification accuracy. The objective of this study is to obtain the better parameter values while also finding a subset of features that does not degrade the SVM classification accuracy. This study develops a simulated annealing (SA) approach for parameter determination and feature selection in the SVM, termed SA-SVM.To measure the proposed SA-SVM approach, several datasets in UCI machine learning repository are adopted to calculate the classification accuracy rate. The proposed approach was compared with grid search which is a conventional method of performing parameter setting, and various other methods. Experimental results indicate that the classification accuracy rates of the proposed approach exceed those of grid search and other approaches. The SA-SVM is thus useful for parameter determination and feature selection in the SVM.     

FS_SFS: A novel feature selection method for support vector machines

In many pattern recognition applications, high-dimensional feature vectors impose a high computational cost as well as the risk of “overfitting”. Feature Selection addresses the dimensionality reduction problem by determining a subset of available features which is most essential for classification. This paper presents a novel feature selection method named filtered and supported sequential forward search (FS_SFS) in the context of support vector machines (SVM). In comparison with conventional wrapper methods that employ the SFS strategy, FS_SFS has two important properties to reduce the time of computation. First, it dynamically maintains a subset of samples for the training of SVM. Because not all the available samples participate in the training process, the computational cost to obtain a single SVM classifier is decreased. Secondly, a new criterion, which takes into consideration both the discriminant ability of individual features and the correlation between them, is proposed to effectively filter out nonessential features. As a result, the total number of training is significantly reduced and the overfitting problem is alleviated. The proposed approach is tested on both synthetic and real data to demonstrate its effectiveness and efficiency.     

面向软件缺陷个数预测的混合式特征选择方法*

针对软件缺陷数据集中不相关特征和冗余特征会降低软件缺陷个数预测模型的性能的问题,提出了一种面向软件缺陷个数预测的混合式特征选择方法-HFSNFP。首先,利用ReliefF算法计算每个特征与缺陷个数之间的相关性,选出相关性最高的m个特征;然后,基于特征之间的关联性利用谱聚类对这m个特征进行聚类;最后,利用基于包裹式特征选择思想从每个簇中依次挑选最相关的特征形成最终的特征子集。实验结果表明,相比于已有的五种过滤式特征选择方法,HFSNFP方法在提高预测率的同时降低了误报率,且G-measure与RMSE度量值更佳;相比于已有的两种包裹式特征选择方法,HFSNFP方法在保证了缺陷个数预测性能的同时可以显著降低特征选择的时间。