Analyzing and forecasting the financial market based on the theory of phase space reconstruction of support vector regression. The key point of the phase space reconstruction is to choose the optimal delay time, and to find the optimal embedding dimension of space. This paper proposes the use of false nearest neighbor method to construct the error function for all the variables to determine the appropriate embedding dimension combinations. Kernel function in the SVR is an important factor for algorithm performance. Experiments show that the theory of phase space reconstruction based on support vector regression has a certain degree of predictive ability of market value at risk.
| Published in | American Journal of Applied Mathematics (Volume 3, Issue 3) |
| DOI | 10.11648/j.ajam.20150303.16 |
| Page(s) | 112-117 |
| Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
| Copyright |
Copyright © The Author(s), 2015. Published by Science Publishing Group |
Phase Space Reconstruction Theory, Support Vector Regression, Financial Time Series Prediction
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APA Style
Hong Zhang, Li Zhou, Jie Zhu. (2015). Study on Financial Time Series Prediction Based on Phase Space Reconstruction and Support Vector Machine (SVM). American Journal of Applied Mathematics, 3(3), 112-117. https://doi.org/10.11648/j.ajam.20150303.16
ACS Style
Hong Zhang; Li Zhou; Jie Zhu. Study on Financial Time Series Prediction Based on Phase Space Reconstruction and Support Vector Machine (SVM). Am. J. Appl. Math. 2015, 3(3), 112-117. doi: 10.11648/j.ajam.20150303.16
AMA Style
Hong Zhang, Li Zhou, Jie Zhu. Study on Financial Time Series Prediction Based on Phase Space Reconstruction and Support Vector Machine (SVM). Am J Appl Math. 2015;3(3):112-117. doi: 10.11648/j.ajam.20150303.16
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Download@article{10.11648/j.ajam.20150303.16,
author = {Hong Zhang and Li Zhou and Jie Zhu},
title = {Study on Financial Time Series Prediction Based on Phase Space Reconstruction and Support Vector Machine (SVM)},
journal = {American Journal of Applied Mathematics},
volume = {3},
number = {3},
pages = {112-117},
doi = {10.11648/j.ajam.20150303.16},
url = {https://doi.org/10.11648/j.ajam.20150303.16},
eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ajam.20150303.16},
abstract = {Analyzing and forecasting the financial market based on the theory of phase space reconstruction of support vector regression. The key point of the phase space reconstruction is to choose the optimal delay time, and to find the optimal embedding dimension of space. This paper proposes the use of false nearest neighbor method to construct the error function for all the variables to determine the appropriate embedding dimension combinations. Kernel function in the SVR is an important factor for algorithm performance. Experiments show that the theory of phase space reconstruction based on support vector regression has a certain degree of predictive ability of market value at risk.},
year = {2015}
}
TY - JOUR T1 - Study on Financial Time Series Prediction Based on Phase Space Reconstruction and Support Vector Machine (SVM) AU - Hong Zhang AU - Li Zhou AU - Jie Zhu Y1 - 2015/05/04 PY - 2015 N1 - https://doi.org/10.11648/j.ajam.20150303.16 DO - 10.11648/j.ajam.20150303.16 T2 - American Journal of Applied Mathematics JF - American Journal of Applied Mathematics JO - American Journal of Applied Mathematics SP - 112 EP - 117 PB - Science Publishing Group SN - 2330-006X UR - https://doi.org/10.11648/j.ajam.20150303.16 AB - Analyzing and forecasting the financial market based on the theory of phase space reconstruction of support vector regression. The key point of the phase space reconstruction is to choose the optimal delay time, and to find the optimal embedding dimension of space. This paper proposes the use of false nearest neighbor method to construct the error function for all the variables to determine the appropriate embedding dimension combinations. Kernel function in the SVR is an important factor for algorithm performance. Experiments show that the theory of phase space reconstruction based on support vector regression has a certain degree of predictive ability of market value at risk. VL - 3 IS - 3 ER -
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