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Please use this identifier to cite or link to this item: http://ir.ncue.edu.tw/ir/handle/987654321/15967

Title: Forecasting Stock Indices with Wavelet-based Kernel Partial Least Square Regressions
Authors: Huang, Shian-Chang;Wu, Tung-Kuang
Contributors: 資訊管理學系
Date: 2008-06
Issue Date: 2013-04-22T07:37:22Z
Publisher: IEEE
Abstract: This study combines wavelet-based feature extractions with kernel partial least square (PLS) regression for international stock index forecasting. Wavelet analysis is utilized as a preprocessing step to decompose and extract most important time scale features from high dimensional input data. Owing to the high dimensionality and heavy multi-collinearity of the input data, a kernel PLS regression model is employed to create the most efficient subspace that keeping maximum covariance between inputs and outputs, and perform the final forecasting. Compared with neural networks, pure SVMs or traditional GARCH models, the proposed model performs best. The root-mean-squared forecasting errors are significantly reduced.
Relation: 2008 IEEE International Joint Conference on Neural Networks, : 1910-1916
Appears in Collections:[資訊管理學系所] 會議論文

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