National Changhua University of Education Institutional Repository : Item 987654321/15967
English  |  正體中文  |  简体中文  |  全文笔数/总笔数 : 6507/11669
造访人次 : 29924974      在线人数 : 363
RC Version 3.2 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 进阶搜寻

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: http://ir.ncue.edu.tw/ir/handle/987654321/15967

题名: Forecasting Stock Indices with Wavelet-based Kernel Partial Least Square Regressions
作者: Huang, Shian-Chang;Wu, Tung-Kuang
贡献者: 資訊管理學系
日期: 2008-06
上传时间: 2013-04-22T07:37:22Z
出版者: IEEE
摘要: 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.
關聯: 2008 IEEE International Joint Conference on Neural Networks, : 1910-1916
显示于类别:[資訊管理學系所] 會議論文

文件中的档案:

档案 大小格式浏览次数
index.html0KbHTML640检视/开启


在NCUEIR中所有的数据项都受到原著作权保护.

 

DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈