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A machine learning approach in financial markets
Blekinge Institute of Technology, Department of Software Engineering and Computer Science.
2003 (English)Independent thesis Advanced level (degree of Master (One Year))Student thesis
Abstract [en]

In this work we compare the prediction performance of three optimized technical indicators with a Support Vector Machine Neural Network. For the indicator part we picked the common used indicators: Relative Strength Index, Moving Average Convergence Divergence and Stochastic Oscillator. For the Support Vector Machine we used a radial-basis kernel function and regression mode. The techniques were applied on financial time series brought from the Swedish stock market. The comparison and the promising results should be of interest for both finance people using the techniques in practice, as well as software companies and similar considering to implement the techniques in their products.

Place, publisher, year, edition, pages
2003. , p. 36
Keywords [en]
Financial time series, indicator optimization, support vector machines, prediction
National Category
Computer Sciences Probability Theory and Statistics Software Engineering
Identifiers
URN: urn:nbn:se:bth-5571Local ID: oai:bth.se:arkivex84B8AC103A83D1CCC1256D95002E28FEOAI: oai:DiVA.org:bth-5571DiVA, id: diva2:832956
Uppsok
Physics, Chemistry, Mathematics
Supervisors
Available from: 2015-04-22 Created: 2003-09-02 Last updated: 2018-01-11Bibliographically approved

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fulltext(806 kB)1065 downloads
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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf