C-Ascending Support Vector Machines for Financial Time Series Forecasting

• Main Authors: LI, Juan Cao, KOK, Seng Chua, LIM, Kian Guan
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2003
• Subjects: Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/2783; https://doi.org/10.1109/CIFER.2003.1196277
• Institution: Singapore Management University

This paper proposes a modified version of support vector machines (SVMs), called c-ascending support vector machines (c-ASVMs), to model non-stationary financial time series. c-ASVMS are obtained by a simple modification of the regularized risk function in SVMs whereby the recent ?-insensitive error...