FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Ashish Gajanan Lahane (05329R01) Under the guidance of Prof. Bernard L. Menezes

July 8, 2008

Outline
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

1 Introduction 2 Experiments And Results For ARIMA

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

3 Experiments And Results For FFNN 4 Experiments And Results For SVR 5 Comparison 6 Conclusion And Future Work 7 APPENDIX

ARIMA FFNN SVR

8 References

FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

INTRODUCTION

Abbreviations
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

Feed Forward Neural Networks AutoRegressive Integrated Moving Average Support Vector Regression SVR using Polynomial Kernel SVR using Radial Basis Function Kernel AutoCorrelation Function Partial AutoCorrelation function

FFNN ARIMA SVR SVRPOLY SVRRBF ACF PACF

Literature Survey
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

Financial time series: nonlinear, one of noisiest and most dicult signals to forecast

For nancial forecasting:

FFNN better ARIMA[16, 7, 12, 13, 2, 11] SVR better than ARIMA[6] FFNN better than SVR[17, 6] SVR better than FFNN[4, 5]

Problem Denition
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

To compare three models:

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

ARIMA FFNN SVR for one-day-ahead forecasting performance on three important indices in Indian stock market: BSE Sensex CNX IT S&P CNX Nifty

Error Measures
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Mean Absolute Percent Error (MAPE)

N |Et | Yt

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

MAPE = 100 Mean Absolute Error (MAE)

N

t =1

|Et | N where Yt ,Et represent desired outputs and corresponding errors at t=1,2,...,N respectively. Directional Symmetry (DS) dcorrect 100 N where dcorrect = number of times the forecaster predicted the direction of the series right DS = MAE =
t =1

Background
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

ARIMA

go

FFNN

go

SVR

go

FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

EXPERIMENTS AND RESULTS FOR ARIMA

ACF PACF with d = 0 For BSE Sensex

FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

ACF PACF with d = 1 For BSE Sensex

FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

ACF PACF with d = 2 For BSE Sensex

FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

Model Identication
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

More than one dierencing not needed Suitable models are

AR(1) with 1 = 1 (i.e. ARIMA(0,1,0)) AR(2) ARIMA(p , 1, q ) with 0 p , q 2

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

MA(q ) (i.e. ARIMA(0,0,q )) models unsuitable

Summary 0 p , d , q 2 should be tried

Results For ARIMA

FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR BSE Sensex p d 1 1 1 0 1 1 2 0 2 0 2 1 1 0 0 1 1 0 0 1 0 1 1 1 2 1 2 0 2 1 0 2 1 2 2 2 2 2 1 2 0 2 2 2 1 2 0 2 0 0 0 0 0 0 CNX IT p d 1 1 1 0 2 0 1 0 2 0 2 1 0 1 1 1 1 0 0 1 0 1 1 1 2 1 2 0 2 1 0 2 1 2 2 2 2 2 1 2 0 2 2 2 1 2 0 2 0 0 0 0 0 0 S&P CNX Nifty q 1 1 1 0 0 0 2 2 2 0 1 0 1 2 2 0 0 0 2 2 2 1 1 1 2 1 0 MAPE 1.479 1.480 1.481 1.482 1.483 1.500 1.532 1.544 1.560 1.585 1.588 1.598 1.606 1.612 1.623 2.166 3.015 3.861 25.613 42.084 64.256 77.953 93.480 93.493 175.95 183.54 243.51 DS 79.77 79.10 78.32 77.00 76.58 75.89 74.98 76.85 73.07 75.00 72.67 72.83 72.92 71.11 71.91 71.12 69.56 68.77 55.65 50.62 50.62 50.62 50.62 50.62 50.62 50.62 50.62 p 1 2 1 1 1 2 2 2 0 0 2 1 1 0 2 0 1 2 0 1 2 0 1 2 0 0 0 d 1 0 1 1 0 0 1 1 1 1 1 0 0 1 0 2 2 2 0 2 2 2 2 2 0 0 2 q 1 2 2 0 0 0 1 2 1 2 0 2 1 0 1 0 0 0 1 2 2 1 1 1 0 2 2 MAPE 1.755 1.813 1.827 1.833 1.842 1.856 1.856 1.862 1.871 1.873 1.873 1.888 1.890 1.901 1.908 2.477 3.292 3.695 42.688 43.182 44.405 45.573 47.657 53.251 72.477 78.234 99.433 DS 79.24 77.08 78.13 79.17 78.13 77.08 75.00 77.08 76.04 75.00 76.04 77.08 72.92 77.08 77.08 71.88 67.71 66.67 43.75 52.08 52.08 52.08 52.08 52.08 50.00 47.42 47.90

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

q 1 1 0 1 0 0 0 2 2 0 1 2 1 2 2 0 0 0 2 2 2 1 1 1 2 1 0

MAPE 1.351 1.362 1.406 1.413 1.424 1.425 1.428 1.429 1.430 1.432 1.435 1.442 1.468 1.472 1.661 2.100 2.754 3.188 20.078 20.094 21.819 22.268 22.776 23.246 24.551 53.822 65.824

DS 79.49 74.87 77.95 74.36 77.95 78.46 76.41 74.36 76.41 75.38 76.41 76.92 74.87 77.44 74.36 64.10 65.13 68.21 58.46 58.46 55.38 52.82 55.38 52.31 50.26 46.15 41.03

Conclusion ARIMA(1,1,1) outperformed other ARIMA models

FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

EXPERIMENTS AND RESULTS FOR FFNN

FFNN Parameters
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

FFNN Parameter Hidden layers Trans func in hidden layer Trans func in output layer

Neurons per hidden layer

Window size Neurons IN output Layer

Values Tried 1,2 tanh, sigmoid tanh, sigmoid , linear [2 1],[3 1],[5 1],[7 1],[10 1],[15 1],[20 1], [40 1],[3 2 1],[5 2 1],[5 3 1],[7 2 1], [7 3 1],[7 5 1],[10 2 1],[10 3 1], [10 5 1],[10 7 1],[15 2 1],[15 3 1], [15 5 1],[15 7 1],[15 10 1] 5,7,10,20,40,60,80 1

6440 FFNN models per series

Results For FFNN

FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

Min MAPE Avg MAPE

BSE Sensex 1.1180 13.0838 BSE Sensex 66.6667 44.9146

CNX IT 1.1863 9.4293

S&P CNX Nifty 1.0834 10.8195 S&P CNX Nifty 66.9524 50.0907

Max DS Avg DS

CNX IT 62.1429 47.8497

Summary Very good performance for value forecasting Visible eect of random weight initialisation

Best FFNN Models

FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR Min MAPE 1.1180 1.1863 1.0834 MAE 182.78 56.48 62.53 DS 53.85 58.13 66.67 Win Size 5 40 80

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

BSE Sensex CNX IT S&P CNX Nifty

Number Of Neurons Per Layer [7 2 1] [10 1] [15 2 1]

Transfer function Per Layer [tanh tanh lin] [sigmoid lin] [sigmoid sigmoid lin]

BSE Sensex CNX IT S&P CNX Nifty

Max DS 66.6667 62.1429 66.9524

MAPE 3.3060 1.2795 1.5371

MAE 606.3522 61.0987 88.4242

Window Size 80 60 80

Neurons Per Layer [20 1] [3 1] [2 1]

Transfer function Per Layer [tanh tanh] [sigmoid lin] [tanh lin]

Observation linear transfer function in last layer

Transfer Function In Last Layer

FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

Series BSE Sensex CNX IT S&P CNX Nifty

# of models with MAPE< 2 1154 2576 181

# of models with MAPE<2 and linear trans funct in last layer 699 2220 137 # of models with DS>60 and linear trans funct in last layer 21 7 74

% 60.57 86.18 75.69

Series BSE Sensex CNX IT S&P CNX Nifty

# of models with DS>60 42 9 134

% 50.00 77.78 55.22

Conclusion linear transfer function in last layer gave good results

FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

EXPERIMENTS AND RESULTS FOR SVR

SVRPOLY Vs SVRRBF
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

BSE Sensex CNX IT S&P CNX Nifty

Min MAPE SVRPOLY SVRRBF 1.4089 3.3324 1.4695 3.8992 1.7230 1.7726 Max SVRPOLY 58.5492 55.2343 61.9048 DS SVRRBF 50.1233 48.2390 51.6624

Avg MAPE SVRPOLY SVRRBF 2.5730 5.5208 2.4327 6.9512 2.5094 3.5316 Avg SVRPOLY 49.9497 49.9724 54.1753 DS SVRRBF 40.2311 41.0412 43.7640

BSE Sensex CNX IT S&P CNX Nifty

Conclusion SVRPOLY outperforms SVRRBF

SVRPOLY Parameter Analysis

FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR BSE Sensex MAPE 1.4089 1.4880 1.7269 2.8427 2.9433 5.8682

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

MAE 234.1536 257.8835 294.6667 499.2695 489.9205 992.6019

DS 58.5492 57.1429 56.6667 51.2500 40.5128 40.5263

C 249748.22 792599.26 402023.38 296975.62 936002.69 575563.83

0.0213 0.0106 0.0184 0.0119 0.0099 0.0075

d 2 2 2 3 2 4

1.2470 2.5047 2.2115 0.5706 2.8285 3.7899

r 4.5355 3.9518 4.4671 2.4815 4.3638 3.1718

CNX IT MAPE 1.4695 1.4872 1.5261 3.7557 3.8041

MAE 70.6894 67.1975 68.9893 184.6057 178.3055

DS 55.2343 52.4432 54.9010 43.4358 44.1263

C 882549.15 400000.00 498213.28 991231.61 435563.83

0.0099 0.0134 0.0124 0.0091 0.0155

d 2 2 2 3 3

0.4234 2.1210 0.2328 3.9946 2.6472

r 1.9312 3.3123 2.7086 2.4384 4.2321

Observations Best t: polynomial kernel of degree d =2 Higher values of C Very small values of

S&P CXT Nifty MAPE 1.7230 1.7883 2.2224 2.4657 3.5384 3.6755 MAE 98.6894 99.6453 123.0545 140.2473 202.6957 212.2441 DS 61.9048 57.1429 58.3333 45.6790 57.4468 56.0976 C 325315.10 474668.02 162817.77 524259.16 333194.98 606613.45 0.0153 0.0212 0.0208 0.0187 0.0201 0.0094 d 2 2 4 4 4 2 4.7430 1.5805 3.2448 0.1475 1.4261 2.8840 r 0.9691 1.4250 3.2247 3.9702 1.3642 4.4192

FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

COMPARISON

Comparison On Value Forecasting

FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

MAPE BSE Sensex CNX IT S&P CNX Nifty

ARIMA 1.3513 1.4788 1.7549

FFNN 1.1180 1.1863 1.0834

SVR 1.4089 1.4695 1.7230

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

Observation FFNN outperforms ARIMA and SVR

Comparison On Directional Forecasting

FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

DS BSE Sensex CNX IT S&P CNX Nifty

Naive Heuristic 54.5455 52.5253 51.0204

ARIMA 79.4872 79.7718 79.2417

FFNN 66.6667 62.1429 66.9524

SVM 58.5492 55.2343 61.9048

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

Observation ARIMA outperforms FFNN and SVR

FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

CONCLUSION AND FUTURE WORK

Conclusion
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

ARIMA: ARIMA(1,1,1) is better t than other ARIMA models FFNN: Models with linear transfer function in the last layer perform better SVR: SVR models with polynomial kernels of degree 2 are better t than other SVR models Value Forecasting: FFNN models perform better than ARIMA and SVR for these three series Directional Forecasting: ARIMA models perform better than FFNN and SVR for these three series

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

Future Work
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

Addition of technical indicators such as Moving Average (MA), Moving Average Convergence/Divergence (MACD), On Balance Volume (OBV) etc[14, 18, 8] Addition of fundamental factors such as Price Earnings ratio (PE ratio), rate of change of company sales, Price Dividend ratio (PD ratio), rate of change of prot margin etc[1] N-days-ahead forecasting Forecasting on several other series Use of combining methods such as TopK, Best, DTopK, AFTER etc[19, 15]

FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

THANKS!

FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

APPENDIX

FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

ARIMA
[appendix]

ARIMA Equation
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

ARIMA(p , d , q ) model is given by: d Xt = t

p

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

where:- AR part: = 1
i =1 q

i Li , j Lj
j =1

MA part: = 1 +
d

I(dierence) part: = (1 L1 )d Here Xt 1 , Xt 2 , ......X2 , X1 is the time series data L is lag operator, i.e. Li Xt = Xt i , i and j are the model parameters, t is a white noise process with zero mean and variance 2 .

ARIMA Methodology
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

Model Identication using ACF and PACF plots or other methods Model Estimation using methods such as likelihood or Bayesian Forecasting

For further reading, please refer [3].

go back

FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

FFNN
[appendix]

A Simple Neuron
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

y = (
i =1

wi xi )

Transfer Functions
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Linear Equation a=n

Sigmoid Equation a= 1 1 + e n

Tanh Equation a = tanh(n) range = [-1,+1] graphical representation:

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

range = range of n graphical representation:

range = [0,+1] graphical representation:

FFNN
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

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FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

SVR
[appendix]

Basic Principle
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Example 1: Classication

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

Example 2: Regression
m2 f (m1 , m2 , r ) = C m1 r2

log
g (x , y , z ) = ln(f (m1 , m2 , r )) = ln C + ln m1 + ln m2 2 ln r = c + x + y 2z

SVM:Maximal Separating Hyperplane Classier

FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

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SVM(1)
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Primal Form 1 ||w ||2 , 2 subject to: ci (w xi b ) 1, : 1 i n minimize:

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

Dual Form
n

maximize:
i =1

1 2

i j ci cj xi xj
i ,j n

subject to: i 0 and

i =1

i ci = 0

SVM(2)
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Solution To Dual Problem From the Solution we get w=

i n

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

i ci xi

f =
i =1

i ci xi xj b =
i SV

i ci xi xj b

Soft Margin

minimize:

1 ||w ||2 + C 2

i ,
i

subject to: ci (w xi b ) 1 i , : 1 i n.

SVR
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

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minimize:

1 ||w ||2 + C 2

(i + i )
i =1

yi wi , xi b + i wi , xi + b yi + i subject to: i + i 0

Kernels
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Radial Basis Function Equation k (x , x ) = e ( |x x for > 0

|2 )

Polynomial Function Equation k (x , x ) = ( (x x ) + r )d , for > 0, r > 0 graphical representation:

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

graphical representation:

go back

FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References

REFERENCES

References I
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR A. Atiya, N. Talaat, and S. Shaheen. An ecient stock market forecasting model using neural networks. Neural Networks,1997., International Conference on, 4:21122115 vol.4, Jun 1997. E. Michael Azo. Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References Neural Network Time Series forecasting of Financial Markets. John Wiley & Sons, 1994. G. E. P. Box, G. M. Jenkins, and G. C. Reinsel. Time Series Analysis, Forecasting, and Control. Prentice-Hall, Englewood Clis, New Jersey, third edition, 1994. Lijuan Cao and Francis E.H Tay. Financial forecasting using support vector machines. Neural Computing & Applications, 10(2):184192, May 2001. Chon Lung Chai. Finding kernel function for stock market prediction with support vector regression. Technical report, Universiti Teknologi Malaysia, 2006. Wun-Hua Chen, Jen-Ying Shih, and Soushan Wu. Comparison of support-vector machines and back propagation neural networks in forecasting the six major asian stock markets. International Journal of Electronic Finance, 1(1):4967, January 2006. Wei Cheng, Lorry Wagner, and Chien-Hua Lin. Forecasting the 30-year u.s. treasury bond with a system of neural networks.

References II
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR Wei Cheng, Lorry Wagner, and Chien-Hua Lin. Forecasting the 30-year u.s. treasury bond with a system of neural networks. Shirley Gregor Feng Lin, Xing Huo Yu and Richard Irons. Time series forecasting with neural networks. Complexity International, 2, April 1995. Boyd M.S. Kermanshahi B. Kohzadi, N. and I. Kaastra. A comparison of articial neural network and time series model for forecasting commodity price. Neurocomputing, 10:169181, 1996. M. Kumar and M. Thenmozhi. Forecasting nifty index futures returns using neural network and arima models. Financial Engineering and Applications, 437, 2004. Jason E. Kutsurelis. Comparison Conclusion And Future Work APPENDIX ARIMA FFNN SVR References Forecasting nancial markets using neural networks: An analysis of methods and accuracy. Mohan Neeraj, Jha Pankaj, Laha Arnab Kumar, and Dutta Goutam. Articial neural network models for forecasting stock price index in bombay stock exchange. IIMA Working Papers 2005-10-01, Indian Institute of Management Ahmedabad, Research and Publication Department, October 2005. available at http://ideas.repec.org/p/iim/iimawp/2005-10-01.html. Mohan Neeraj, Jha Pankaj, Laha Arnab Kumar, and Dutta Goutam. Articial neural network models for forecasting stock price index in bombay stock exchange. IIMA Working Papers 2005-10-01, Indian Institute of Management Ahmedabad, Research and Publication Department, October 2005.

Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR

References III
FINANCIAL FORECASTING: Comparison Of ARIMA, FFNN And SVR Abhishek Seth. On using a multitude of time series forecasting models. Mtech thesis, Kanwal Rekhi School of Information Technology, IIT Bombay, 2006. Talaat N. Shaheen S. Atiya A. Introduction Experiments And Results For ARIMA Experiments And Results For FFNN Experiments And Results For SVR Comparison Y. Yang and H. Zou. Conclusion And Future Work APPENDIX ARIMA FFNN SVR References Combining time series models for forecasting, 2002. An ecient stock market forecasting model using neural networks. 1997. Theodore B. Trafalis and Huseyin Ince. Support vector machine for regression and applications to nancial forecasting. ijcnn, 06:6348, 2000. Chi-Cheong Chris Wong, Man-Chung Chan, and Chi-Chung Lam. Financial time series forecasting by neural network using conjugate gradient learning algorithm and multiple linear regression weight initialization. Computing in Economics and Finance 2000 61, Society for Computational Economics, July 2000.