Huang, C., Yang, F., Lee, C. (2018). The strategy of investment in the stock market using modified support vector regression model. Scientia Iranica, 25(3), 1629-1640. doi: 10.24200/sci.2017.4440
Chih-Hua Huang; Feng-Hua Yang; Chien-Pang Lee. "The strategy of investment in the stock market using modified support vector regression model". Scientia Iranica, 25, 3, 2018, 1629-1640. doi: 10.24200/sci.2017.4440
Huang, C., Yang, F., Lee, C. (2018). 'The strategy of investment in the stock market using modified support vector regression model', Scientia Iranica, 25(3), pp. 1629-1640. doi: 10.24200/sci.2017.4440
Huang, C., Yang, F., Lee, C. The strategy of investment in the stock market using modified support vector regression model. Scientia Iranica, 2018; 25(3): 1629-1640. doi: 10.24200/sci.2017.4440
The strategy of investment in the stock market using modified support vector regression model
2Department of International Business Management, Da-Yeh University
3Department of Maritime Information and Technology, National Kaohsiung Marine University
Abstract
Stock indices forecasting has become a popular research issue in recent years. Although many statistical time series models have been applied in stock indices forecasting, they are limited to certain assumptions. Accordingly, the traditional statistical time series models might not be suitable for forecasting real-life stock indices data. Hence, this paper proposes a novel forecasting model to assist investors in determining a strategy for investments in the stock market. The proposed model is called the modified support vector regression model, which is composed of the correlation coefficient method, the sliding window algorithm and the support vector regression model. The results show that the forecasting accuracy of the proposed model is more stable than the existing models in terms of average and standard deviation of the root mean square error (RMSE) and the mean absolute percentage error (MAPE). Accordingly, the proposed model would be used to assist investors in determining a strategy for investing in stocks.
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