Stocks market prediction using Support Vector Machine

摘要

A lot of studies provide strong evidence that traditional predictive regression models face significant challenges in out-of sample predictability tests due to model uncertainty and parameter instability. Recent studies introduce particular strategies that overcome these problems. Support Vector Machine (SVM) is a relatively new learning algorithm that has the desirable characteristics of the control of the decision function, the use of the kernel method, and the sparsity of the solution. In this paper, we present a theoretical and empirical framework to apply the Support Vector Machines strategy to predict the stock market. Firstly, four company-specific and six macroeconomic factors that may influence the stock trend are selected for further stock multivariate analysis. Secondly, Support Vector Machine is used in analyzing the relationship of these factors and predicting the stock performance. Our results suggest that SVM is a powerful predictive tool for stock predictions in the financial market.