Multiple-output support vector regression with a firefly algorithm for interval-valued stock price index forecasting
By Tao Xiong, Yukun Bao, Zhongyi Hu. 2014
200 citations recorded by the source corpus.
Highly accurate interval forecasting of a stock price index is fundamental to successfully making a profit when making investment decisions, by providing a range of values rather than a point estimate. In this study, we investigate the possibility of forecasting an interval-valued stock price index series over short and long horizons using multi-output support vector regression (MSVR). Furthermore, this study proposes a firefly algorithm (FA)-based approach, built on the established MSVR, for determining the parameters of MSVR (abbreviated as FA-MSVR). Three globally traded broad market indices are used to compare the performance of the proposed FA-MSVR method with selected counterparts. The quantitative and comprehensive assessments are performed on the basis of statistical criteria, economic criteria, and computational cost. In terms of statistical criteria, we compare the out-of-sample forecasting using goodness-of-forecast measures and testing approaches. In terms of economic criteria, we assess the relative forecast performance with a simple trading strategy. The results obtained in this study indicate that the proposed FA-MSVR method is a promising alternative for forecasting interval-valued financial time series.
Subfields: Electrical and Electronic Engineering, Management Science and Operations Research
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Citations in the corpus
- An Empirical Study on Modeling and Prediction of Bitcoin Prices With Bayesian Neural Networks Based on Blockchain Information (2018, methodology): “Reference [26] tuned the parameters of multi-output support vector regression using firefly algorithm and compared the proposed SVR methods with other existing methods for forecasting the market indexes, S&P 500, Nikkei 225, and FTSE 100 indexes.”