Financial time series prediction using a support vector regression network

Abstract— This paper presents a novel support vector regression (SVR) network for financial time series prediction. The SVR network consists of two layers of SVR: transformation layer and prediction layer. The SVRs in the transformation layer forms a modular network; but distinguished with conventional modular networks, the partition of the SVR modular network is based on the output domain that has much smaller dimension. Then the transformed outputs from the transformation layer are used as the inputs for the SVR in prediction layer. The whole SVR network gives an online prediction of financial time series. Simulation results on the prediction of currency exchange rate between US dollar and Japanese Yen show the feasibility and the effectiveness of the proposed method.

• Type: Conference
• Year: 2008
• Where: IJCNN
• Authors: Boyang Li, Jinglu Hu, Kotaro Hirasawa
• Keywords: Artificial Intelligence, IJCNN 2008, Prediction Layer, SVR Network, Transformation Layer