Integrating spectral clustering with wavelet based kernel partial least square regressions for financial modeling and forecasting

Applied Mathematics and Computation

Volumn 217, Issue 15, 2011, Pages 6755-6764

  Huang, Shian Chang ^a  

^a NATIONAL CHANGHUA UNIVERSITY OF EDUCATION   (Taiwan)

Author keywords

Financial forecasting; Kernel method; Partial least squares; Spectral clustering; Wavelet analysis

Indexed keywords

FEATURE SPACE; FINANCIAL FORECASTING; FINANCIAL MODELING; FINANCIAL TIME SERIES; FORECASTING ERROR; FORECASTING MODELS; GARCH MODELS; INPUT SPACE; KERNEL METHOD; KERNEL PARTIAL LEAST SQUARES; MULTIPLE KERNELS; PARTIAL LEAST SQUARES; ROOT-MEAN-SQUARED; SPECTRAL CLUSTERING; TIME SERIES DYNAMICS; TIME-SCALE FEATURES;

CLUSTER ANALYSIS; CLUSTERING ALGORITHMS; FINANCE; FINANCIAL DATA PROCESSING; FORECASTING; NEURAL NETWORKS; PRINCIPAL COMPONENT ANALYSIS; TIME SERIES; TIME SERIES ANALYSIS; WAVELET ANALYSIS; WAVELET TRANSFORMS;

LEAST SQUARES APPROXIMATIONS;

EID: 79952364639     PISSN: 00963003     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.amc.2011.01.096     Document Type: Article

References (47)

1. A. Azadeh, S.F. Ghaderi, and S. Sohrabkhani Forecasting electrical consumption by integration of neural network, time series and ANOVA Applied Mathematics and Computation 186 2 2007 1753 1761 (Pubitemid 46497380)
2. F.R. Bach, M.I. Jordan, Learning spectral clustering, Technical report, University of California Berkeley, USA, 2003.
3. F.R. Bach, and M.I. Jordan Learning spectral clustering with application to speech separation Journal of Machine Learning Research 7 2006 1963 2001 (Pubitemid 44497457)
4. T. Bollerslev Generalized autoregressive conditional heteroskedasticity Journal of Econometrics 31 1986 307 327
5. A. Bruce, and H.Y. Gao Applied Wavelet Analysis with SPLUS 1996 Springer-Verlag New York
6. C.K. Chui An Introduction to Wavelets 1992 Academic Press Boston, MA
7. N. Cristianini, and J. Shawe-Taylor An Introduction to Support Vector Machines 2000 Cambridge University Press
8. N. Cristianini, J. Shawe-Taylor, J. Kandola, Spectral kernel methods for clustering, in: Sixteenth Annual Conference on Neural Information Processing Systems, 2002, pp. 649-655.
9. I. Daubechies Ten Lectures on Wavelets 1992 SIAM Philadelphia, PA
10. R. Davidson, W.C. Labys, and J.B. Lesourd Wavelet analysis of commodity price behavior Computational Computational Economics 11 1998 103 128
11. P.M.L. Drezet, R.F. Harrison, Support vector machines for system identification, in: Proceedings of the UKACC International Conference on Control'98, Swansea, UK, 1998, September 1-4, pp. 688-692.
12. L. Glosten, R. Jagannathan, and D. Runkle Relationship between the expected value and the volatility of the nominal excess return on stocks Journal of Finance 48 1993 1779 1801
13. R. Genay, F. Seluk, and B. Whitcher Scaling properties of foreign exchange volatility Physica A 289 2001 249 266 (Pubitemid 32035038)
14. R. Genay, F. Seluk, and B. Whitcher An Introduction to Wavelets and Other Filtering Methods in Finance and Economics 2002 Academic Press London
15. R. Genay, F. Seluk, and B. Whitcher Systematic risk and time scales Quantitative Finance 3 2003 108 116
16. R. Genay, F. Seluk, and B. Whitcher Multiscale systematic risk Journal of International Money and Finance 24 2005 55 70 (Pubitemid 40216902)
17. T. Hill, M. O'Connor, and W. Remus Neural network models for time series forecasts Management Science 42 1996 1082 1092 (Pubitemid 126594431)
18. W.C. Hong Rainfall forecasting by technological machine learning models Applied Mathematics and Computation 200 1 2008 41 57
19. Z. Hua, and B. Zhang A hybrid support vector machines and logistic regression approach for forecasting intermittent demand of spare parts Applied Mathematics and Computation 181 2 2006 1035 1048 (Pubitemid 44646579)
20. F. In, and S. Kim The hedge ratio and the empirical relationship between the stock and futures markets: a new approach using wavelet analysis Journal of Business 79 2006 799 820 (Pubitemid 43384462)
21. W.C. Jhee, and J.K. Lee Performance of neural networks in managerial forecasting Intelligent Systems in Accounting, Finance and Management 2 1993 55 71
22. I.T. Jollife A note on the use of principal components in regression Applied Statistics 31 1982 300 303
23. J. Kamruzzaman, R. Sarker, Forecasting of currency exchange rate using ANN: a case study, in: Proceedings of the IEEE International Conference on Neural Networks & Signal Processing, (ICNNSP'03), Nanjing, China, 2003, pp. 793-797.
24. S. Kim, and F. In The relationship between financial variables and real economic activity: evidence from spectral and wavelet analyses Studies in Nonlinear Dynamics and Econometrics 7 2003 (Article 4)
25. G.H. Lee Wavelets and wavelet estimation: a review Journal of Economic Theory and Econometrics 4 1998 123 158
26. S.H. Lee International transmission of stock market movements: a wavelet analysis Applied Economics Letters 11 2004 197 201
27. S. Mitra A wavelet filtering based analysis of macroeconomic indicators: the Indian evidence Applied Mathematics and Computation 175 2 2006 1055 1079
28. S. Mitra, B. Nandi, and A. Mitra Study of dynamic relationships between financial and real sectors of economies with wavelets Applied Mathematics and Computation 188 1 2007 83 95 (Pubitemid 46686703)
29. A.Y. Ng, M.I. Jordan, and Y. Weiss On spectral clustering: analysis and an algorithm T. Dietterich, S. Becker, Z. Ghahramani, Advances in Neural Information Processing Systems 2002 MIT Press 849 852
30. S.K. Oh, M.S. Kim, T.D. Eom, and J.J. Lee Heterogeneous local model networks for time series prediction Applied Mathematics and Computation 168 1 2005 164 177
31. Z. Pan, and X. Wang A stochastic nonlinear regression estimator using wavelets Computational Economics 11 1998 89 102
32. D. Percival, and A. Walden Wavelet Methods for Time Series Analysis 2000 Cambridge University Press Cambridge
33. J.B. Ramsey, and Z. Zhang The analysis of foreign exchange data using waveform dictionaries Journal of Empirical Finance 4 1997 341 372 (Pubitemid 127172093)
34. J.B. Ramsey, and C. Lampart The decomposition of economic relationships by time scale using wavelets: expenditure and income Studies in Nonlinear Dynamics and Econometrics 3 1998 23 42
35. R. Rosipal Kernel partial least squares for nonlinear regression and discrimination Neural Network World 13 2003 291 300
36. R. Rosipal, and N. Kramer Overview and recent advances in partial least squares C. Saunders, M. Grobelnik, S. Gunn, J. Shawe-Taylor, Subspace, Latent Structure and Feature Selection Techniques 2006 Springer 34 51 (Pubitemid 44029878)
37. R. Rosipal, and L.J. Trejo Kernel partial least squares regression in reproducing kernel hilbert space Journal of Machine Learning Research 2 2001 97 123
38. B. Schoelkopf, C.J.C. Burges, and A.J. Smola Advances in Kernel Methods - Support Vector Learning 1999 MIT Press Cambridge, MA
39. N. Speer, C. Spieth, and A. Zell Spectral clustering gene ontology terms to group genes by function R. Casadio, G. Myers, Lecture Notes in Bioinformatics vol. 3692 2005 Springer-Verlag Berlin Heidelberg 1 12
40. Z. Tang, and P.A. Fishwich Back-propagation neural nets as models for time series forecasting ORSA Journal on Computing 5 1993 374 385
41. V.N. Vapnik The Nature of Statistical Learning Theory 1995 Springer-Verlag New York
42. J.H. Wang, and J.Y. Leu Stock market trend prediction using ARIMA-based neural networks Proceedings of the IEEE International Conference on Neural Networks 4 1996 2160 2165
43. S. Wold, H. Ruhe, H. Wold, and W.J. Dunn The collinearity problem in linear regression. The PLS approach to generalized inverse SIAM Journal of Scientic and Statistical Computations 5 1984 735 743
44. H. Yamada Wavelet-based beta estimation and Japanese industrial stock prices Applied Economics Letters 12 2005 85 88 (Pubitemid 40355316)
45. J. Yao, and C.L. Tan A case study on using neural networks to perform technical forecasting of forex Neurocomputing 34 2000 79 98 (Pubitemid 30657703)
46. G. Zhang, and M.Y. Hu Neural network forecasting of the British Pound/US Dollar exchange rate OMEGA International Journal of Management Science 26 1998 495 506 (Pubitemid 128180593)
47. H. Zimmermann, R. Neuneier, and R. Grothmann Multi-agent modeling of multiple FX-markets by neural networks IEEE Transactions on Neural Networks 12 2001 735 743 (Pubitemid 32732816)