메뉴 건너뛰기




Volumn 20, Issue 8, 2011, Pages 1193-1203

Correlation-aided support vector regression for forex time series prediction

Author keywords

Forex time series prediction; Graphical channel correlation; Pearson's correlation; Support vector regression

Indexed keywords

CHANNEL CORRELATION; CORRELATION DATA; EXCHANGE RATES; FOREX MARKETS; INFORMATION LOST; MARKET TRENDS; PARAMETERIZED; PEARSON'S CORRELATION; SUPPORT VECTOR REGRESSION; SUPPORT VECTOR REGRESSIONS; TIME SERIES PREDICTION;

EID: 80054104836     PISSN: 09410643     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00521-010-0482-5     Document Type: Article
Times cited : (11)

References (50)
  • 1
    • 47249133885 scopus 로고    scopus 로고
    • Technical analysis: the complete resource for financial market technicians
    • Kirkpatrick CD, Dahlquist JR (2006) Technical analysis: the complete resource for financial market technicians. Financial Times 704.
    • (2006) Financial Times , pp. 704
    • Kirkpatrick, C.D.1    Dahlquist, J.R.2
  • 2
    • 0031285990 scopus 로고    scopus 로고
    • Fundamental analysis, future earnings, and stock prices
    • [Online]. Available
    • Abarbanell JS, Bushee BJ (1997) Fundamental analysis, future earnings, and stock prices. J Account Res 35(1): 1-24 [Online]. Available: http://www. jstor. org/stable/2491464.
    • (1997) J Account Res , vol.35 , Issue.1 , pp. 1-24
    • Abarbanell, J.S.1    Bushee, B.J.2
  • 3
    • 0000659363 scopus 로고
    • The use of technical analysis in the foreign exchange market
    • Taylor MP, Allen H (1992) The use of technical analysis in the foreign exchange market. J Int Money Finance 11(3): 304-314.
    • (1992) J Int Money Finance , vol.11 , Issue.3 , pp. 304-314
    • Taylor, M.P.1    Allen, H.2
  • 4
    • 33745285058 scopus 로고    scopus 로고
    • The profitability of technical analysis: a review
    • Tech Rep
    • Park C, Irwin S (2004) The profitability of technical analysis: a review. AgMAS, Tech Rep, vol 4.
    • (2004) AgMAS , vol.4
    • Park, C.1    Irwin, S.2
  • 5
    • 0004314120 scopus 로고    scopus 로고
    • Technical analysis of the financial markets
    • Murphy JJ (1999) Technical analysis of the financial markets. New York Institute of Finance, p 264.
    • (1999) New York Institute of Finance , pp. 264
    • Murphy, J.J.1
  • 7
    • 0036113648 scopus 로고    scopus 로고
    • Technical analysis and the effectiveness of central bank intervention
    • [Online]. Available
    • Saacke P (2002) Technical analysis and the effectiveness of central bank intervention. J Int Money Finance 21(4): 459-479, [Online]. Available: http://www. sciencedirect. com/science/article/B6V9S-45BCP6T-5/2/6e35493047aec373a8f6612d2e4071cf.
    • (2002) J Int Money Finance , vol.21 , Issue.4 , pp. 459-479
    • Saacke, P.1
  • 11
    • 0032090855 scopus 로고    scopus 로고
    • The use of fundamental and technical analyses by foreign exchange dealers: Hong kong evidence
    • [Online]. Available
    • Lui Y-H, Mole D (1998) The use of fundamental and technical analyses by foreign exchange dealers: Hong kong evidence. J Int Money Finance 17(3): 535-545 [Online]. Available: http://www. sciencedirect. com/science/article/B6V9S-3V5WNPP-10/2/9f85ed3465b1c7b757fb453c46c97531.
    • (1998) J Int Money Finance , vol.17 , Issue.3 , pp. 535-545
    • Lui, Y.-H.1    Mole, D.2
  • 13
    • 84952503562 scopus 로고
    • Thirteen ways to look at the correlation coefficient
    • Rodgers JL, Nicewander WA (1988) Thirteen ways to look at the correlation coefficient. Am Stat 42(1): 59-66.
    • (1988) Am Stat , vol.42 , Issue.1 , pp. 59-66
    • Rodgers, J.L.1    Nicewander, W.A.2
  • 14
    • 0000629281 scopus 로고
    • Mathematical contributions to the theory of evolution-on a form of spurious correlation which may arise when indices are used in the measurement of organs
    • Pearson K (1897) Mathematical contributions to the theory of evolution-on a form of spurious correlation which may arise when indices are used in the measurement of organs. The Royal Society, pp 489-498.
    • (1897) The Royal Society , pp. 489-498
    • Pearson, K.1
  • 17
    • 61549096048 scopus 로고    scopus 로고
    • Structure and evolution of the foreign exchange networks
    • [Online]. Available
    • Kwapien J, Gworek S, Drozdz S (2009) Structure and evolution of the foreign exchange networks. Acta Phys Pol B 40: 175 [Online]. Available: http://www. citebase. org/abstract?id=oai: arXiv. org: 0901. 4793.
    • (2009) Acta Phys Pol , vol.40 B , pp. 175
    • Kwapien, J.1    Gworek, S.2    Drozdz, S.3
  • 18
    • 0006354851 scopus 로고
    • Karl pearson and the chi-squared test
    • Plackett RL (1983) Karl pearson and the chi-squared test. Int Stat Rev 51(1): 59C72.
    • (1983) Int Stat Rev , vol.51 , Issue.1
    • Plackett, R.L.1
  • 19
    • 17244371152 scopus 로고
    • Correlation between a discrete and a continuous variable. point-biserial correlation
    • Tate RF (1954) Correlation between a discrete and a continuous variable. point-biserial correlation. Ann Math Stat 25(3): 603-607.
    • (1954) Ann Math Stat , vol.25 , Issue.3 , pp. 603-607
    • Tate, R.F.1
  • 22
    • 9844227496 scopus 로고
    • Chi-square tests with one degree of freedom; extensions of the mantel- haenszel procedure
    • Mantel N (1963) Chi-square tests with one degree of freedom; extensions of the mantel- haenszel procedure. J Am Stat Assoc 58(303): 690-700.
    • (1963) J Am Stat Assoc , vol.58 , Issue.303 , pp. 690-700
    • Mantel, N.1
  • 24
    • 33845302054 scopus 로고    scopus 로고
    • Benefits of cardiac resynchronization therapy for heart failure patients with narrow qrs complexes and coexisting systolic asynchrony by echocardiography
    • Yu C, Chan Y, Zhang Q, Yip G, Chan C, Kum L, Wu L, Lee A, Lam Y, Fung J (2005) Benefits of cardiac resynchronization therapy for heart failure patients with narrow qrs complexes and coexisting systolic asynchrony by echocardiography. Am Coll Cardiol 48(11): 2251-2257.
    • (2005) Am Coll Cardiol , vol.48 , Issue.11 , pp. 2251-2257
    • Yu, C.1    Chan, Y.2    Zhang, Q.3    Yip, G.4    Chan, C.5    Kum, L.6    Wu, L.7    Lee, A.8    Lam, Y.9    Fung, J.10
  • 25
    • 84984803010 scopus 로고    scopus 로고
    • Literacy: major themes in education
    • Routledge Falmer, University of Warwick, England. ISBN 978041527709
    • Wray D (2004) Literacy: major themes in education. In: Major themes in education. Routledge Falmer, University of Warwick, England. ISBN 978041527709.
    • (2004) Major themes in education
    • Wray, D.1
  • 27
    • 32344437581 scopus 로고    scopus 로고
    • Predictors of academic achievement and retention among college freshmen: a longitudinal study
    • Deberard MS, Spielmans GI, Julka DL (2004) Predictors of academic achievement and retention among college freshmen: a longitudinal study. Coll Stud J 38(1): 66-80.
    • (2004) Coll Stud J , vol.38 , Issue.1 , pp. 66-80
    • Deberard, M.S.1    Spielmans, G.I.2    Julka, D.L.3
  • 28
    • 8744240727 scopus 로고    scopus 로고
    • Determinants of quality of life in patients with psoriasis: a study from the us population
    • Gelfand J, Feldman S, Stern R, Thomas J, Rolstad T, Margolis D (2004) Determinants of quality of life in patients with psoriasis: a study from the us population. Am Acad Dermatol 51(5): 704-708.
    • (2004) Am Acad Dermatol , vol.51 , Issue.5 , pp. 704-708
    • Gelfand, J.1    Feldman, S.2    Stern, R.3    Thomas, J.4    Rolstad, T.5    Margolis, D.6
  • 32
    • 18744380681 scopus 로고    scopus 로고
    • Impact of distal mutations on the network of coupled motions correlated to hydride transfer in dihydrofolate reductase
    • Wong KF, Selzer T, Benkovic SJ, Hammes-Schiffer S (2005) Impact of distal mutations on the network of coupled motions correlated to hydride transfer in dihydrofolate reductase. Natl Acad Sci USA 102(19): 6807-6812.
    • (2005) Natl Acad Sci USA , vol.102 , Issue.19 , pp. 6807-6812
    • Wong, K.F.1    Selzer, T.2    Benkovic, S.J.3    Hammes-Schiffer, S.4
  • 33
    • 33845475442 scopus 로고    scopus 로고
    • Automatic evaluation of information ordering: Kendall's tau
    • Lapata M (2006) Automatic evaluation of information ordering: Kendall's tau. Comput Linguist 32(4): 471-484.
    • (2006) Comput Linguist , vol.32 , Issue.4 , pp. 471-484
    • Lapata, M.1
  • 34
    • 33646429742 scopus 로고    scopus 로고
    • The importance of interest rates for forecasting the exchange rate
    • doi:10.1002/for.983
    • Hilde CB, Havard H (2006) The importance of interest rates for forecasting the exchange rate. J Forecast 25(3): 209-221. doi: 10. 1002/for. 983.
    • (2006) J Forecast , vol.25 , Issue.3 , pp. 209-221
    • Hilde, C.B.1    Havard, H.2
  • 35
    • 0032594959 scopus 로고    scopus 로고
    • An overview of statistical learning theory
    • Vapnik VN (1999) An overview of statistical learning theory. IEEE Trans Neural Netw 10(5): 988-999.
    • (1999) IEEE Trans Neural Netw , vol.10 , Issue.5 , pp. 988-999
    • Vapnik, V.N.1
  • 38
    • 66449136989 scopus 로고    scopus 로고
    • Time series prediction using support vector machines: a survey
    • Sapankevych NI, Sankar R (2009) Time series prediction using support vector machines: a survey. IEEE Comput Intell 4(2): 25-37.
    • (2009) IEEE Comput Intell , vol.4 , Issue.2 , pp. 25-37
    • Sapankevych, N.I.1    Sankar, R.2
  • 39
    • 33644847172 scopus 로고    scopus 로고
    • Prediction of protein stability changes for single-site mutations using support vector machines
    • Cheng J, Randall A, Baldi P (2006) Prediction of protein stability changes for single-site mutations using support vector machines. Proteins Struct Funct Bioinform 62(4): 1125-1132.
    • (2006) Proteins Struct Funct Bioinform , vol.62 , Issue.4 , pp. 1125-1132
    • Cheng, J.1    Randall, A.2    Baldi, P.3
  • 41
    • 0001023715 scopus 로고    scopus 로고
    • Application of support vector machines in financial time series forecasting
    • Tay FEH, Cao LJ (2001) Application of support vector machines in financial time series forecasting. Omega 29: 209-317.
    • (2001) Omega , vol.29 , pp. 209-317
    • Tay, F.E.H.1    Cao, L.J.2
  • 42
    • 0036825901 scopus 로고    scopus 로고
    • Modified support vector machines in financial time series forecasting
    • Tay FEH, CaO LJ (2002) Modified support vector machines in financial time series forecasting. Neurocomputing 48(1-4): 847-861.
    • (2002) Neurocomputing , vol.48 , Issue.1-4 , pp. 847-861
    • Tay, F.E.H.1    Cao, L.J.2
  • 43
    • 0035392694 scopus 로고    scopus 로고
    • Tony Financial time series prediction using least squares support vector machines within the evidence framework
    • van Gestel EA (2001) Tony Financial time series prediction using least squares support vector machines within the evidence framework. IEEE Trans Neural Netw 12(4): 809-821.
    • (2001) IEEE Trans Neural Netw , vol.12 , Issue.4 , pp. 809-821
    • van Gestel, E.A.1
  • 44
    • 84863268449 scopus 로고    scopus 로고
    • Dynamic support vector machines for non-stationary time series forecasting
    • Cao L and Gu Q (2002) Dynamic support vector machines for non-stationary time series forecasting. Intell Data Anal 6(1): 67-83.
    • (2002) Intell Data Anal , vol.6 , Issue.1 , pp. 67-83
    • Cao, L.1    Gu, Q.2
  • 45
    • 64949130686 scopus 로고    scopus 로고
    • Financial time series forecasting using independent component analysis and support vector regression
    • [Online]. Available
    • Lu C-J, Lee T-S, Chiu C-C (2009) Financial time series forecasting using independent component analysis and support vector regression. Decision Support Syst 47(2): 115-125 [Online]. Available: http://www. sciencedirect. com/science/article/B6V8S-4VKXBVX-1/2/299b01b62df0f035ab42062e6ad2c22c.
    • (2009) Decision Support Syst , vol.47 , Issue.2 , pp. 115-125
    • Lu, C.-J.1    Lee, T.-S.2    Chiu, C.-C.3
  • 46
    • 56349169042 scopus 로고    scopus 로고
    • A hybrid sofm-svr with a filter-based feature selection for stock market forecasting
    • Part 1 [Online]. Available
    • Huang C-L, Tsai C-Y (2009) A hybrid sofm-svr with a filter-based feature selection for stock market forecasting. Expert Syst Appl 36(2), Part 1, pp 1529-1539 [Online]. Available: http://www. sciencedirect. com/science/article/B6V03-4RC2NKB-4/2/3d8820b4b07243e5914630647d8492e8.
    • (2009) Expert Syst Appl , vol.36 , Issue.2 , pp. 1529-1539
    • Huang, C.-L.1    Tsai, C.-Y.2
  • 47
    • 0037381038 scopus 로고    scopus 로고
    • Support vector machines experts for time series forecasting
    • Cao L (2003) Support vector machines experts for time series forecasting. Neurocomputing 51: 321-339.
    • (2003) Neurocomputing , vol.51 , pp. 321-339
    • Cao, L.1
  • 48
    • 0742268991 scopus 로고    scopus 로고
    • Support vector machine with adaptive parameters in financial time series forecasting
    • Cao LJ, Tay FEH (2003) Support vector machine with adaptive parameters in financial time series forecasting. IEEE Trans Neural Netw 14(6): 1506-1518.
    • (2003) IEEE Trans Neural Netw , vol.14 , Issue.6 , pp. 1506-1518
    • Cao, L.J.1    Tay, F.E.H.2
  • 49
    • 0035533512 scopus 로고    scopus 로고
    • Financial forecasting using support vector machines
    • Cao L, Tay FEH (2001) Financial forecasting using support vector machines. Neural Comput Appl 10(2): 184-192.
    • (2001) Neural Comput Appl , vol.10 , Issue.2 , pp. 184-192
    • Cao, L.1    Tay, F.E.H.2
  • 50
    • 17844363481 scopus 로고    scopus 로고
    • Bankruptcy prediction using support vector machine with optimal choice of kernel function parameters
    • Min JH, Lee Y-C (2005) Bankruptcy prediction using support vector machine with optimal choice of kernel function parameters. Expert Syst Appl 28(4): 603-614.
    • (2005) Expert Syst Appl , vol.28 , Issue.4 , pp. 603-614
    • Min, J.H.1    Lee, Y.-C.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.