Application of support vector machines in ! nancial time series forecasting

  title={Application of support vector machines in ! nancial time series forecasting},
  author={Francis Eng Hock Tay and Lijuan Cao},
This paper deals with the application of a novel neural network technique, support vector machine (SVM), in !nancial time series forecasting. The objective of this paper is to examine the feasibility of SVM in !nancial time series forecasting by comparing it with a multi-layer back-propagation (BP) neural network. Five real futures contracts that are collated from the Chicago Mercantile Market are used as the data sets. The experiment shows that SVM outperforms the BP neural network based on… CONTINUE READING
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