Feature Weighting of Support Vector Machines Based on Derivative Saliency Analysis and Its Application to Financial Data Mining

  title={Feature Weighting of Support Vector Machines Based on Derivative Saliency Analysis and Its Application to Financial Data Mining},
  author={Chuanhe Shen and Xiangrong Wang and Di Yu},
  journal={International Journal of Advancements in Computing Technology},
Abstract This paper proposes a novel feature weighting approach based on derivative saliency analysis, which can specifically display to what extent the output of support vector regression machines varies with the features (i.e. the components of the input vector). The empirical analysis of its application to option pricing demonstrates that the methodology proposed enables relevant features to be assigned right weights under given generation performance error criterion. At the same time, a… Expand
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