Comparison of support-vector machines and back propagation neural networks in forecasting the six major Asian stock markets

Wun Hua Chen; Jen Ying Shih; Soushan Wu

doi:10.1504/IJEF.2006.008837

Comparison of support-vector machines and back propagation neural networks in forecasting the six major Asian stock markets

Wun Hua Chen, Jen Ying Shih, Soushan Wu^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

99 Citations (Scopus)

Abstract

Recently, applying the novel data mining techniques for financial time-series forecasting has received much research attention. However, most researches are for the US and European markets, with only a few for Asian markets. This research applies Support-Vector Machines (SVMs) and Back Propagation (BP) neural networks for six Asian stock markets and our experimental results showed the superiority of both models, compared to the early researches.

Original language	English
Pages (from-to)	49-67
Number of pages	19
Journal	International Journal of Electronic Finance
Volume	1
Issue number	1
DOIs	https://doi.org/10.1504/IJEF.2006.008837
Publication status	Published - 2006
Externally published	Yes

Keywords

Asian stock markets
Back Propagation (BP) neural networks
Financial forecasting
Support-Vector Machines (SVMs)

ASJC Scopus subject areas

Finance
Computer Science Applications
Computer Networks and Communications
Management of Technology and Innovation

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10.1504/IJEF.2006.008837

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AB - Recently, applying the novel data mining techniques for financial time-series forecasting has received much research attention. However, most researches are for the US and European markets, with only a few for Asian markets. This research applies Support-Vector Machines (SVMs) and Back Propagation (BP) neural networks for six Asian stock markets and our experimental results showed the superiority of both models, compared to the early researches.

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Comparison of support-vector machines and back propagation neural networks in forecasting the six major Asian stock markets

Abstract

Keywords

ASJC Scopus subject areas

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