Binary gravity search algorithm and support vector machine for forecasting and trading stock indices

被引：9

作者：

Kang, Haijun ^{[1
]}

Zong, Xiangyu ^{[2
]}

Wang, Jianyong ^{[3
]}

Chen, Haonan ^{[4
]}

机构：

[1] Fuzhou Univ Int Studies & Trade, Sch Finance & Accounting, Fuzhou, Peoples R China

[2] Zhongnan Univ Econ & Law, Sch Finance, Wuhan, Peoples R China

[3] Xiamen Natl Accounting Inst, Xiamen, Peoples R China

[4] Sun Yat Sen Univ, Sch Business, Guangzhou, Peoples R China

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2023年 / 84卷

关键词：

Finance; Support vector machine; Binary gravity search algorithm; Stock indices; Forecasting; ARTIFICIAL NEURAL-NETWORKS; GENETIC ALGORITHMS; REGRESSION; PREDICTION;

D O I：

10.1016/j.iref.2022.11.009

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

A hybrid Support Vector Machine (SVM) model is proposed and applied to the task of forecasting the daily returns of five popular stock indices in the world, including the S&P500, NKY, CAC, FTSE100 and DAX. The originality of this work is that the Binary Gravity Search Algorithm (BGSA) is utilized, in order to optimize the parameters and inputs of SVM. The results show that the forecasts made by this model are significantly better than the Random Walk (RW), SVM, best predictors and Buy-and-Hold. The average accuracy of BGSA-SVM for five stock indices is 52.87%. In general, this study proves that a profitable trading strategy based on BGSA-SVM prediction can be realized in a real stock market.

引用

页码：507 / 526

页数：20

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