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Forecasting stock market movement with SVM

Huang, W., Nakamori, Y., & Wang, S. (2005). Forecasting stock market movement direction with support vector machine. Computers and Operations Research, 32, 2513–2522. https://doi.org/10.1016/j.cor.2004.03.016

SVMs are used because:

Experiment

directiont=F(SSP500t1,SJPYt1)

where St1 is the log difference between the values at t1 and t

Results


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