A hybrid model for stock market forecasting and portfolio selection based on ARX, grey system and RS theories.
Kuang Yu HuangChuen-Jiuan JanePublished in: Expert Syst. Appl. (2009)
Keyphrases
- portfolio selection
- stock market
- hybrid model
- financial markets
- forecasting accuracy
- short term
- forecasting model
- financial time series
- support vector regression
- stock index futures
- long term
- portfolio optimization
- stock price
- arima model
- garch model
- foreign exchange
- trading rules
- artificial neural networks
- exchange rate
- stock exchange
- financial data
- portfolio management
- support vector machine svm
- optimal portfolio
- investment strategies
- particle swarm optimization
- support vector
- transaction costs
- factor analysis
- bp neural network
- neural network