Nonlinear support vector machines can systematically identify stocks with high and low future returns.
Ramón HuertaFernando J. CorbachoCharles ElkanPublished in: Algorithmic Finance (2013)
Keyphrases
- support vector
- dow jones
- learning machines
- support vector machine
- large margin classifiers
- generalization ability
- kernel function
- loss function
- pairwise
- classification accuracy
- cross validation
- artificial neural networks
- long term
- logistic regression
- hyperplane
- support vector regression
- decision function
- genetic algorithm