The best of two worlds: Forecasting high frequency volatility for cryptocurrencies and traditional currencies with Support Vector Regression.
Yaohao PengPedro Henrique Melo AlbuquerqueJader Martins Camboim de SáAna Julia Akaishi PadulaMariana Rosa MontenegroPublished in: Expert Syst. Appl. (2018)
Keyphrases
- support vector regression
- high frequency
- exchange rate
- low frequency
- foreign exchange
- stock price
- autoregressive conditional heteroscedasticity
- support vector
- visual quality
- hybrid model
- support vector machine svm
- financial time series
- high resolution
- regression model
- wavelet transform
- forecasting accuracy
- discrete wavelet transform
- subband
- high frequencies
- kernel function
- financial time series forecasting
- forecasting model
- wavelet coefficients
- support vector classification
- support vector machine
- feature extraction
- high frequency components
- wavelet domain
- stock market
- long term
- artificial neural network models