Nonlinear Cointegration Analysis Based on Support Vector Machines and Its Application to the Connection between Financial Markets

摘要：

With the purpose of analyzing non-stationary time series,this paper innovated nonlinear cointegration discriminant analysis by introducing support vector machines to overcome existing limitations of two methods,that is,the statistical approach and the neural network used by the nonlinear cointegration theory.Then,the application of the innovated method to the investigation of the connection between financial markets was explored.The empirical analysis demonstrates that the support vector machine is effective in analyzing the money demand function and its stability and has advantages in dealing with nonlinear cointegration relation and estimating nonlinear function over the two methods above.

关键词： non-stationary time series nonlinear cointegration analysis support vector machine neural network the connection between financial markets

作者: Chuanhe Shen Xiangrong Wang

作者单位: College of Information Science and Engineering,Shandong University of Science and Technology,Shandong,266510,China

会议类型: 国际会议

会议名称: 2011 3rd International Conference on Computer and Network Technology(ICCNT 2011)(2011第三届IEEE计算机与网络技术国际会议)

会议地点: 太原

会议语种:英文

页码: 449-452

在线出版日期: 2011-02-26（万方平台首次上网日期，不代表论文的发表时间）