Price Prediction of Stock Index Futures Based on SVM

摘要：

Though accurately forecasting the price of stock index futures is impossible, it is of great significance if the prices variation trend can be estimated to a certain extent. In this paper, we adopted a Support Vector Machines method to predict the prices of Stock index futures in the next 5 trading days. First, with an information granulation method, the original data of 3 stock index futures were transformed into a series of fuzzy granules. Then the maximum, medium and minimum values of futures opening price in each single granule are all extracted. After utilizing the SVM model to regress the values in fuzzy granules, we came up with the variation range of futures price in the next few days. These predicted results are consistent with the actual one, which proves the feasibility of our method.

关键词： index futures SVM price forecast information granulation

作者: Hezhong Dai Yichi Zhang Dapeng Wang

作者单位: Dongling School of Economics and ManagementUniversity of Science and Technology Beijing, Beijing,100 Department CECIC Research Center of Asset Management Beijing, China

会议类型: 国际会议

会议名称: 2011 Fourth International Conference on Business Intelligence and Financial Engineering(第四届商务智能与金融工程国际会议 BIFE2011)

会议地点: 武汉

会议语种:英文

页码: 54-57

在线出版日期: 2011-10-17（万方平台首次上网日期，不代表论文的发表时间）