U.S.A. S&P 500 stock market dynamism exploration with moving window and artificial intelligence approach

Deng Yiv Chiu; Cheng Yi Shiu; Yu Sheng Lin

U.S.A. S&P 500 stock market dynamism exploration with moving window and artificial intelligence approach

Deng Yiv Chiu, Cheng Yi Shiu, Yu Sheng Lin

Department of Finance

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

2 Scopus citations

Abstract

We propose an approach of artificial immune algorithm, fuzzy theorem, support vector regression, and seasonal moving window to explore stock dynamism among same seasons in continuous years for USA S&P 500 stock indexes. First, we select optimal number of trading days to calculate technical indicator values. We apply artificial immune algorithm to locate optimal combination of technical indicators as input variables. The property of nonlinearity and high dimensionality of the support vector regression is employed to explore the stock price patterns.

Original language	English
Title of host publication	Proceedings - 7th International Conference on Networked Computing and Advanced Information Management, NCM 2011
Pages	341-345
Number of pages	5
State	Published - 2011
Event	7th International Conference on Networked Computing and Advanced Information Management, NCM 2011 - Gyeongju, Korea, Republic of Duration: 21 Jun 2011 → 23 Jun 2011

Publication series

Name	Proceedings - 7th International Conference on Networked Computing and Advanced Information Management, NCM 2011

Conference

Conference	7th International Conference on Networked Computing and Advanced Information Management, NCM 2011
Country/Territory	Korea, Republic of
City	Gyeongju
Period	21/06/11 → 23/06/11

Cite this

Chiu, D. Y., Shiu, C. Y., & Lin, Y. S. (2011). U.S.A. S&P 500 stock market dynamism exploration with moving window and artificial intelligence approach. In Proceedings - 7th International Conference on Networked Computing and Advanced Information Management, NCM 2011 (pp. 341-345). Article 5967572 (Proceedings - 7th International Conference on Networked Computing and Advanced Information Management, NCM 2011).

Chiu, Deng Yiv ; Shiu, Cheng Yi ; Lin, Yu Sheng. / U.S.A. S&P 500 stock market dynamism exploration with moving window and artificial intelligence approach. Proceedings - 7th International Conference on Networked Computing and Advanced Information Management, NCM 2011. 2011. pp. 341-345 (Proceedings - 7th International Conference on Networked Computing and Advanced Information Management, NCM 2011).

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title = "U.S.A. S&P 500 stock market dynamism exploration with moving window and artificial intelligence approach",

abstract = "We propose an approach of artificial immune algorithm, fuzzy theorem, support vector regression, and seasonal moving window to explore stock dynamism among same seasons in continuous years for USA S&P 500 stock indexes. First, we select optimal number of trading days to calculate technical indicator values. We apply artificial immune algorithm to locate optimal combination of technical indicators as input variables. The property of nonlinearity and high dimensionality of the support vector regression is employed to explore the stock price patterns.",

author = "Chiu, {Deng Yiv} and Shiu, {Cheng Yi} and Lin, {Yu Sheng}",

year = "2011",

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series = "Proceedings - 7th International Conference on Networked Computing and Advanced Information Management, NCM 2011",

pages = "341--345",

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note = "7th International Conference on Networked Computing and Advanced Information Management, NCM 2011 ; Conference date: 21-06-2011 Through 23-06-2011",

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Chiu, DY, Shiu, CY & Lin, YS 2011, U.S.A. S&P 500 stock market dynamism exploration with moving window and artificial intelligence approach. in Proceedings - 7th International Conference on Networked Computing and Advanced Information Management, NCM 2011., 5967572, Proceedings - 7th International Conference on Networked Computing and Advanced Information Management, NCM 2011, pp. 341-345, 7th International Conference on Networked Computing and Advanced Information Management, NCM 2011, Gyeongju, Korea, Republic of, 21/06/11.

U.S.A. S&P 500 stock market dynamism exploration with moving window and artificial intelligence approach. / Chiu, Deng Yiv; Shiu, Cheng Yi; Lin, Yu Sheng.
Proceedings - 7th International Conference on Networked Computing and Advanced Information Management, NCM 2011. 2011. p. 341-345 5967572 (Proceedings - 7th International Conference on Networked Computing and Advanced Information Management, NCM 2011).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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N2 - We propose an approach of artificial immune algorithm, fuzzy theorem, support vector regression, and seasonal moving window to explore stock dynamism among same seasons in continuous years for USA S&P 500 stock indexes. First, we select optimal number of trading days to calculate technical indicator values. We apply artificial immune algorithm to locate optimal combination of technical indicators as input variables. The property of nonlinearity and high dimensionality of the support vector regression is employed to explore the stock price patterns.

AB - We propose an approach of artificial immune algorithm, fuzzy theorem, support vector regression, and seasonal moving window to explore stock dynamism among same seasons in continuous years for USA S&P 500 stock indexes. First, we select optimal number of trading days to calculate technical indicator values. We apply artificial immune algorithm to locate optimal combination of technical indicators as input variables. The property of nonlinearity and high dimensionality of the support vector regression is employed to explore the stock price patterns.

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M3 - 會議論文篇章

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SN - 9788988678367

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SP - 341

EP - 345

BT - Proceedings - 7th International Conference on Networked Computing and Advanced Information Management, NCM 2011

T2 - 7th International Conference on Networked Computing and Advanced Information Management, NCM 2011

Y2 - 21 June 2011 through 23 June 2011

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Chiu DY, Shiu CY, Lin YS. U.S.A. S&P 500 stock market dynamism exploration with moving window and artificial intelligence approach. In Proceedings - 7th International Conference on Networked Computing and Advanced Information Management, NCM 2011. 2011. p. 341-345. 5967572. (Proceedings - 7th International Conference on Networked Computing and Advanced Information Management, NCM 2011).

U.S.A. S&P 500 stock market dynamism exploration with moving window and artificial intelligence approach

Abstract

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