Seasonality effect of stock dynamism

Deng Yiv Chiu, Cheng Yi Shiu

研究成果: 雜誌貢獻期刊論文同行評審

1 引文 斯高帕斯(Scopus)

摘要

We propose a hybrid approach of seasonal moving window, genetic algorithm, and support vector regression to explore seasonality effect for the stock indexes in two developed markets. First, we utilize genetic algorithm to locate the approximate optimal combination of technical indicators. Then the property of nonlinearity and high dimensionality of the support vector regression is employed to explore the stock price patterns. Finally, we adopt seasonal moving window to capture the seasonality effect of stock market returns. We find that the proposed method outperforms buy-and-hold returns.

原文???core.languages.en_GB???
頁(從 - 到)323-331
頁數9
期刊Journal of Convergence Information Technology
7
發行號7
DOIs
出版狀態已出版 - 4月 2012

指紋

深入研究「Seasonality effect of stock dynamism」主題。共同形成了獨特的指紋。

引用此