Modified support vector machines in financial time series forecasting
NeurocomputingPublished 1 October 2002Open access
Francis E. H. Tay, Leilei Cao
Citations372
SJR quartileQ4
SJR score0.11
SNIP0.06
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TL;DR
A modified version of support vector machines, called C-ascending support vector machine, is proposed to model non-stationary financial time series, where the recent e-insensitive errors are penalized more heavily than the distant e- insensitive errors.
Abstract
10.1016/S0925-2312(01)00676-2
Keywords
Decision SciencesEconomics, Econometrics and FinanceEngineering
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