THE STOCK TREND PREDICTION USING VOLUME WEIGHTED SUPPORT VECTOR MACHINE WITH A HYBRID FEATURE SELECTION METHOD TO PREDICT THE STOCK PRICE TREND IN TEHRAN STOCK EXCHANGE

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BAJALAN SAEED; FALLAHPOUR SAEED; DANA NAHID

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Journal: JOURNAL OF FINANCIAL MANAGEMENT STRATEGY Year:2016 | Volume:4 | Issue:14 Page(s): 121-148

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Information Journal Paper

Title

THE STOCK TREND PREDICTION USING VOLUME WEIGHTED SUPPORT VECTOR MACHINE WITH A HYBRID FEATURE SELECTION METHOD TO PREDICT THE STOCK PRICE TREND IN TEHRAN STOCK EXCHANGE

Author(s)

BAJALAN SAEED | FALLAHPOUR SAEED | DANA NAHID | Issue Writer Certificate

Keywords

SUPPORT VECTOR MACHINESQ1

FEATURE SELECTIONQ1

TREND FORECASTINGQ1

TRADING STRATEGYQ1

Abstract

In this study, a prediction model based on SUPPORT VECTOR MACHINES (SVM) improved by introducing a volume weighted penalty function to the model was introduced to increase the accuracy of forecasting short term trends on the stock market to develop the optimal TRADING STRATEGY. Along with VW-SVM classifier, a hybrid FEATURE SELECTION method was used that consisted of F-score as the filter part and supported Sequential forward selection as the wrapper part, to select the optimal feature subset. In order to verify the capability of the proposed model in successfully predicting short term trends, a TRADING STRATEGY was developed. The model input included several technical indicators and statistical measures that were calculated for chosen 10 stocks from Tehran Stock Exchange. The results show that the VW-SVM, combined with the hybrid FEATURE SELECTION method, significantly increases the profitability of the proposed strategy compared to rival strategies, in terms of both overall rate of return and the maximum draw down during trading period.

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