Inlämning av Examensarbete / Submission of Thesis

Christian Ewö MSE-2003:26, pp. 36. Inst. för programvaruteknik och datavetenskap/Dept. of Software Engineering and Computer Science, 2003.

The work

Författare / Author: Christian Ewö
Titel / Title: A machine learning approach in financial markets
Abstrakt Abstract:

In this work we compare the prediction
performance of three optimized technical indicators
with a Support Vector Machine Neural Network. For
the indicator part we picked the common used
indicators: Relative Strength Index, Moving Average
Convergence Divergence and Stochastic Oscillator. For
the Support Vector Machine we used a radial-basis
kernel function and regression mode. The techniques
were applied on financial time series brought from the
Swedish stock market. The comparison and the
promising results should be of interest for both finance
people using the techniques in practice, as well as
software companies and similar considering to
implement the techniques in their products.

Ämnesord / Subject: Datavetenskap - Computer Science\Software Engineering
Datavetenskap - Computer Science\Artificial Intelligence
Mathematics\Probability and Statistics
Nyckelord / Keywords: Financial time series, indicator optimization, support vector machines, prediction

Publication info

Dokument id / Document id:
Program:/ Programme Programvaruteknik/Software Engineering
Registreringsdatum / Date of registration: 09/16/2004
Uppsatstyp / Type of thesis: D-Uppsats/Magister/Master

Context

Handledare / Supervisor: Paul Davidsson
Organisation / Organisation: Blekinge Institute of Technology
Institution / School: Inst. för programvaruteknik och datavetenskap/Dept. of Software Engineering and Computer Science
Inst. för Programvaruteknik och Datavetenskap S-372 25 Ronneby
+46 455 38 50 00
http://www.ipd.bth.se/
I samarbete med / In co-operation with: The University of Newcastle upon Tyne

Files & Access

Bifogad uppsats fil(er) / Files attached: pad009_pt99cew_masterthesis.pdf (824 kB, öppnas i nytt fönster)