A comparison between SVM and multilayer perceptron in predicting an emerging financial market: Colombian stock market

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

12 Scopus citations

Abstract

Achieving accurate stock market forecast impacts strongly to investors, like retirement funds and private investors, giving them tools for making better data based decisions. This article studies the applicability of two soft computing methods, Artificial Neural Networks and Support Vector Machines, to forecast Colombian stock market. Technical indicators were selected as inputs of the machine learning techniques, and up/down movement was selected as output. Cross-validation was employed to improve generalization, and automatic parameter tuning was performed to improve model performance. The results showed that Support Vector Machines performance was better than Artificial Neural Networks, and the results are similar to those found in other studies.

Original languageEnglish
Title of host publication2017 Congreso Internacional de Innovacion y Tendencias en Ingenieria, CONIITI 2017 - Conference Proceedings
EditorsCarlos Andres Lozano-Garzon
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages1-6
Number of pages6
ISBN (Electronic)9781538606247
DOIs
StatePublished - 29 Jan 2018
Event2017 Congreso Internacional de Innovacion y Tendencias en Ingenieria, CONIITI 2017 - 2017 International Conference on Innovation and Trends in Engineering, CONIITI 2017 - Bogota, Colombia
Duration: 04 Oct 201706 Oct 2017

Publication series

Name2017 Congreso Internacional de Innovacion y Tendencias en Ingenieria, CONIITI 2017 - Conference Proceedings
Volume2018-January

Conference

Conference2017 Congreso Internacional de Innovacion y Tendencias en Ingenieria, CONIITI 2017 - 2017 International Conference on Innovation and Trends in Engineering, CONIITI 2017
Country/TerritoryColombia
CityBogota
Period04/10/1706/10/17

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