First Advisor

Richard Tymerski

Date of Publication

Fall 12-10-2013

Document Type

Thesis

Degree Name

Master of Science (M.S.) in Electrical and Computer Engineering

Department

Electrical and Computer Engineering

Language

English

Subjects

Support vector machines, Stock index futures -- Computer simulation, Machine learning -- Mathematical models

DOI

10.15760/etd.1495

Physical Description

1 online resource (ix, 94 pages)

Abstract

In this work, we investigate different techniques to predict the monthly trend direction of the S&P 500 market index. The techniques use a machine learning classifier with technical and macroeconomic indicators as input features. The Support Vector Machine (SVM) classifier was explored in-depth in order to optimize the performance using four different kernels; Linear, Radial Basis Function (RBF), Polynomial, and Quadratic. A result found was the performance of the classifier can be optimized by reducing the number of macroeconomic features needed by 30% using Sequential Feature Selection. Further performance enhancement was achieved by optimizing the RBF kernel and SVM parameters through gridsearch. This resulted in final classification accuracy rates of 62% using technical features alone with gridsearch and 60.4% using macroeconomic features alone using Rankfeatures

Rights

In Copyright. URI: http://rightsstatements.org/vocab/InC/1.0/ This Item is protected by copyright and/or related rights. You are free to use this Item in any way that is permitted by the copyright and related rights legislation that applies to your use. For other uses you need to obtain permission from the rights-holder(s).

Persistent Identifier

http://archives.pdx.edu/ds/psu/10371

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