NDLI: Research on simple moving average trading system based on SVM

Content Provider	IEEE Xplore Digital Library
Author	Hui Xiao-feng Wu Ya-jun
Copyright Year	2012
Description	Author affiliation: School of Management, Harbin Institute of Technology, China, 150001 (Hui Xiao-feng; Wu Ya-jun)
Abstract	To gain stable and continuous profit return, trading system based on some trade rules are used by more and more investors and institutions while simple moving average system is one of the trading systems. In order to improve the efficiency of the system, this paper set up a Support Vector Machine (SVM) model trained by RAVI and four other kinds of trend technique indicators to reflect the stock price time series into high dimensional characterization space, and filter the signals of 5-60 simple moving average trading system with SVM model. The results of testing on the stock index of Inner Mongolia Yili showed obvious promotion and better evaluation indicators compared to other trading systems and filtering methods. It is feasible approach to improve simple moving average trading system with SVM consequently.
Starting Page	1393
Ending Page	1397
File Size	322588
Page Count	5
File Format	PDF
ISBN	9781467330152
ISSN	21551855
e-ISBN	9781467330145
DOI	10.1109/ICMSE.2012.6414356
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2012-09-20
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Support vector machines Resistance filter Accuracy simple moving average Market research Filtering theory SVM History Stock markets trading system
Content Type	Text
Resource Type	Article

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