Classify Unexpected News Impacts to Stock Price by Incorporating Time Series Analysis into Support Vector Machine

Author(s):  
Ting Yu ◽  
T. Jan ◽  
J. Debenham ◽  
S. Simoff
2020 ◽  
Vol 17 (4) ◽  
pp. 215-227
Author(s):  
Julia Babirath ◽  
Karel Malec ◽  
Rainer Schmitl ◽  
Kamil Maitah ◽  
Mansoor Maitah

The attempt to predict stock price movements has occupied investors ever since. Reliable forecasts are a basis for investment management, and improved forecasting results lead to enhanced portfolio performance and sound risk management. While forecasting using the Wiener process has received great attention in the literature, spectral time series analysis has been disregarded in this respect. The paper’s main objective is to evaluate whether spectral time series analysis can produce reliable forecasts of the Aurubis stock price. Aurubis poses a suitable candidate for an investor’s portfolio due to its sound economic and financial situation and the steady dividend policy. Additionally, reliable management contributes to making Aurubis an investment opportunity. To judge if the achieved forecast results can be considered satisfactory, they are compared against the simulation results of a Wiener process. After de-trending the time series using an Augmented Dickey-Fuller test, the residuals were compartmentalized into sine and cosine functions. The frequencies, amplitude, and phase were obtained using the Fast Fourier transform. The mean absolute percentage error measured the accuracy of the stock price prediction, and the results showed that the spectral analysis was able to deliver superior results when comparing the simulation using a Wiener process. Hence, spectral time series can enhance stock price forecasts and consequently improve risk management.


Complexity ◽  
2019 ◽  
Vol 2019 ◽  
pp. 1-15 ◽  
Author(s):  
Zeynep Hilal Kilimci ◽  
A. Okay Akyuz ◽  
Mitat Uysal ◽  
Selim Akyokus ◽  
M. Ozan Uysal ◽  
...  

Demand forecasting is one of the main issues of supply chains. It aimed to optimize stocks, reduce costs, and increase sales, profit, and customer loyalty. For this purpose, historical data can be analyzed to improve demand forecasting by using various methods like machine learning techniques, time series analysis, and deep learning models. In this work, an intelligent demand forecasting system is developed. This improved model is based on the analysis and interpretation of the historical data by using different forecasting methods which include time series analysis techniques, support vector regression algorithm, and deep learning models. To the best of our knowledge, this is the first study to blend the deep learning methodology, support vector regression algorithm, and different time series analysis models by a novel decision integration strategy for demand forecasting approach. The other novelty of this work is the adaptation of boosting ensemble strategy to demand forecasting system by implementing a novel decision integration model. The developed system is applied and tested on real life data obtained from SOK Market in Turkey which operates as a fast-growing company with 6700 stores, 1500 products, and 23 distribution centers. A wide range of comparative and extensive experiments demonstrate that the proposed demand forecasting system exhibits noteworthy results compared to the state-of-art studies. Unlike the state-of-art studies, inclusion of support vector regression, deep learning model, and a novel integration strategy to the proposed forecasting system ensures significant accuracy improvement.


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