Mosaheb

Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:

---

Due to the dynamic structure and nonlinear fluctuations of the stock market, it is difficult to accurately predict the trend of this market using the old methods. In this study, in order to improve the accuracy of predicting the index trend in different industries, we propose a new algorithm that combines algorithms fractal interpolation and support vector machine regression, abbreviated as fracsion algorithm. . For this purpose, after recognizing the fractal structure of industries using the Hurst exponent of each industry, we consider the value of the index in each fractal industry as the primary data to predict the trend of the index. Then, by modifying the fractal interpolation algorithm, we will generate new data, and finally, by calling the support vector regression algorithm on the obtained data, we will predict the index trend. The results of the implementation of the Hybrid fracsion algorithm and its comparison with two conventional methods, namely artificial neural network and support vector machine regression, indicate the superiority of the predictive accuracy of the proposed algorithm.

Keywords: Fractal interpolation, Artificial Neural Network (ANN), Support Vector Regression (SVR), Industry index, Statistical analysis R/S

Full-Text [PDF 5306 kb]   (166 Downloads)    

Add your comments about this article : Your username or Email:

---

---