Improved Accuracy of PSO and DE using Normalization: an Application to Stock Price Prediction
Journal Title: International Journal of Advanced Computer Science & Applications - Year 2012, Vol 3, Issue 9
Abstract
Data Mining is being actively applied to stock market since 1980s. It has been used to predict stock prices, stock indexes, for portfolio management, trend detection and for developing recommender systems. The various algorithms which have been used for the same include ANN, SVM, ARIMA, GARCH etc. Different hybrid models have been developed by combining these algorithms with other algorithms like roughest, fuzzy logic, GA, PSO, DE, ACO etc. to improve the efficiency. This paper proposes DE-SVM model (Differential Evolution- Support vector Machine) for stock price prediction. DE has been used to select best free parameters combination for SVM to improve results. The paper also compares the results of prediction with the outputs of SVM alone and PSO-SVM model (Particle Swarm Optimization). The effect of normalization of data on the accuracy of prediction has also been studied.
Authors and Affiliations
Savinderjit Kaur, Veenu Mangat
Keywords
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