טכניון מכון טכנולוגי לישראל
הטכניון מכון טכנולוגי לישראל - בית הספר ללימודי מוסמכים  
M.Sc Thesis
M.Sc StudentFaynburd Alexandra
SubjectAutoregressive Short-Term Prediction of Turning Points
Using Support Vector Regression
DepartmentDepartment of Computer Science
Supervisor Professor Ran El-Yaniv
Full Thesis textFull thesis text - English Version


Abstract

This work is concerned with autoregressive prediction of turning points in financial price sequences. Such turning points are critical local extrema points along a series, which mark the start of new swings. Predicting the future time of such turning points or even their early or late identification slightly before or after the fact has useful applications in economics and finance. Building on recently proposed neural network model for turning point prediction, we propose and study a new autoregressive model for predicting turning points of small swings. Our method relies on a known turning point indicator; a Fourier enriched representation of price histories, and support vector regression. We empirically examine the performance of the proposed method over a long history of the Dow Jones Industrial average. Our study shows that the proposed method is superior to the previous neural network model, in terms of trading performance of a simple trading application and also exhibits a quantifiable advantage over the buy-and-hold benchmark.