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Predicting Stock Price Direction using Support Vector …

Independent Work Report Spring 2015 . Predicting Stock Price Direction using Support Vector Machines Saahil Madge Advisor: Professor Swati Bhatt Abstract Support Vector Machine is a machine learning technique used in recent studies to forecast Stock prices. This study uses daily closing prices for 34 technology stocks to calculate Price volatility and momentum for individual stocks and for the overall sector. These are used as parameters to the SVM model. The model attempts to predict whether a Stock Price sometime in the future will be higher or lower than it is on a given day. We find little predictive ability in the short-run but definite predictive ability in the long-run.

2.4.Support Vector Machines Support Vector Machines are one of the best binary classifiers. They create a decision boundary such that most points in one category fall on one side of the boundary while most points in the other category fall on the other side of the boundary. Consider an n-dimensional feature vector x =(X 1;:::;X n) [8]. We can ...

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