查看文章

Time series prediction, especially financial time series prediction, is a challenging task in machine learning. In this issue, the data are usually non-stationary and volatile in nature. Because of its good generalization power, the support vector regression (SVR) has been widely applied in this application. The standard SVR employs a fixed ε-tube to tolerate noise and adopts the ℓ_p-norm (p=1 or 2) to model the functional complexity of the whole data set. One problem of the standard SVR is that it considers data in a global fashion only. Therefore it may lack the flexibility to capture the local trend of data; this is a critical aspect of volatile data, especially financial time series data. Aiming to attack this issue, we propose the localized support vector regression (LSVR) model. This novel model is demonstrated to provide a systematic and automatic scheme to adapt the margin locally and flexibly; while the margin in the …