Integrating piecewise linear representation and Gaussian process classification for stock turning points prediction

doi:10.11772/j.issn.1001-9081.2015.08.2397

Journal of Computer Applications ›› 2015, Vol. 35 ›› Issue (8): 2397-2403.DOI: 10.11772/j.issn.1001-9081.2015.08.2397

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Integrating piecewise linear representation and Gaussian process classification for stock turning points prediction

LI Feng¹, GAO Feng¹, KOU Peng²

1. System Engineering Institute, Xi'an Jiaotong University, Xi'an Shaanxi 710049, China;
2. College of Electrical Engineering, Xi'an Jiaotong University, Xi'an Shaanxi 710049, China

Received:2015-03-01 Revised:2015-04-17 Online:2015-08-14 Published:2015-08-10

基于分段线性表示和高斯过程分类的股票转折点概率预测

李丰¹, 高峰¹, 寇鹏²

1. 西安交通大学系统工程研究所, 西安 710049;
2. 西安交通大学电气工程学院, 西安 710049

通讯作者: 高峰(1967-),男,陕西西安人,教授,博士生导师,博士,主要研究方向:机器学习、系统优化调度,fgao@sei.xjtu.edu.cn
作者简介:李丰(1988-),女,辽宁绥中人,硕士研究生,主要研究方向:数据挖掘、机器学习; 寇鹏(1983-),男,陕西西安人,讲师,博士,主要研究方向:新能源系统预测与优化控制、电机及拖动系统优化控制、人工智能、机器学习。
基金资助:
国家自然科学基金资助项目(61221063,U1301254,61473218);国家863计划项目(2012AA011003);国家"111引智计划"项目。

Abstract

Abstract:

Focusing on the prediction issue of the price turning point in stock trading process, a prediction algorithm of stock price turning point, named PLR-GPC, was proposed based on Piecewise Linear Representation (PLR) and Gaussian Process Classification (GPC). The algorithm extracted the turning points of the historical stock price series by PLR, and classified the points with different labels. A prediction model of the stock price turning point was built based on GPC, and it was trained with the turning points extracted by PLR. Eventually, the model could predict whether a new price would be a price turning point, and could explain the result with probability. An experiment on the real stock data was carried out among PLR-GPC, PLR-BPN (PLR-Back Propagation Network), and PLR-WSVM (PLR-Weighted Support Vector Machine). It showed that the PLR-GPC had higher forecast accuracy than the other two algorithms, and its rate of return was higher than PLR-BPN, almost equal to PLR-WSVM. The experimental result proves that the PLR-GPC is effective on stock turning point prediction and it can be applied in the actual stock investment trading.

Key words: Piecewise Linear Representation (PLR), Gaussian Process Classification (GPC), stock trading signal, probabilistic prediction, investment strategy, risk preference

摘要：

针对股票交易过程中价格转折点的预测问题,提出了一种基于分段线性表示(PLR)与高斯过程分类(GPC)相结合的股票价格转折点预测算法PLR-GPC。该算法通过PLR提取股票历史价格序列的转折点,对转折点进行分类标记,建立基于GPC的股票价格转折点预测模型,以上述股票历史价格序列对模型进行训练,最终由预测模型对股票价格转折点进行预测,并对预测结果进行概率解释。将PLR-GPC与基于BP神经网络(BPN)的PLR-BPN算法、基于加权支持向量机支持向量机(WSVM)的PLR-WSVM算法进行实验对比:PLR-GPC在预测准确率上高于PLR-BPN与PLR-WSVM;在投资收益率上高于PLR-BPN,与PLR-WSVM持平。实验结果表明PLR-GPC在股票价格转折点的预测上是有效的,并且可以应用在实际股票投资交易中。

关键词: 分段线性表示, 高斯过程分类, 股票交易信号, 概率预测, 投资策略, 风险偏好

CLC Number:

TP181

LI Feng, GAO Feng, KOU Peng. Integrating piecewise linear representation and Gaussian process classification for stock turning points prediction[J]. Journal of Computer Applications, 2015, 35(8): 2397-2403.

李丰, 高峰, 寇鹏. 基于分段线性表示和高斯过程分类的股票转折点概率预测[J]. 计算机应用, 2015, 35(8): 2397-2403.

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Integrating piecewise linear representation and Gaussian process classification for stock turning points prediction

基于分段线性表示和高斯过程分类的股票转折点概率预测

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