Feature Selection for Support Vector Machines in Financial Time Series Forecasting
- Cite this paper as:
- Cao L.J., Tay F.E.H. (2000) Feature Selection for Support Vector Machines in Financial Time Series Forecasting. In: Leung K.S., Chan LW., Meng H. (eds) Intelligent Data Engineering and Automated Learning — IDEAL 2000. Data Mining, Financial Engineering, and Intelligent Agents. IDEAL 2000. Lecture Notes in Computer Science, vol 1983. Springer, Berlin, Heidelberg
This paper deals with the application of saliency analysis to Support Vector Machines (SVMs) for feature selection. The importance of feature is ranked by evaluating the sensitivity of the network output to the feature input in terms of the partial derivative. A systematic approach to remove irrelevant features based on the sensitivity is developed. Five futures contracts are examined in the experiment. Based on the simulation results, it is shown that that saliency analysis is effective in SVMs for identifying important features.
Unable to display preview. Download preview PDF.