Please use this identifier to cite or link to this item:
Title: Feature selection methods for financial engineering
Authors: Fu, Fangwei
Keywords: DRNTU::Engineering::Computer science and engineering
Issue Date: 2014
Abstract: I experiment with a well-recognized filter-wrapper hybrid feature selection method – minimal-Redundancy-Maximal-Relevance Criterion feature selection refined by a wrapper using Support Vector Machines. I apply this hybrid method to predict the stock trend on 10 indexes on Singapore’s own Straits Time Index. The method consists of two stages: firstly the minimal-Redundancy-Maximal-Relevance Criterion feature selection is performed with datasets of 60 features and nearly 2000 instances extracted from Straits Time Index of Singapore and the top features are selected. Secondly, a wrapper using Support Vector Machines then further generates the “optimal” subset. Experiments are performed with a time series binary classification model, where output is the stock price trend in the following day, either rise or fall and features are technical indicators calculated using data from Yahoo! Finance Singapore. Lastly, 10- fold cross validation is performed with the selected feature subset and accuracy rate reports are generated. Similar procedures are conducted with the same dataset but using different filter selection methods such as information gain filter, correlation filter and consistency filter. Comparisons are done among all 4 methods and the filter-wrapper hybrid method generally outperforms the rest based on its higher mean accuracy rate and lower standard variation.
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:EEE Student Reports (FYP/IA/PA/PI)

Files in This Item:
File Description SizeFormat 
  Restricted Access
1.43 MBAdobe PDFView/Open

Page view(s) 20

checked on Oct 31, 2020

Download(s) 20

checked on Oct 31, 2020

Google ScholarTM


Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.