title: A stock market forecasting model combining two-directional two-dimensional principal component analysis and radial basis function neural network.
abstract: In this paper, we propose and implement a hybrid model combining two-directional two-dimensional principal component analysis ((2D)2PCA) and a Radial Basis Function Neural Network (RBFNN) to forecast stock market behavior. First, 36 stock market technical variables are selected as the input features, and a sliding window is used to obtain the input data of the model. Next, (2D)2PCA is utilized to reduce the dimension of the data and extract its intrinsic features. Finally, an RBFNN accepts the data processed by (2D)2PCA to forecast the next day's stock price or movement. The proposed model is used on the Shanghai stock market index, and the experiments show that the model achieves a good level of fitness. The proposed model is then compared with one that uses the traditional dimension reduction method principal component analysis (PCA) and independent component analysis (ICA). The empirical results show that the proposed model outperforms the PCA-based model, as well as alternative models based on ICA and on the multilayer perceptron.
authors: Key Laboratory of Fiber Optic Sensing Technology and Information Processing, School of Information Engineering, Wuhan University of Technology, Wuhan, China.
authors: Zhiqiang
authors: Z
authors: Guo
authors: Department of Financial Math and Financial Engineering, South University of Science and Technology of China, ShenZhen, China.
authors: Huaiqing
authors: H
authors: Wang
authors: Key Laboratory of Fiber Optic Sensing Technology and Information Processing, School of Information Engineering, Wuhan University of Technology, Wuhan, China.
authors: Jie
authors: J
authors: Yang
authors: Department of Electrical Engineering, The Pennsylvania State University, University Park, Pennsylvania, United States of America.
authors: David J
authors: DJ
authors: Miller
mesh_terms: D003132:Commerce / Q000191:economics; D007449:Investments / Q000191:economics; D008962:Models, Theoretical; D016571:Neural Networks, Computer; D025341:Principal Component Analysis