Forecasting daily stock market return using dimensionality reduction

Authors

Keywords

Daily stock return forecasting, Principal component analysis (, PCA, ), Fuzzy robust principal component analysis (, FRPCA, ), Kernel-based principal component analysis (, KPCA, ), Artificial neural networks (, ANN, s), Trading strategies

Journal

EXPERT SYSTEMS WITH APPLICATIONS

Volume 67, Issue -, Pages 126-139

Publisher

Elsevier BV

Online

2016-09-22

DOI

10.1016/j.eswa.2016.09.027

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