Stock Price Prediction Using Kernel Adaptive Filtering Within a Stock Market Interdependence Approach

Ahmed

et al. 2022

Scientific Programming

The idea of multivariate and online stock price prediction via the kernel adaptive filtering (KAF) paradigm is proposed in this article. The prediction of stock prices is traditionally done with regression and classification, thereby requiring a large set of batch-oriented and independent training samples. This is problematic considering the nonstationary nature of a financial time series. In this research, we propose an online kernel adaptive filtering-based approach for stock price prediction to overcome this challenge. To examine a stock's performance and demonstrate the work's superiority, we use ten different KAF family of algorithms. In this paper, we take on this challenge and propose an approach for predicting stock prices. To analyze a stock's performance and demonstrate the work's superiority, we use ten distinct KAF algorithms. Besides, the results are analyzed on nine-time windows such as one day, sixty minutes, thirty minutes, twenty five minutes, twenty minutes, fifteen minutes, ten minutes, five minutes, and one minute. We are the first to experiment with several time windows for all fifty stocks on the Indian National Stock Exchange, to the best of our knowledge. It should be noted here that the experiments are performed on stocks making up the main index: Nifty-50. In terms of performance and compared to existing methods, we have a 66% probability of correctly predicting a stock's next upward or downward movement. This number clearly shows the edge that the proposed method has in actual deployment. Furthermore, the experimental findings show that KAF is not only a better option for predicting stock prices but that it may also be used as an alternative in high-frequency trading due to its low latency.

Section: Related Workmentioning

confidence: 99%

An Online Kernel Adaptive Filtering-Based Approach for Mid-Price Prediction

Ahmed

et al. 2022

Scientific Programming

“…KAF can therefore be used for sequential prediction of stock prices by exploiting the market interdependence. KAF are preferred because they are nonparametric, have low computational complexity, and converge very fast [21,[52][53][54][55]. In this domain, multiple algorithms are proposed for nonstationary data.…”

Section: Related Workmentioning

confidence: 99%

Multivariate and Online Prediction of Closing Price Using Kernel Adaptive Filtering

Ahmed

Computational Intelligence and Neuroscience

et al. 2021

This paper proposes a multivariate and online prediction of stock prices via the paradigm of kernel adaptive filtering (KAF). The prediction of stock prices in traditional classification and regression problems needs independent and batch-oriented nature of training. In this article, we challenge this existing notion of the literature and propose an online kernel adaptive filtering-based approach to predict stock prices. We experiment with ten different KAF algorithms to analyze stocks’ performance and show the efficacy of the work presented here. In addition to this, and in contrast to the current literature, we look at granular level data. The experiments are performed with quotes gathered at the window of one minute, five minutes, ten minutes, fifteen minutes, twenty minutes, thirty minutes, one hour, and one day. These time windows represent some of the common windows frequently used by traders. The proposed framework is tested on 50 different stocks making up the Indian stock index: Nifty-50. The experimental results show that online learning and KAF is not only a good option, but practically speaking, they can be deployed in high-frequency trading as well.

“…A kernel adaptive filter is a kind of nonlinear filter that exploits a kernel method, which is a technique to construct effective nonlinear systems [ 2 ]. Kernel adaptive filters found widespread applications in diverse fields, ranging from stock market prediction [ 3 ] to acoustic echo cancellation [ 4 ] and visual object tracking [ 5 ].…”

Section: Introductionmentioning

confidence: 99%

Anisotropic Gaussian kernel adaptive filtering by Lie-group dictionary learning

et al. 2020

The present paper proposes a novel kernel adaptive filtering algorithm, where each Gaussian kernel is parameterized by a center vector and a symmetric positive definite (SPD) precision matrix, which is regarded as a generalization of scalar width parameter. In fact, different from conventional kernel adaptive systems, the proposed filter is structured as a superposition of non-isotropic Gaussian kernels, whose non-isotropy makes the filter more flexible. The adaptation algorithm will search for optimal parameters in a wider parameter space. This generalization brings the need of special treatment of parameters that have a geometric structure. In fact, the main contribution of this paper is to establish update rules for precision matrices on the Lie group of SPD matrices in order to ensure their symmetry and positive-definiteness. The parameters of this filter are adapted on the basis of a leastsquares criterion to minimize the filtering error, together with an ℓ 1-type regularization criterion to avoid overfitting and to prevent the increase of dimensionality of the dictionary. Experimental results confirm the validity of the proposed method.