COMP652_Project[1]

COMP652_Project[1] - COMP 652 Final Project By Jules...

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COMP 652 Final Project By Jules Fakhoury December 15, 2010 12/15/2010 1
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High fluctuation and irregularity in the data Artificial Neural Network (ANN) Outperforms most statistical methods Based on the empirical risk minimization which minimizes the error on training data Suffers from over fitting and the large number of parameters 12/15/2010 2
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Support Vector Machine (SVM) Novel supervised learning method Based on the structural risk minimization which minimizes an upper bound of generalization error Less prone to over fitting Different SVM formulation Support Vector Classification Support Vector Regression 12/15/2010 3
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Given {(x 1 ,y 1 ),…,( x m ,y m )}, we want to find a function f(x) that has a most ℇ deviation for the targets y i => -SVR 12/15/2010 4
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Graphs taken from [1] 12/15/2010 5
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SVM tries to computes: y=f(x)=w. φ (x)+b by minimizing: The approximate function can be written as: 12/15/2010 6
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Given the historical closing daily prices of the S&P/TSX 0 index, we want to build a model that could predict future values.
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