Fine-tuned support vector regression model for stock predictions

In this paper, a new machine learning (ML) technique is proposed that uses the fine-tuned version of support vector regression for stock forecasting of time series data. Grid search technique is applied over training dataset to select the best kernel function and to optimize its parameters. The optimized parameters are validated through validation dataset. Thus, the tuning of this parameters to their optimized value not only increases model’s overall accuracy but also requires less time and memory. Further, this also minimizes the model from being data overfitted. The proposed method is used to analysis different performance parameters of stock market like up-to-daily and up-to-monthly return, cumulative monthly return, its volatility nature and the risk associated with it. Eight different large-sized datasets are chosen from different domain, and stock is predicted for each case by using the proposed method. A comparison is carried out among the proposed method and some similar methods of same interest in terms of computed root mean square error and the mean absolute percentage error. The comparison reveals the proposed method to be more accurate in predicting the stocks for the chosen datasets. Further, the proposed method requires much less time than its counterpart methods.