Using least square support vector regression with genetic algorithm to forecast beta systematic risk

Article ID	Journal	Published Year	Pages	File Type
6874555	Journal of Computational Science	2015	15 Pages	PDF

Abstract

This paper discusses different methods of predicting beta, using the financial statements of 88 Taiwan corporations from the period 2001 to 2010. The experimental results indicate that the most precise forecasts are given by the least square regression algorithm optimized by genetic algorithm.

Keywords

Genetic algorithm Artificial Neural Network Capital Asset Pricing Model Least squares support vector regression

Related Topics

Physical Sciences and Engineering Computer Science Computational Theory and Mathematics

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Using least square support vector regression with genetic algorithm to forecast beta systematic risk

Authors

Fong-Ching Yuan, Chao-Hui Lee,