The accuracy of combining judgemental and statistical forecasts
Management Science
The nature of statistical learning theory
The nature of statistical learning theory
Advances in kernel methods: support vector learning
Advances in kernel methods: support vector learning
An introduction to support Vector Machines: and other kernel-based learning methods
An introduction to support Vector Machines: and other kernel-based learning methods
Learning and Soft Computing: Support Vector Machines, Neural Networks, and Fuzzy Logic Models
Learning and Soft Computing: Support Vector Machines, Neural Networks, and Fuzzy Logic Models
Support Vector Machines: Theory and Applications (Studies in Fuzziness and Soft Computing)
Support Vector Machines: Theory and Applications (Studies in Fuzziness and Soft Computing)
Prediction of chaotic time series based on the recurrent predictor neural network
IEEE Transactions on Signal Processing
IEEE Transactions on Neural Networks
Expert Systems with Applications: An International Journal
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This study develops a hybrid model that combines unscented Kalman filters (UKFs) and support vector machines (SVMs) to implement an online option price predictor. In the hybrid model, the UKF is used to infer latent variables and make a prediction based on the Black-Scholes formula, while the SVM is employed to capture the nonlinear residuals between the actual option prices and the UKF predictions. Taking option data traded in Taiwan Futures Exchange, this study examined the forecasting accuracy of the proposed model, and found that the new hybrid model is superior to pure SVM models or hybrid neural network models in terms of three types of options. This model can also help investors for reducing their risk in online trading.