Evolving Least Squares Support Vector Machines for Stock Market Trend Mining

L Yu, Huanhuan Chen, S Wang, KK Lai

Research output: Contribution to journalArticle

154 Citations (Scopus)


In this paper, an evolving least squares support vector machine (LSSVM) learning paradigm with a mixed kernel is proposed to explore stock market trends. In the proposed learning paradigm, a genetic algorithm (GA), one of the most popular evolutionary algorithms (EAs), is first used to select input features for LSSVM learning, i.e., evolution of input features. Then, another GA is used for parameters optimization of LSSVM, i.e., evolution of algorithmic parameters. Finally, the evolving LSSVM learning paradigm with best feature subset, optimal parameters, and a mixed kernel is used to predict stock market movement direction in terms of historical data series. For illustration and evaluation purposes, three important stock indices, S&P 500 Index, Dow Jones Industrial Average (DJIA) Index, and New York Stock Exchange (NYSE) Index, are used as testing targets. Experimental results obtained reveal that file proposed evolving LSSVM can produce some forecasting models that tire easier to be interpreted by using a small number of predictive features and are more efficient than other parameter optimization methods. Furthermore, the produced forecasting model can significantly outperform other forecasting models listed in this paper in terms of the hit ratio. These findings imply that the proposed evolving LSSVM learning paradigm can be used as a promising approach to stock market tendency exploration.
Original languageEnglish
Pages (from-to)87-102
Number of pages16
JournalIEEE Transactions on Evolutionary Computation
Issue number1
Publication statusPublished - 1 Feb 2009


  • feature selection
  • stock market trend mining
  • mixed kernel
  • least squares support vector machine (LSSVM)
  • parameter optimization
  • Artificial neural networks (ANNs)
  • genetic algorithm (GA)
  • evolutionary algorithms (EAs)
  • statistical models


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