The Research of Hedging Based on SVM
Yang Min-hu · Zhongyang Caizheng Jinrong Xueyuan xuebao · 2010
From the view of improving the hedge efficiency of out-of-sample,this paper propose a new hedge model based on the SVM under the criterion of structure risk minimization,and use the historical data of Hu-Shen 300 index and Hu-Shen stock index future simulation trade to empirical test,and compare the model with the hedge model based the OLS regression method.The result suggests that our new model with good robustness can improve the hedge efficiency of out-of- sample effectively,so it has fine theoretical and utilization value.