{"id":"https://openalex.org/W2047935809","doi":"https://doi.org/10.1109/icca.2011.6137897","title":"Linear, adaptive and nonlinear trading models for Singapore stock market with random forests","display_name":"Linear, adaptive and nonlinear trading models for Singapore stock market with random forests","publication_year":2011,"publication_date":"2011-12-01","ids":{"openalex":"https://openalex.org/W2047935809","doi":"https://doi.org/10.1109/icca.2011.6137897","mag":"2047935809"},"language":"en","primary_location":{"id":"doi:10.1109/icca.2011.6137897","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icca.2011.6137897","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2011 9th IEEE International Conference on Control and Automation (ICCA)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100682407","display_name":"Qing\u2010Guo Wang","orcid":"https://orcid.org/0000-0002-3672-3716"},"institutions":[{"id":"https://openalex.org/I165932596","display_name":"National University of Singapore","ror":"https://ror.org/01tgyzw49","country_code":"SG","type":"education","lineage":["https://openalex.org/I165932596"]}],"countries":["SG"],"is_corresponding":true,"raw_author_name":"Qing-Guo Wang","raw_affiliation_strings":["Department of Electrical and Computer Engineering, National University of Singapore, Singapore","[Dept. of Electrical and Computer Engineering, National University of Singapore, Singapore.]"],"affiliations":[{"raw_affiliation_string":"Department of Electrical and Computer Engineering, National University of Singapore, Singapore","institution_ids":["https://openalex.org/I165932596"]},{"raw_affiliation_string":"[Dept. of Electrical and Computer Engineering, National University of Singapore, Singapore.]","institution_ids":["https://openalex.org/I165932596"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100698658","display_name":"Jin Li","orcid":"https://orcid.org/0000-0002-3534-524X"},"institutions":[{"id":"https://openalex.org/I165932596","display_name":"National University of Singapore","ror":"https://ror.org/01tgyzw49","country_code":"SG","type":"education","lineage":["https://openalex.org/I165932596"]}],"countries":["SG"],"is_corresponding":false,"raw_author_name":"Jin Li","raw_affiliation_strings":["Department of Electrical and Computer Engineering, National University of Singapore, Singapore","[Dept. of Electrical and Computer Engineering, National University of Singapore, Singapore.]"],"affiliations":[{"raw_affiliation_string":"Department of Electrical and Computer Engineering, National University of Singapore, Singapore","institution_ids":["https://openalex.org/I165932596"]},{"raw_affiliation_string":"[Dept. of Electrical and Computer Engineering, National University of Singapore, Singapore.]","institution_ids":["https://openalex.org/I165932596"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100680088","display_name":"Qin Qin","orcid":"https://orcid.org/0000-0003-1743-3139"},"institutions":[{"id":"https://openalex.org/I165932596","display_name":"National University of Singapore","ror":"https://ror.org/01tgyzw49","country_code":"SG","type":"education","lineage":["https://openalex.org/I165932596"]}],"countries":["SG"],"is_corresponding":false,"raw_author_name":"Qin Qin","raw_affiliation_strings":["Department of Electrical and Computer Engineering, National University of Singapore, Singapore","[Dept. of Electrical and Computer Engineering, National University of Singapore, Singapore.]"],"affiliations":[{"raw_affiliation_string":"Department of Electrical and Computer Engineering, National University of Singapore, Singapore","institution_ids":["https://openalex.org/I165932596"]},{"raw_affiliation_string":"[Dept. of Electrical and Computer Engineering, National University of Singapore, Singapore.]","institution_ids":["https://openalex.org/I165932596"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5008501506","display_name":"Shuzhi Sam Ge","orcid":"https://orcid.org/0000-0001-5549-312X"},"institutions":[{"id":"https://openalex.org/I165932596","display_name":"National University of Singapore","ror":"https://ror.org/01tgyzw49","country_code":"SG","type":"education","lineage":["https://openalex.org/I165932596"]}],"countries":["SG"],"is_corresponding":false,"raw_author_name":"Shuzhi Sam Ge","raw_affiliation_strings":["Department of Electrical and Computer Engineering, National University of Singapore, Singapore","[Dept. of Electrical and Computer Engineering, National University of Singapore, Singapore.]"],"affiliations":[{"raw_affiliation_string":"Department of Electrical and Computer Engineering, National University of Singapore, Singapore","institution_ids":["https://openalex.org/I165932596"]},{"raw_affiliation_string":"[Dept. of Electrical and Computer Engineering, National University of Singapore, Singapore.]","institution_ids":["https://openalex.org/I165932596"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5100682407"],"corresponding_institution_ids":["https://openalex.org/I165932596"],"apc_list":null,"apc_paid":null,"fwci":1.2745,"has_fulltext":false,"cited_by_count":8,"citation_normalized_percentile":{"value":0.81973871,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":null,"issue":null,"first_page":"726","last_page":"731"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11052","display_name":"Energy Load and Power Forecasting","score":0.9962000250816345,"subfield":{"id":"https://openalex.org/subfields/2208","display_name":"Electrical and Electronic Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10320","display_name":"Neural Networks and Applications","score":0.9954000115394592,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/randomness","display_name":"Randomness","score":0.7966156005859375},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6567819118499756},{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.5880507826805115},{"id":"https://openalex.org/keywords/nonlinear-system","display_name":"Nonlinear system","score":0.5808789730072021},{"id":"https://openalex.org/keywords/pairs-trade","display_name":"Pairs trade","score":0.5757920742034912},{"id":"https://openalex.org/keywords/algorithmic-trading","display_name":"Algorithmic trading","score":0.5671293139457703},{"id":"https://openalex.org/keywords/stock-market","display_name":"Stock market","score":0.5498195290565491},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.502251148223877},{"id":"https://openalex.org/keywords/linear-model","display_name":"Linear model","score":0.4817757308483124},{"id":"https://openalex.org/keywords/stock","display_name":"Stock (firearms)","score":0.45014268159866333},{"id":"https://openalex.org/keywords/stock-exchange","display_name":"Stock exchange","score":0.4482444226741791},{"id":"https://openalex.org/keywords/statistical-hypothesis-testing","display_name":"Statistical hypothesis testing","score":0.44054847955703735},{"id":"https://openalex.org/keywords/volume-weighted-average-price","display_name":"Volume-weighted average price","score":0.4125474989414215},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.3393951654434204},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.31783202290534973},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.22118255496025085},{"id":"https://openalex.org/keywords/market-maker","display_name":"Market maker","score":0.21648043394088745},{"id":"https://openalex.org/keywords/alternative-trading-system","display_name":"Alternative trading system","score":0.20595702528953552},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.17301130294799805},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.15354791283607483},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.09686791896820068}],"concepts":[{"id":"https://openalex.org/C125112378","wikidata":"https://www.wikidata.org/wiki/Q176640","display_name":"Randomness","level":2,"score":0.7966156005859375},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6567819118499756},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.5880507826805115},{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.5808789730072021},{"id":"https://openalex.org/C158876240","wikidata":"https://www.wikidata.org/wiki/Q17105131","display_name":"Pairs trade","level":4,"score":0.5757920742034912},{"id":"https://openalex.org/C78508483","wikidata":"https://www.wikidata.org/wiki/Q139445","display_name":"Algorithmic trading","level":2,"score":0.5671293139457703},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.5498195290565491},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.502251148223877},{"id":"https://openalex.org/C163175372","wikidata":"https://www.wikidata.org/wiki/Q3339222","display_name":"Linear model","level":2,"score":0.4817757308483124},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.45014268159866333},{"id":"https://openalex.org/C200870193","wikidata":"https://www.wikidata.org/wiki/Q11691","display_name":"Stock exchange","level":2,"score":0.4482444226741791},{"id":"https://openalex.org/C87007009","wikidata":"https://www.wikidata.org/wiki/Q210832","display_name":"Statistical hypothesis testing","level":2,"score":0.44054847955703735},{"id":"https://openalex.org/C115392374","wikidata":"https://www.wikidata.org/wiki/Q7940823","display_name":"Volume-weighted average price","level":5,"score":0.4125474989414215},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3393951654434204},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.31783202290534973},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.22118255496025085},{"id":"https://openalex.org/C18991353","wikidata":"https://www.wikidata.org/wiki/Q1137319","display_name":"Market maker","level":4,"score":0.21648043394088745},{"id":"https://openalex.org/C172428447","wikidata":"https://www.wikidata.org/wiki/Q438711","display_name":"Alternative trading system","level":3,"score":0.20595702528953552},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.17301130294799805},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.15354791283607483},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.09686791896820068},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1109/icca.2011.6137897","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icca.2011.6137897","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2011 9th IEEE International Conference on Control and Automation (ICCA)","raw_type":"proceedings-article"},{"id":"pmh:oai:scholarbank.nus.edu.sg:10635/70804","is_oa":false,"landing_page_url":"http://scholarbank.nus.edu.sg/handle/10635/70804","pdf_url":null,"source":{"id":"https://openalex.org/S7407052290","display_name":"National University of Singapore","issn_l":null,"issn":[],"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Scopus","raw_type":"Conference Paper"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.4699999988079071,"display_name":"Life in Land","id":"https://metadata.un.org/sdg/15"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":11,"referenced_works":["https://openalex.org/W1564933795","https://openalex.org/W1984906465","https://openalex.org/W1985930470","https://openalex.org/W2049731335","https://openalex.org/W2080562691","https://openalex.org/W2129301527","https://openalex.org/W2133535658","https://openalex.org/W2911964244","https://openalex.org/W2912934387","https://openalex.org/W4211209051","https://openalex.org/W4212883601"],"related_works":["https://openalex.org/W4400426774","https://openalex.org/W4385489135","https://openalex.org/W4399587225","https://openalex.org/W3195402399","https://openalex.org/W4300619693","https://openalex.org/W2988746083","https://openalex.org/W3209680969","https://openalex.org/W2392556764","https://openalex.org/W1863543693","https://openalex.org/W880995879"],"abstract_inverted_index":{"This":[0],"paper":[1],"presents":[2],"various":[3],"trading":[4,44,51,100,173,233],"models":[5,36,101,136,177],"for":[6],"the":[7,22,39,74,83,106,119,127,143,158,162,176,205,209,213,219,231,243],"stock":[8,32,151],"market":[9,40,84,148],"and":[10,59,73,169,180,192,199,215],"test":[11],"whether":[12],"they":[13,170],"are":[14,102,137,166,178,202,235],"able":[15,236],"to":[16,42,82,125,146,207,237],"consistently":[17],"generate":[18,238],"excess":[19,239],"returns":[20,240],"from":[21],"Singapore":[23],"Exchange":[24],"(SGX).":[25],"Instead":[26],"of":[27,30,57,65,95,212],"conventional":[28],"ways":[29],"modeling":[31],"prices,":[33],"we":[34,61],"construct":[35],"which":[37,109,123],"relate":[38],"indicators":[41],"a":[43,49,54,87,92,222],"decision":[45,159],"directly.":[46],"Furthermore,":[47],"unlike":[48],"reversal":[50],"system":[52,56],"or":[53,70,97],"binary":[55],"buy":[58,96],"sell,":[60],"allow":[62],"three":[63],"modes":[64],"trades,":[66],"namely,":[67],"buy,":[68],"sell":[69],"stand":[71],"by,":[72],"stand-by":[75],"case":[76],"is":[77,224],"important":[78],"as":[79,115,117,196],"it":[80],"caters":[81],"conditions":[85],"where":[86],"model":[88,223],"does":[89],"not":[90],"produce":[91],"strong":[93],"signal":[94],"sell.":[98],"Linear":[99],"first":[103],"developed":[104],"with":[105,118,131,161,218,242],"scoring":[107],"technique":[108,122],"weights":[110],"higher":[111],"on":[112,182,186,204],"successful":[113],"indicators,":[114],"well":[116],"Least":[120],"Squares":[121],"tries":[124],"match":[126],"past":[128],"perfect":[129],"trades":[130],"its":[132],"weights.":[133],"The":[134],"linear":[135,198],"then":[138],"made":[139],"adaptive":[140],"by":[141],"using":[142],"forgetting":[144],"factor":[145],"address":[147],"changes.":[149],"Because":[150],"markets":[152],"could":[153],"be":[154],"highly":[155],"nonlinear":[156,172,200],"sometimes,":[157],"trees":[160],"Random":[163],"Forest":[164],"method":[165],"finally":[167],"employed":[168],"form":[171],"models.":[174],"All":[175],"trained":[179],"evaluated":[181],"ten":[183],"stocks":[184],"traded":[185],"SGX":[187],"over":[188],"extended":[189],"time":[190],"periods":[191],"statistical":[193,210],"tests":[194],"such":[195],"randomness,":[197],"correlations":[201],"conducted":[203],"data":[206],"check":[208],"significance":[211],"inputs":[214],"their":[216],"relation":[217],"output":[220],"before":[221],"trained.":[225],"Our":[226],"empirical":[227],"results":[228],"show":[229],"that":[230],"proposed":[232],"methods":[234],"compared":[241],"buy-and-hold":[244],"strategy.":[245]},"counts_by_year":[{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":2}],"updated_date":"2026-03-25T13:04:00.132906","created_date":"2025-10-10T00:00:00"}