Hu, Yinan; Trafalis, Theodore B. - In: International Journal of Financial Markets and Derivatives 2 (2011) 1/2, pp. 106-120
Natural gas prices show a non-linear, non-stationary, and time variant behaviour. In this study, we build a regression function for daily natural gas prices using ε-SVR and v-SVR and experiment with different kernels. We compare the proposed methods with artificial neural networks, RBF networks...