{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T14:45:37Z","timestamp":1740149137544,"version":"3.37.3"},"reference-count":52,"publisher":"Springer Science and Business Media LLC","issue":"3","license":[{"start":{"date-parts":[[2021,6,30]],"date-time":"2021-06-30T00:00:00Z","timestamp":1625011200000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"},{"start":{"date-parts":[[2021,6,30]],"date-time":"2021-06-30T00:00:00Z","timestamp":1625011200000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Oper Res Int J"],"published-print":{"date-parts":[[2022,7]]},"DOI":"10.1007\/s12351-021-00636-3","type":"journal-article","created":{"date-parts":[[2021,6,30]],"date-time":"2021-06-30T18:03:05Z","timestamp":1625076185000},"page":"2859-2878","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["A dimension reduction method for stock-price prediction using multiple predictors"],"prefix":"10.1007","volume":"22","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-8853-0713","authenticated-orcid":false,"given":"Mahsa","family":"Ghorbani","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Edwin K. P.","family":"Chong","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2021,6,30]]},"reference":[{"key":"636_CR1","volume-title":"Market risk analysis, value at risk models","author":"C Alexander","year":"2009","unstructured":"Alexander C (2009) Market risk analysis, value at risk models, vol 4. John Wiley, Hoboken"},{"issue":"519","key":"636_CR2","doi-asserted-by":"publisher","first-page":"1182","DOI":"10.1080\/01621459.2016.1195743","volume":"112","author":"T Ando","year":"2017","unstructured":"Ando T, Bai J (2017) Clustering huge number of financial time series: a panel data approach with high-dimensional predictors and factor structures. J Am Stat Assoc 112(519):1182\u20131198","journal-title":"J Am Stat Assoc"},{"issue":"3","key":"636_CR3","doi-asserted-by":"publisher","first-page":"651","DOI":"10.1093\/rfs\/hhl021","volume":"20","author":"A Ang","year":"2006","unstructured":"Ang A, Bekaert G (2006) Stock return predictability: is it there? Rev Financ Stud 20(3):651\u2013707","journal-title":"Rev Financ Stud"},{"issue":"3","key":"636_CR4","doi-asserted-by":"publisher","first-page":"651","DOI":"10.1093\/rfs\/hhl021","volume":"20","author":"A Ang","year":"2007","unstructured":"Ang A, Bekaert G (2007) Stock return predictability: is it there? Rev Financ Stud 20(3):651\u2013707","journal-title":"Rev Financ Stud"},{"issue":"3","key":"636_CR5","doi-asserted-by":"publisher","first-page":"5932","DOI":"10.1016\/j.eswa.2008.07.006","volume":"36","author":"GS Atsalakis","year":"2009","unstructured":"Atsalakis GS, Valavanis KP (2009) Surveying stock market forecasting techniques-part ii: soft computing methods. Exp Syst Appl 36(3):5932\u20135941","journal-title":"Exp Syst Appl"},{"issue":"1","key":"636_CR6","doi-asserted-by":"publisher","first-page":"120","DOI":"10.1016\/j.asoc.2009.11.003","volume":"11","author":"I Aydin","year":"2011","unstructured":"Aydin I, Karakose M, Akin E (2011) A multi-objective artificial immune algorithm for parameter optimization in support vector machine. Appl Soft Comput 11(1):120\u2013129","journal-title":"Appl Soft Comput"},{"issue":"7","key":"636_CR7","doi-asserted-by":"publisher","first-page":"e0180944","DOI":"10.1371\/journal.pone.0180944","volume":"12","author":"W Bao","year":"2017","unstructured":"Bao W, Yue J, Rao Y (2017) A deep learning framework for financial time series using stacked autoencoders and long-short term memory. PloS One 12(7):e0180944","journal-title":"PloS One"},{"key":"636_CR8","volume-title":"Microphone array signal processing","author":"J Benesty","year":"2008","unstructured":"Benesty J, Chen J, Huang Y (2008) Microphone array signal processing, vol 1. Springer Science & Business Media, Berlin"},{"issue":"3","key":"636_CR9","doi-asserted-by":"publisher","first-page":"793","DOI":"10.1111\/j.1540-6261.1985.tb05004.x","volume":"40","author":"WF Bondt","year":"1985","unstructured":"Bondt WF, Thaler R (1985) Does the stock market overreact? J Finance 40(3):793\u2013805","journal-title":"J Finance"},{"issue":"2","key":"636_CR10","doi-asserted-by":"publisher","first-page":"373","DOI":"10.1016\/0304-405X(87)90045-6","volume":"18","author":"JY Campbell","year":"1987","unstructured":"Campbell JY (1987) Stock returns and the term structure. J Financ Econ 18(2):373\u2013399","journal-title":"J Financ Econ"},{"issue":"4","key":"636_CR11","doi-asserted-by":"publisher","first-page":"1509","DOI":"10.1093\/rfs\/hhm055","volume":"21","author":"JY Campbell","year":"2007","unstructured":"Campbell JY, Thompson SB (2007) Predicting excess stock returns out of sample: can anything beat the historical average? Rev Financ Stud 21(4):1509\u20131531","journal-title":"Rev Financ Stud"},{"issue":"6","key":"636_CR12","doi-asserted-by":"publisher","first-page":"901","DOI":"10.1016\/S0305-0548(02)00037-0","volume":"30","author":"AS Chen","year":"2003","unstructured":"Chen AS, Leung MT, Daouk H (2003a) Application of neural networks to an emerging financial market: forecasting and trading the Taiwan stock index. Computers Op Res 30(6):901\u2013923","journal-title":"Computers Op Res"},{"issue":"4","key":"636_CR13","doi-asserted-by":"publisher","first-page":"1","DOI":"10.1145\/3021380","volume":"7","author":"H Chen","year":"2017","unstructured":"Chen H, Xiao K, Sun J, Wu S (2017) A double-layer neural network framework for high-frequency forecasting. ACM Trans Mana Inf Syst (TMIS) 7(4):1\u201317","journal-title":"ACM Trans Mana Inf Syst (TMIS)"},{"issue":"6","key":"636_CR14","doi-asserted-by":"publisher","first-page":"549","DOI":"10.1109\/TSA.2003.818025","volume":"11","author":"J Chen","year":"2003","unstructured":"Chen J, Benesty J, Huang Y (2003b) Robust time delay estimation exploiting redundancy among multiple microphones. IEEE Trans Speech Audio Process 11(6):549\u2013557","journal-title":"IEEE Trans Speech Audio Process"},{"issue":"1","key":"636_CR15","doi-asserted-by":"publisher","first-page":"111","DOI":"10.1007\/s10700-012-9141-x","volume":"12","author":"X Chen","year":"2013","unstructured":"Chen X, Liu Y, Ralescu DA (2013) Uncertain stock model with periodic dividends. Fuzzy Optim Decis Mak 12(1):111\u2013123","journal-title":"Fuzzy Optim Decis Mak"},{"issue":"3","key":"636_CR16","doi-asserted-by":"publisher","first-page":"529","DOI":"10.2307\/2298010","volume":"58","author":"DM Cutler","year":"1991","unstructured":"Cutler DM, Poterba JM, Summers LH (1991) Speculative dynamics. Rev Econ Stud 58(3):529\u2013546","journal-title":"Rev Econ Stud"},{"issue":"2","key":"636_CR17","first-page":"11","volume":"4","author":"V Eraslan","year":"2013","unstructured":"Eraslan V (2013) Fama and french three-factor model: evidence from istanbul stock exchange. Bus Econ Res J 4(2):11","journal-title":"Bus Econ Res J"},{"issue":"2","key":"636_CR18","doi-asserted-by":"publisher","first-page":"246","DOI":"10.1086\/261535","volume":"96","author":"EF Fama","year":"1988","unstructured":"Fama EF, French KR (1988) Permanent and temporary components of stock prices. J Political Econ 96(2):246\u2013273","journal-title":"J Political Econ"},{"issue":"1","key":"636_CR19","doi-asserted-by":"publisher","first-page":"23","DOI":"10.1016\/0304-405X(89)90095-0","volume":"25","author":"EF Fama","year":"1989","unstructured":"Fama EF, French KR (1989) Business conditions and expected returns on stocks and bonds. J Financ Econ 25(1):23\u201349","journal-title":"J Financ Econ"},{"issue":"1","key":"636_CR20","doi-asserted-by":"publisher","first-page":"3","DOI":"10.1016\/0304-405X(93)90023-5","volume":"33","author":"EF Fama","year":"1993","unstructured":"Fama EF, French KR (1993) Common risk factors in the returns on stocks and bonds. J Financ Econ 33(1):3\u201356","journal-title":"J Financ Econ"},{"issue":"3","key":"636_CR21","doi-asserted-by":"publisher","first-page":"e0230124","DOI":"10.1371\/journal.pone.0230124","volume":"15","author":"M Ghorbani","year":"2020","unstructured":"Ghorbani M, Chong EK (2020) Stock price prediction using principal components. Plos One 15(3):e0230124","journal-title":"Plos One"},{"key":"636_CR22","first-page":"045821","volume":"1","author":"K Hermus","year":"2007","unstructured":"Hermus K, Wambacq P et al (2007) (2006) A review of signal subspace speech enhancement and its application to noise robust speech recognition. EURASIP J Adv Signal Process 1:045821","journal-title":"EURASIP J Adv Signal Process"},{"key":"636_CR23","doi-asserted-by":"publisher","first-page":"1351","DOI":"10.1016\/j.procs.2018.05.050","volume":"132","author":"M Hiransha","year":"2018","unstructured":"Hiransha M, Gopalakrishnan EA, Menon VK, Soman K (2018) Nse stock market prediction using deep-learning models. Proced Computer Sci 132:1351\u20131362","journal-title":"Proced Computer Sci"},{"issue":"3","key":"636_CR24","doi-asserted-by":"publisher","first-page":"357","DOI":"10.1093\/rfs\/5.3.351","volume":"5","author":"RJ Hodrick","year":"1992","unstructured":"Hodrick RJ (1992) Dividend yields and expected stock returns: alternative procedures for inference and measurement. Rev Financ Stud 5(3):357\u2013386","journal-title":"Rev Financ Stud"},{"issue":"6","key":"636_CR25","doi-asserted-by":"publisher","first-page":"417","DOI":"10.1037\/h0071325","volume":"24","author":"H Hotelling","year":"1933","unstructured":"Hotelling H (1933) Analysis of a complex of statistical variables into principal components. J Educ Psychol 24(6):417","journal-title":"J Educ Psychol"},{"issue":"6","key":"636_CR26","doi-asserted-by":"publisher","first-page":"629","DOI":"10.1080\/07408170600897486","volume":"39","author":"H Ince","year":"2007","unstructured":"Ince H, Trafalis TB (2007) Kernel principal component analysis and support vector machines for stock price prediction. IIE Trans 39(6):629\u2013637","journal-title":"IIE Trans"},{"key":"636_CR27","doi-asserted-by":"publisher","first-page":"25","DOI":"10.1016\/j.eswa.2018.03.002","volume":"103","author":"HY Kim","year":"2018","unstructured":"Kim HY, Won CH (2018) Forecasting the volatility of stock price index: a hybrid model integrating lstm with multiple garch-type models. Exp Syst Appl 103:25\u201337","journal-title":"Exp Syst Appl"},{"issue":"1\u20132","key":"636_CR28","doi-asserted-by":"crossref","first-page":"307","DOI":"10.1016\/S0925-2312(03)00372-2","volume":"55","author":"Kim Kj","year":"2003","unstructured":"Kj Kim (2003) Financial time series forecasting using support vector machines. Neurocomputing 55(1\u20132):307\u2013319","journal-title":"Neurocomputing"},{"key":"636_CR29","doi-asserted-by":"crossref","unstructured":"Klein U, V\u00f5 TQ (2012) Direction-of-arrival estimation using a microphone array with the multichannel cross-correlation method. In: 2012 IEEE International symposium on signal processing and information technology (ISSPIT), IEEE, pp. 000251\u2013000256","DOI":"10.1109\/ISSPIT.2012.6621296"},{"key":"636_CR30","doi-asserted-by":"crossref","unstructured":"Kumatani K, McDonough J, Lehman JF, Raj B (2011) Channel selection based on multichannel cross-correlation coefficients for distant speech recognition. In: 2011 Joint workshop on hands-free speech communication and microphone arrays, IEEE, pp. 1\u20136","DOI":"10.1109\/HSCMA.2011.5942398"},{"issue":"5","key":"636_CR31","doi-asserted-by":"publisher","first-page":"1563","DOI":"10.1111\/0022-1082.00065","volume":"53","author":"O Lamont","year":"1998","unstructured":"Lamont O (1998) Earnings and expected returns. J Finance 53(5):1563\u20131587","journal-title":"J Finance"},{"issue":"3","key":"636_CR32","doi-asserted-by":"publisher","first-page":"815","DOI":"10.1111\/0022-1082.00347","volume":"56","author":"M Lettau","year":"2001","unstructured":"Lettau M, Ludvigson S (2001) Consumption, aggregate wealth, and expected stock returns. J Finance 56(3):815\u2013849","journal-title":"J Finance"},{"issue":"12","key":"636_CR33","doi-asserted-by":"publisher","first-page":"1845","DOI":"10.1016\/j.jedc.2012.06.006","volume":"36","author":"M Lof","year":"2012","unstructured":"Lof M (2012) Heterogeneity in stock prices: a star model with multivariate transition function. J Econ Dyn Control 36(12):1845\u20131854","journal-title":"J Econ Dyn Control"},{"issue":"1","key":"636_CR34","doi-asserted-by":"publisher","first-page":"29","DOI":"10.1080\/07474938.2014.977086","volume":"37","author":"S Ohno","year":"2018","unstructured":"Ohno S, Ando T (2018) Stock return predictability: a factor-augmented predictive regression system with shrinkage method. Econom Rev 37(1):29\u201360","journal-title":"Econom Rev"},{"key":"636_CR35","unstructured":"Pafka S, Potters M, Kondor I (2004) Exponential weighting and random-matrix-theory-based filtering of financial covariance matrices for portfolio optimization. arXiv preprint cond-mat\/0402573"},{"issue":"1","key":"636_CR36","doi-asserted-by":"publisher","first-page":"259","DOI":"10.1016\/j.eswa.2014.07.040","volume":"42","author":"J Patel","year":"2015","unstructured":"Patel J, Shah S, Thakkar P, Kotecha K (2015) Predicting stock and stock price index movement using trend deterministic data preparation and machine learning techniques. Exp Syst Appl 42(1):259\u2013268","journal-title":"Exp Syst Appl"},{"key":"636_CR37","doi-asserted-by":"crossref","unstructured":"Powell N, Foo SY, Weatherspoon M (2008) Supervised and unsupervised methods for stock trend forecasting. In: 2008 40th Southeastern symposium on system theory (SSST), IEEE, pp. 203\u2013205","DOI":"10.1109\/SSST.2008.4480220"},{"key":"636_CR38","doi-asserted-by":"publisher","first-page":"290","DOI":"10.1016\/j.resourpol.2016.06.011","volume":"49","author":"N Raza","year":"2016","unstructured":"Raza N, Shahzad SJH, Tiwari AK, Shahbaz M (2016) Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets. Resour Policy 49:290\u2013301","journal-title":"Resour Policy"},{"key":"636_CR39","doi-asserted-by":"publisher","first-page":"68","DOI":"10.3905\/jpm.1984.408980","volume":"11","author":"MS Rozeff","year":"1984","unstructured":"Rozeff MS (1984) Dividend yields are equity risk premiums. J Portf Manag 11:68\u201375","journal-title":"J Portf Manag"},{"issue":"1","key":"636_CR40","doi-asserted-by":"publisher","first-page":"1","DOI":"10.1093\/rfs\/hhj006","volume":"19","author":"T Santos","year":"2006","unstructured":"Santos T, Veronesi P (2006) Labor income and predictable stock returns. Rev Financ Stud 19(1):1\u201344","journal-title":"Rev Financ Stud"},{"key":"636_CR41","volume-title":"Statistical signal processing: detection, estimation, and time series analysis","author":"LL Scharf","year":"1991","unstructured":"Scharf LL, Demeure C (1991) Statistical signal processing: detection, estimation, and time series analysis, vol 63. Addison-Wesley Reading, MA"},{"issue":"2","key":"636_CR42","doi-asserted-by":"publisher","first-page":"26","DOI":"10.3390\/ijfs7020026","volume":"7","author":"D Shah","year":"2019","unstructured":"Shah D, Isah H, Zulkernine F (2019) Stock market analysis: a review and taxonomy of prediction techniques. Int J Financ Stud 7(2):26","journal-title":"Int J Financ Stud"},{"issue":"5","key":"636_CR43","doi-asserted-by":"publisher","first-page":"1541","DOI":"10.1111\/j.1540-6261.1990.tb03727.x","volume":"45","author":"R Shukla","year":"1990","unstructured":"Shukla R, Trzcinka C (1990) Sequential tests of the arbitrage pricing theory: a comparison of principal components and maximum likelihood factors. J Finance 45(5):1541\u20131564","journal-title":"J Finance"},{"issue":"3","key":"636_CR44","first-page":"377","volume":"19","author":"T Sitorus","year":"2017","unstructured":"Sitorus T, Elinarty S (2017) The influence of liquidity and profitability toward the growth at stock price mediated by the dividends paid out (case in banks listed in indonesia stock exchange). J Econ Bus Account Ventura 19(3):377\u2013392","journal-title":"J Econ Bus Account Ventura"},{"issue":"3","key":"636_CR45","doi-asserted-by":"publisher","first-page":"304","DOI":"10.1016\/0261-5606(92)90048-3","volume":"11","author":"MP Taylor","year":"1992","unstructured":"Taylor MP, Allen H (1992) The use of technical analysis in the foreign exchange market. J Int Money Finance 11(3):304\u2013314","journal-title":"J Int Money Finance"},{"issue":"1","key":"636_CR46","doi-asserted-by":"publisher","first-page":"258","DOI":"10.1016\/j.dss.2010.08.028","volume":"50","author":"CF Tsai","year":"2010","unstructured":"Tsai CF, Hsiao YC (2010) Combining multiple feature selection methods for stock prediction: union, intersection, and multi-intersection approaches. Decis Support Syst 50(1):258\u2013269","journal-title":"Decis Support Syst"},{"issue":"6","key":"636_CR47","doi-asserted-by":"publisher","first-page":"684","DOI":"10.1109\/PROC.1982.12367","volume":"70","author":"DW Tufts","year":"1982","unstructured":"Tufts DW, Kumaresan R, Kirsteins I (1982) Data adaptive signal estimation by singular value decomposition of a data matrix. Proc IEEE 70(6):684\u2013685","journal-title":"Proc IEEE"},{"issue":"4","key":"636_CR48","doi-asserted-by":"publisher","first-page":"1596","DOI":"10.1257\/aer.102.4.1596","volume":"102","author":"J Van Binsbergen","year":"2012","unstructured":"Van Binsbergen J, Brandt M, Koijen R (2012) On the timing and pricing of dividends. Am Econ Rev 102(4):1596\u20131618","journal-title":"Am Econ Rev"},{"issue":"4","key":"636_CR49","doi-asserted-by":"publisher","first-page":"1455","DOI":"10.1093\/rfs\/hhm014","volume":"21","author":"I Welch","year":"2008","unstructured":"Welch I, Goyal A (2008) A comprehensive look at the empirical performance of equity premium prediction. Rev Financ Stud 21(4):1455\u20131508","journal-title":"Rev Financ Stud"},{"key":"636_CR50","doi-asserted-by":"publisher","first-page":"243","DOI":"10.1016\/j.procs.2019.11.281","volume":"162","author":"J Xianya","year":"2019","unstructured":"Xianya J, Mo H, Haifeng L (2019) Stock classification prediction based on spark. Proced Computer Sci 162:243\u2013250","journal-title":"Proced Computer Sci"},{"issue":"1\u20134","key":"636_CR51","doi-asserted-by":"publisher","first-page":"79","DOI":"10.1016\/S0925-2312(00)00300-3","volume":"34","author":"J Yao","year":"2000","unstructured":"Yao J, Tan CL (2000) A case study on using neural networks to perform technical forecasting of forex. Neurocomputing 34(1\u20134):79\u201398","journal-title":"Neurocomputing"},{"key":"636_CR52","doi-asserted-by":"publisher","first-page":"126","DOI":"10.1016\/j.eswa.2016.09.027","volume":"67","author":"X Zhong","year":"2017","unstructured":"Zhong X, Enke D (2017) Forecasting daily stock market return using dimensionality reduction. Exp Syst Appl 67:126\u2013139","journal-title":"Exp Syst Appl"}],"container-title":["Operational Research"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s12351-021-00636-3.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/article\/10.1007\/s12351-021-00636-3\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s12351-021-00636-3.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,2,4]],"date-time":"2023-02-04T15:19:29Z","timestamp":1675523969000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/s12351-021-00636-3"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2021,6,30]]},"references-count":52,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2022,7]]}},"alternative-id":["636"],"URL":"https:\/\/doi.org\/10.1007\/s12351-021-00636-3","relation":{},"ISSN":["1109-2858","1866-1505"],"issn-type":[{"type":"print","value":"1109-2858"},{"type":"electronic","value":"1866-1505"}],"subject":[],"published":{"date-parts":[[2021,6,30]]},"assertion":[{"value":"3 June 2020","order":1,"name":"received","label":"Received","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"20 January 2021","order":2,"name":"revised","label":"Revised","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"25 March 2021","order":3,"name":"accepted","label":"Accepted","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"30 June 2021","order":4,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}},{"order":1,"name":"Ethics","group":{"name":"EthicsHeading","label":"Declarations"}},{"value":"The authors declared that they have no conflict of interests.","order":2,"name":"Ethics","group":{"name":"EthicsHeading","label":"Conflict of interest"}}]}}