Application of empirical mode decomposition with local linear quantile regression in financial time series forecasting (Q904624): Difference between revisions
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Revision as of 21:39, 19 March 2024
scientific article
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English | Application of empirical mode decomposition with local linear quantile regression in financial time series forecasting |
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Application of empirical mode decomposition with local linear quantile regression in financial time series forecasting (English)
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13 January 2016
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Summary: This paper mainly forecasts the daily closing price of stock markets. We propose a two-stage technique that combines the empirical mode decomposition (EMD) with nonparametric methods of local linear quantile (LLQ). We use the proposed technique, EMD-LLQ, to forecast two stock index time series. Detailed experiments are implemented for the proposed method, in which EMD-LPQ, EMD, and Holt-Winter methods are compared. The proposed EMD-LPQ model is determined to be superior to the EMD and Holt-Winter methods in predicting the stock closing prices.
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