An EPC Forecasting Method for Stock Index Based on Integrating Empirical Mode Decomposition, SVM and Cuckoo Search Algorithm

Li Xiangfei, Zhang Zaisheng and Huang Chao
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Li Xiangfei: School of Management, Tianjin Polytechnic University, Tianjin300387, China
Zhang Zaisheng: College of Management and Economics, Tianjin University, Tianjin300072, China
Huang Chao: School of Accountancy, Shanghai University of Finance and Economics, Shanghai200433, China

Journal of Systems Science and Information, 2014, vol. 2, issue 6, 481-504

Abstract: In order to improve the forecasting accuracy, a hybrid error-correction approach by integrating support vector machine (SVM), empirical mode decomposition (EMD) and the improved cuckoo search algorithm (ICS) was introduced in this study. By using two indexes as examples, the empirical study shows our proposed approach by means of synchronously predict the prediction error which used to correct the preliminary predicted values has better prediction precision than other five competing approaches, furthermore, the improved strategies for cuckoo search algorithm has better performance than other three evolutionary algorithms in parameters selection.

Keywords: error-correction; stock index forecasting; empirical mode decomposition; SVM; cuckoo search algorithm (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:bpj:jossai:v:2:y:2014:i:6:p:481-504:n:1

DOI: 10.1515/JSSI-2014-0481

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