A novel time-series model based on empirical mode decomposition for forecasting TAIEX

Ching-Hsue Cheng and Liang-Ying Wei

Economic Modelling, 2014, vol. 36, issue C, 136-141

Abstract: Stock price prediction is regarded as a challenging task of the financial time series prediction process. Time series models have successfully solved prediction problems in many domains, including the stock market. Unfortunately, there are two major drawbacks in stock market by time-series model: (1) some models cannot be applied to the datasets that do not follow the statistical assumptions; and (2) most time-series models which use stock data with many noises involutedly (caused by changes in market conditions and environments) would reduce the forecasting performance. For solving the above problems and promoting the forecasting performance of time-series models, this paper proposes a hybrid time-series support vector regression (SVR) model based on empirical mode decomposition (EMD) to forecast stock price for Taiwan stock exchange capitalization weighted stock index (TAIEX). In order to evaluate the forecasting performances, the proposed model is compared with autoregressive (AR) model and SVR model. The experimental results show that the proposed model is superior to the listing models in terms of root mean squared error (RMSE). And the more fluctuation year (2000–2001) occurs, the better accuracy of proposed model will be obtained.

Keywords: Support vector regression (SVR); Empirical mode decomposition (EMD); TAIEX forecasting (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:36:y:2014:i:c:p:136-141

DOI: 10.1016/j.econmod.2013.09.033

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