Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning

Tim Leung and Theodore Zhao

Papers from arXiv.org

Abstract: We present the method of complementary ensemble empirical mode decomposition (CEEMD) and Hilbert-Huang transform (HHT) for analyzing nonstationary financial time series. This noise-assisted approach decomposes any time series into a number of intrinsic mode functions, along with the corresponding instantaneous amplitudes and instantaneous frequencies. Different combinations of modes allow us to reconstruct the time series using components of different timescales. We then apply Hilbert spectral analysis to define and compute the associated instantaneous energy-frequency spectrum to illustrate the properties of various timescales embedded in the original time series. Using HHT, we generate a collection of new features and integrate them into machine learning models, such as regression tree ensemble, support vector machine (SVM), and long short-term memory (LSTM) neural network. Using empirical financial data, we compare several HHT-enhanced machine learning models in terms of forecasting performance.

Date: 2021-05
New Economics Papers: this item is included in nep-big, nep-cmp and nep-for
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Citations: View citations in EconPapers (5)

Published in Appl Stochastic Models Bus Ind. 2021; 1 - 24

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2105.10871

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