Multiband Prediction Model for Financial Time Series with Multivariate Empirical Mode Decomposition

作者：Islam Md Rabiul; Rashed Al Mahfuz Md; Ahmad Shamim; Molla Md Khademul Islam^*

来源：Discrete Dynamics in Nature and Society, 2012, 593018.

DOI：10.1155/2012/593018

This paper presents a subband approach to financial time series prediction. Multivariate empirical mode decomposition (MEMD) is employed here for multiband representation of multichannel financial time series together. Autoregressive moving average (ARMA) model is used in prediction of individual subband of any time series data. Then all the predicted subband signals are summed up to obtain the overall prediction. The ARMA model works better for stationary signal. With multiband representation, each subband becomes a band-limited (narrow band) signal and hence better prediction is achieved. The performance of the proposed MEMD-ARMA model is compared with classical EMD, discrete wavelet transform (DWT), and with full band ARMA model in terms of signal-to-noise ratio (SNR) and mean square error (MSE) between the original and predicted time series. The simulation results show that the MEMD-ARMA-based method performs better than the other methods.

• 出版日期2012