APPLICATION OF EMPIRICAL MODE DECOMPOSITION COMBINED WITH k-NEAREST NEIGHBORS APPROACH IN FINANCIAL TIME SERIES FORECASTING

作者：Lin, Aijing^*; Shang, Pengjian; Feng, Guochen; Zhong, Bo

来源：Fluctuation and Noise Letters, 2012, 11(2): 1250018.

DOI：10.1142/S0219477512500186

• k-nearest neighbors (KNN)
• empirical mode decomposition (EMD)
• EMD-KNN
• intrinsic mode functions (IMFs)
• nonparametric method
• forecasting
• closing prices

The purpose of this paper is to forecast the daily closing prices of stock markets based on the past sequences. In this paper, keeping in mind the recent trends and the limitations of previous researches, we proposed a new technique, called empirical mode decomposition combined with k-nearest neighbors (EMD-KNN) method, in forecasting the stock index. EMD-KNN takes the advantages of the KNN and EMD. To demonstrate that our EMD-KNN method is robust, we used the new technique to forecast four stock index time series at a specific time. Detailed experiments are implemented for both of the proposed forecasting models, in which EMD-KNN, KNN method and ARIMA are compared. The results demonstrate that the proposed EMD-KNN model is more successful than KNN method and ARIMA in predicting the stock closing prices.

• 出版日期2012-6
• 单位北京交通大学