Application of Empirical Mode Decomposition with Local Linear Quantile Regression in Financial Time Series Forecasting

作者：Jaber Abobaker M^*; Ismail Mohd Tahir; Altaher Alsaidi M

来源：The Scientific World Journal, 2014, 2014: 708918.

DOI：10.1155/2014/708918

This paper mainly forecasts the daily closing price of stock markets. We propose a two-stage technique that combines the empirical mode decomposition (EMD) with nonparametric methods of local linear quantile (LLQ). We use the proposed technique, EMD-LLQ, to forecast two stock index time series. Detailed experiments are implemented for the proposed method, in which EMD-LPQ, EMD, and Holt-Winter methods are compared. The proposed EMD-LPQ model is determined to be superior to the EMD and Holt-Winter methods in predicting the stock closing prices.

• 出版日期2014