Application of Empirical Mode Decomposition with Local Linear Quantile Regression in Financial Time Series Forecasting
This paper mainly forecasts the daily closing price of stockmarkets.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, EMDLLQ, to forecast two stock index time series. Detail...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Hindawi Publishing Corporation
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| Online Access: | http://eprints.usm.my/38348/1/Application_of_Empirical_Mode_Decomposition_with_Local_Linear_Quantile_Regression_in.pdf |
| _version_ | 1825833835176132608 |
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| author | M. Jaber, Abobaker Ismail, Mohd Tahir M. Altaher, Alsaidi |
| author_facet | M. Jaber, Abobaker Ismail, Mohd Tahir M. Altaher, Alsaidi |
| author_sort | M. Jaber, Abobaker |
| collection | USM |
| description | This paper mainly forecasts the daily closing price of stockmarkets.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, EMDLLQ,
to forecast two stock index time series. Detailed experiments are implemented for the proposedmethod, in which EMD-LPQ,
EMD, andHolt-Winter methods are compared.The proposed EMD-LPQ model is determined to be superior to the EMDandHolt-
Winter methods in predicting the stock closing prices. |
| first_indexed | 2024-03-06T15:13:45Z |
| format | Article |
| id | usm.eprints-38348 |
| institution | Universiti Sains Malaysia |
| language | English |
| last_indexed | 2024-03-06T15:13:45Z |
| publisher | Hindawi Publishing Corporation |
| record_format | dspace |
| spelling | usm.eprints-383482018-01-11T07:57:36Z http://eprints.usm.my/38348/ Application of Empirical Mode Decomposition with Local Linear Quantile Regression in Financial Time Series Forecasting M. Jaber, Abobaker Ismail, Mohd Tahir M. Altaher, Alsaidi QA1-939 Mathematics This paper mainly forecasts the daily closing price of stockmarkets.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, EMDLLQ, to forecast two stock index time series. Detailed experiments are implemented for the proposedmethod, in which EMD-LPQ, EMD, andHolt-Winter methods are compared.The proposed EMD-LPQ model is determined to be superior to the EMDandHolt- Winter methods in predicting the stock closing prices. Hindawi Publishing Corporation Article PeerReviewed application/pdf en http://eprints.usm.my/38348/1/Application_of_Empirical_Mode_Decomposition_with_Local_Linear_Quantile_Regression_in.pdf M. Jaber, Abobaker and Ismail, Mohd Tahir and M. Altaher, Alsaidi Application of Empirical Mode Decomposition with Local Linear Quantile Regression in Financial Time Series Forecasting. Scientific World Journal, 2014 (708918). pp. 1-5. ISSN 2356-6140 http://dx.doi.org/10.1155/2014/708918 |
| spellingShingle | QA1-939 Mathematics M. Jaber, Abobaker Ismail, Mohd Tahir M. Altaher, Alsaidi Application of Empirical Mode Decomposition with Local Linear Quantile Regression in Financial Time Series Forecasting |
| title | Application of Empirical Mode Decomposition with Local Linear
Quantile Regression in Financial Time Series Forecasting |
| title_full | Application of Empirical Mode Decomposition with Local Linear
Quantile Regression in Financial Time Series Forecasting |
| title_fullStr | Application of Empirical Mode Decomposition with Local Linear
Quantile Regression in Financial Time Series Forecasting |
| title_full_unstemmed | Application of Empirical Mode Decomposition with Local Linear
Quantile Regression in Financial Time Series Forecasting |
| title_short | Application of Empirical Mode Decomposition with Local Linear
Quantile Regression in Financial Time Series Forecasting |
| title_sort | application of empirical mode decomposition with local linear quantile regression in financial time series forecasting |
| topic | QA1-939 Mathematics |
| url | http://eprints.usm.my/38348/1/Application_of_Empirical_Mode_Decomposition_with_Local_Linear_Quantile_Regression_in.pdf |
| work_keys_str_mv | AT mjaberabobaker applicationofempiricalmodedecompositionwithlocallinearquantileregressioninfinancialtimeseriesforecasting AT ismailmohdtahir applicationofempiricalmodedecompositionwithlocallinearquantileregressioninfinancialtimeseriesforecasting AT maltaheralsaidi applicationofempiricalmodedecompositionwithlocallinearquantileregressioninfinancialtimeseriesforecasting |