scholarly journals APPLICATION OF WAVELET REGRESSION WITH LOCAL LINEAR QUANTILE REGRESSION IN FINANCIAL TIME SERIES FORECASTING.

2017 ◽  
Vol 5 (6) ◽  
pp. 1269-1273
Author(s):  
MA Ghazal ◽  
◽  
W Alabeid ◽  
Gh Alshreef. ◽  
◽  
...  
Keyword(s):  
Time Series ◽  
Quantile Regression ◽  
Financial Time Series ◽  
Time Series Forecasting ◽  
Wavelet Regression ◽  
Financial Time ◽  
Local Linear

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

2014 ◽  
Vol 2014 ◽  
pp. 1-5 ◽  
Author(s):  
Abobaker M. Jaber ◽  
Mohd Tahir Ismail ◽  
Alsaidi M. Altaher
Keyword(s):  
Time Series ◽  
Quantile Regression ◽  
Empirical Mode Decomposition ◽  
Financial Time Series ◽  
Stock Index ◽  
Financial Time ◽  
Local Linear ◽  
Mode Decomposition ◽  
Closing Price ◽  
Index Time Series

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.

scholarly journals Temporal logistic neural Bag-of-Features for financial time series forecasting leveraging limit order book data

2020 ◽  
Vol 136 ◽  
pp. 183-189 ◽  
Author(s):  
Nikolaos Passalis ◽  
Anastasios Tefas ◽  
Juho Kanniainen ◽  
Moncef Gabbouj ◽  
Alexandros Iosifidis
Keyword(s):  
Time Series ◽  
Financial Time Series ◽  
Limit Order Book ◽  
Time Series Forecasting ◽  
Order Book ◽  
Limit Order ◽  
Bag Of Features ◽  
Financial Time
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