scholarly journals EMPIRICAL MODE DECOMPOSITION BASED ON THETA METHOD FOR FORECASTING DAILY STOCK PRICE

2020 ◽  
Vol 19 (Number 4) ◽  
pp. 533-558
Author(s):  
Mohammad Raquibul Hossain ◽  
Mohd Tahir Ismail
Keyword(s):  
Time Series ◽  
Empirical Mode Decomposition ◽  
Stock Price ◽  
Time Series Data ◽  
Stock Exchange ◽  
Training Data ◽  
Series Data ◽  
Intrinsic Mode Functions ◽  
Mode Decomposition ◽  
Theta Method

Forecasting is a challenging task as time series data exhibit many features that cannot be captured by a single model. Therefore, many researchers have proposed various hybrid models in order to accommodate these features to improve forecasting results. This work proposed a hybrid method between Empirical Mode Decomposition (EMD) and Theta methods by considering better forecasting potentiality. Both EMD and Theta are efficient methods in their own ground of tasks for decomposition and forecasting, respectively. Combining them to obtain a better synergic outcome deserves consideration. EMD decomposed the training data from each of the five Financial Times Stock Exchange 100 Index (FTSE 100 Index) companies’ stock price time series data into Intrinsic Mode Functions (IMF) and residue. Then, the Theta method forecasted each decomposed subseries. Considering different forecast horizons, the effectiveness of this hybridisation was evaluated through values of conventional error measures found for test data and forecast data, which were obtained by adding forecast results for all component counterparts extracted from the EMD process. This study found that the proposed method produced better forecast accuracy than the other three classic methods and the hybrid EMD-ARIMA models.

PERAMALAN INDEKS HARGA SAHAM MENGGUNAKAN ENSEMBLE EMPIRICAL MODE DECOMPOSITION (EEMD)

2021 ◽  
Vol 10 (2) ◽  
pp. 211-220
Author(s):  
Rosinar Siregar ◽  
Rukun Santoso ◽  
Puspita Kartikasari
Keyword(s):  
Time Series ◽  
Empirical Mode Decomposition ◽  
Stock Price ◽  
Price Index ◽  
Time Series Data ◽  
Ensemble Empirical Mode Decomposition ◽  
Series Data ◽  
Polynomial Trend ◽  
Mode Decomposition ◽  
The Future

 Stock price fluctuations make investors tend to hesitate to invest in stock markets because of an uncertain situation in the future. One method that can solve these problems is to use forecasting about the stock prices in the future. Generally, the huge size of data non linear and non stationary, and it is difficult to be interpreted in concrete. This problem can be solved by performing the decomposition process. One of decomposition method in time series data is Ensemble Empirical Mode Decomposition (EEMD). EEMD is process decomposition data into several Intrinsic Mode Function (IMF) and the IMF residue. In this research, this concept applied to data Stock Price Index in Property, Real Estate, and Construction from July 1, 2019 to July 30, 2020 as many as 272 data. Based on the results of data processing, as many as 6 IMF and IMF remaining were used as IMF forecasting and the IMF remaining in the future. The forecast was performed by choosing the best model of each IMF component and IMF remaining, used ARIMA and polynomial trend. Keywords: Time Series Data, Stock Price Index, EEMD, ARIMA, Polynomial Trend.

Ensemble Empirical Mode Decomposition Based Deep Learning Model for Short-Term Wind Power Forecasting

2022 ◽  
Author(s):  
J.M. González-Sopeña
Keyword(s):  
Deep Learning ◽  
Wind Power ◽  
Empirical Mode Decomposition ◽  
Time Series Data ◽  
Ensemble Empirical Mode Decomposition ◽  
Series Data ◽  
Intrinsic Mode Functions ◽  
Wind Power Forecasting ◽  
Mode Decomposition ◽  
Power Forecasting

Abstract. In the last few years, wind power forecasting has established itself as an essential tool in the energy industry due to the increase of wind power penetration in the electric grid. This paper presents a wind power forecasting method based on ensemble empirical mode decomposition (EEMD) and deep learning. EEMD is employed to decompose wind power time series data into several intrinsic mode functions and a residual component. Afterwards, every intrinsic mode function is trained by means of a CNN-LSTM architecture. Finally, wind power forecast is obtained by adding the prediction of every component. Compared to the benchmark model, the proposed approach provides more accurate predictions for several time horizons. Furthermore, prediction intervals are modelled using quantile regression.

scholarly journals A Predictive Meta Model for Forecasting Stock Price using Time Series Data

2021 ◽  
Vol 10 (1) ◽  
pp. 345-356
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Stock Price ◽  
Time Series Data ◽  
Stock Exchange ◽  
Series Data ◽  
Meta Model ◽  
Price Range ◽  
Stock Traders ◽  
The Right

Stock market prediction through time series is a challenging as well as an interesting research areafor the finance domain, through which stock traders and investors can find the right time to buy/sell stocks. However, various algorithms have been developed based on the statistical approach to forecast the time series for stock data, but due to the volatile nature and different price ranges of the stock price one particular algorithm is not enough to visualize the prediction. This study aims to propose a model that will choose the preeminent algorithm for that particular company’s stock that can forecastthe time series with minimal error. This model can assist a trader/investor with or without expertise in the stock market to achieve profitable investments. We have used the Stock data from Stock Exchange Bangladesh, which covers 300+ companies to train and test our system. We have classified those companies based on the stock price range and then applied our model to identify which algorithm suites most for a particular range of stock price. Comparative forecasting results of all algorithms in diverse price ranges have been presented to show the usefulness of this Predictive Meta Model

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

2012 ◽  
Vol 2012 ◽  
pp. 1-21 ◽  
Author(s):  
Md. Rabiul Islam ◽  
Md. Rashed-Al-Mahfuz ◽  
Shamim Ahmad ◽  
Md. Khademul Islam Molla
Keyword(s):  
Time Series ◽  
Empirical Mode Decomposition ◽  
Time Series Data ◽  
Financial Time Series ◽  
Arma Model ◽  
Series Data ◽  
Discrete Wavelet ◽  
Multivariate Empirical Mode Decomposition ◽  
Financial Time ◽  
Mode Decomposition

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.

scholarly journals Empirical Mode Decomposition Combined with Local Linear Quantile Regression for Automatic Boundary Correction

2014 ◽  
Vol 2014 ◽  
pp. 1-8 ◽  
Author(s):  
Abobaker M. Jaber ◽  
Mohd Tahir Ismail ◽  
Alssaidi M. Altaher
Keyword(s):  
Time Series ◽  
Quantile Regression ◽  
Empirical Mode Decomposition ◽  
Time Series Data ◽  
Series Data ◽  
Second Stage ◽  
Mode Decomposition ◽  
Partial Data ◽  
Final Estimate ◽  
Practical Performance

Empirical mode decomposition (EMD) is particularly useful in analyzing nonstationary and nonlinear time series. However, only partial data within boundaries are available because of the bounded support of the underlying time series. Consequently, the application of EMD to finite time series data results in large biases at the edges by increasing the bias and creating artificial wiggles. This study introduces a new two-stage method to automatically decrease the boundary effects present in EMD. At the first stage, local polynomial quantile regression (LLQ) is applied to provide an efficient description of the corrupted and noisy data. The remaining series is assumed to be hidden in the residuals. Hence, EMD is applied to the residuals at the second stage. The final estimate is the summation of the fitting estimates from LLQ and EMD. Simulation was conducted to assess the practical performance of the proposed method. Results show that the proposed method is superior to classical EMD.

A Hybrid Wind Speed Prediction Approach Based on Ensemble Empirical Mode Decomposition and BO-LSTM Neural Networks for Digital Twin

2020 ◽  
Author(s):  
Weifei Hu ◽  
Yihan He ◽  
Zhenyu Liu ◽  
Jianrong Tan ◽  
Ming Yang ◽  
...  
Keyword(s):  
Neural Networks ◽  
Time Series ◽  
Wind Speed ◽  
Empirical Mode Decomposition ◽  
Time Series Data ◽  
Time Series Prediction ◽  
Ensemble Empirical Mode Decomposition ◽  
Series Data ◽  
Digital Twin ◽  
Mode Decomposition

Abstract Precise time series prediction serves as an important role in constructing a Digital Twin (DT). The various internal and external interferences result in highly non-linear and stochastic time series data sampled from real situations. Although artificial Neural Networks (ANNs) are often used to forecast time series for their strong self-learning and nonlinear fitting capabilities, it is a challenging and time-consuming task to obtain the optimal ANN architecture. This paper proposes a hybrid time series prediction model based on ensemble empirical mode decomposition (EEMD), long short-term memory (LSTM) neural networks, and Bayesian optimization (BO). To improve the predictability of stochastic and nonstationary time series, the EEMD method is implemented to decompose the original time series into several components, each of which is composed of single-frequency and stationary signal, and a residual signal. The decomposed signals are used to train the BO-LSTM neural networks, in which the hyper-parameters of the LSTM neural networks are fine-tuned by the BO algorithm. The following time series data are predicted by summating all the predictions of the decomposed signals based on the trained neural networks. To evaluate the performance of the proposed hybrid method (EEMD-BO-LSTM), this paper conducts a case study of wind speed time series prediction and has a comprehensive comparison between the proposed method and other approaches including the persistence model, ARIMA, LSTM neural networks, B0-LSTM neural networks, and EEMD-LSTM neural networks. Results show an improved prediction accuracy using the EEMD-BO-LSTM method by multiple accuracy metrics.

scholarly journals Empirical mode decomposition analysis of climate changes with special reference to rainfall data

2006 ◽  
Vol 2006 ◽  
pp. 1-17 ◽  
Author(s):  
Md. Khademul Islam Molla ◽  
M. Sayedur Rahman ◽  
Akimasa Sumi ◽  
Pabitra Banik
Keyword(s):  
Empirical Mode Decomposition ◽  
Time Series Data ◽  
Decomposition Analysis ◽  
Series Data ◽  
Intrinsic Mode Functions ◽  
Decadal Climate Variability ◽  
Spatial Filters ◽  
Energy Density Distribution ◽  
Mode Decomposition ◽  
Finite Set

We have used empirical mode decomposition (EMD) method, which is especially well fitted for analyzing time-series data representing nonstationary and nonlinear processes. This method could decompose any time-varying data into a finite set of functions called “intrinsic mode functions” (IMFs). The EMD analysis successively extracts the IMFs with the highest local temporal frequencies in a recursive way. The extracted IMFs represent a set of successive low-pass spatial filters based entirely on the properties exhibited by the data. The IMFs are mutually orthogonal and more effective in isolating physical processes of various time scales. The results showed that most of the IMFs have normal distribution. Therefore, the energy density distribution of IMF samples satisfiesχ2-distribution which is statistically significant. This study suggested that the recent global warming along with decadal climate variability contributes not only to the more extreme warm events, but also to more frequent, long lasting drought and flood.

Application of empirical mode decomposition (EMD) filtering at magnetotelluric time-series data

2020 ◽  
Author(s):  
Nugroho Syarif Setiawan ◽  
Amien Widodo ◽  
Wien Lestari ◽  
Firman Syaifuddin ◽  
Ahmad Zarkasyi ◽  
...  
Keyword(s):  
Time Series ◽  
Empirical Mode Decomposition ◽  
Time Series Data ◽  
Series Data ◽  
Mode Decomposition

scholarly journals Analisis Intervesi Fungsi Step Efek Program Tol-Laut Terhadap Pergerakan Harga Saham TMAS.JK

2019 ◽  
Vol 5 (01) ◽  
pp. 47-54
Author(s):  
Wigid Hariadi
Keyword(s):  
Time Series ◽  
Stock Price ◽  
Time Series Data ◽  
Vice President ◽  
Step Function ◽  
Series Data ◽  
Intervention Analysis ◽  
Analysis Model ◽  
External Events ◽  
Port Construction

Abstract. Intervention analysis is used to evaluate the effect of external events on a time series data. Sea-highway program is one of the leading programs Joko Widodo-Jusuf Kalla in presidential election 2014. So the author want to modeling the effect from Sea-highway programs on stock price movement in the shipping sector, TMAS.JK (Pelayaran Tempuran Emas tbk). After analyzing, proven that it has happened intervention on movement of daily stock price TMAS.JK caused by Sea-highway programs. Intervention I, on 11 August 2014, which was efect as a result of the election of the Joko Widodo-Jusuf kalla pair as President and vice President Republic of Indonesia on 22 july 2014. Intervention II, on 10 november 2014, president Joko Widodo speech in APEC about Sea-highway Program, and offering investment in port construction to foreign country. So that the model of time series analysis that right is intervention analysis model multi input step function, where the model is ARIMA (2,1,0), StepI (b=0, s=2, r=1), StepII (b=3, s=0, r=1).  Keywords: Intervention Analysis, Multi Input, Step Function, Sea-highway.    Abstrak. Analisis intervensi digunakan untuk mengevaluasi efek dari peristiwa eksternal pada suatu data time series. Program Tol-Laut merupakan salah satu program unggulan pasangan Joko Widodo-Jusuf Kalla dalam pemilu 2014. sehingga, penulis ingin memodelkan efek dari Program Tol-Laut terhadap pergerakan harga saham dibidang pelayaran, TMAS.JK (Pelayaran Tempuran Emas tbk). Setelah dilakukan analisis data, terbukti bahwa terjadi intervensi pada pergerakan harga saham harian TMAS.JK yang disebabkan oleh efek dari program Tol-Laut. Dimana intervensi I, pada tanggal 11 Agustus 2014, yang diduga sebagai dampak dari terpilihnya pasangan Joko widodo-Jusuf Kalla sebagai presiden dan wakil presiden Republik Indonesia pada tanggal 22 Juli 2014. Intervensi II, pada tanggal 10 November 2014, pidato Presiden Joko Widodo di forum APEC mengenai program  tol  laut, dan  menawarkan investasi dibidang pembangunan pelabuhan  kepada bangsa asing. Sehingga model analisis time series yang tepat adalah model analisis intervensi multi input fungsi step, dimana modelnya adalah ARIMA (2,1,0), StepI (b=0, s=2, r=1), StepII (b=3, s=0, r=1). Kata kunci: Analisis intervensi, Multi Input, fungsi step, Tol-Laut.

Sign in / Sign up

Export Citation Format

Share Document