Chinese Stock Index Futures Price Fluctuation Analysis and Prediction Based on Complementary Ensemble Empirical Mode Decomposition
المؤلفون المشاركون
المصدر
Mathematical Problems in Engineering
العدد
المجلد 2016، العدد 2016 (31 ديسمبر/كانون الأول 2016)، ص ص. 1-13، 13ص.
الناشر
Hindawi Publishing Corporation
تاريخ النشر
2016-08-28
دولة النشر
مصر
عدد الصفحات
13
التخصصات الرئيسية
الملخص EN
Since the CSI 300 index futures officially began trading on April 15, 2010, analysis and predictions of the price fluctuations of Chinese stock index futures prices have become a popular area of active research.
In this paper, the Complementary Ensemble Empirical Mode Decomposition (CEEMD) method is used to decompose the sequences of Chinese stock index futures prices into residue terms, low-frequency terms, and high-frequency terms to reveal the fluctuation characteristics over different time scales of the sequences.
Then, the CEEMD method is combined with the Particle Swarm Optimization (PSO) algorithm-based Support Vector Machine (SVM) model to forecast Chinese stock index futures prices.
The empirical results show that the residue term determines the long-term trend of stock index futures prices.
The low-frequency term, which represents medium-term price fluctuations, is mainly affected by policy regulations under the analysis of the Iterated Cumulative Sums of Squares (ICSS) algorithm, whereas short-term market disequilibrium, which is represented by the high-frequency term, plays an important local role in stock index futures price fluctuations.
In addition, in forecasting the daily or even intraday price data of Chinese stock index futures, the combination prediction model is superior to the single SVM model, which implies that the accuracy of predicting Chinese stock index futures prices will be improved by considering fluctuation characteristics in different time scales.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Chen, Ruoyang& Pan, Bin. 2016. Chinese Stock Index Futures Price Fluctuation Analysis and Prediction Based on Complementary Ensemble Empirical Mode Decomposition. Mathematical Problems in Engineering،Vol. 2016, no. 2016, pp.1-13.
https://search.emarefa.net/detail/BIM-1112086
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Chen, Ruoyang& Pan, Bin. Chinese Stock Index Futures Price Fluctuation Analysis and Prediction Based on Complementary Ensemble Empirical Mode Decomposition. Mathematical Problems in Engineering No. 2016 (2016), pp.1-13.
https://search.emarefa.net/detail/BIM-1112086
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Chen, Ruoyang& Pan, Bin. Chinese Stock Index Futures Price Fluctuation Analysis and Prediction Based on Complementary Ensemble Empirical Mode Decomposition. Mathematical Problems in Engineering. 2016. Vol. 2016, no. 2016, pp.1-13.
https://search.emarefa.net/detail/BIM-1112086
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references
رقم السجل
BIM-1112086
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
تقوم هذه الخدمة بالتحقق من التشابه أو الانتحال في الأبحاث والمقالات العلمية والأطروحات الجامعية والكتب والأبحاث باللغة العربية، وتحديد درجة التشابه أو أصالة الأعمال البحثية وحماية ملكيتها الفكرية. تعرف اكثر