Multiband Prediction Model for Financial Time Series with Multivariate Empirical Mode Decomposition
Joint Authors
Molla, Md. Khademul Islam
Ahmad, Shamim
Islam, Md. Rabiul
Rashed-Al-Mahfuz, Md.
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-21, 21 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-05-20
Country of Publication
Egypt
No. of Pages
21
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Islam, Md. Rabiul& Rashed-Al-Mahfuz, Md.& Ahmad, Shamim& Molla, Md. Khademul Islam. 2012. Multiband Prediction Model for Financial Time Series with Multivariate Empirical Mode Decomposition. Discrete Dynamics in Nature and Society،Vol. 2012, no. 2012, pp.1-21.
https://search.emarefa.net/detail/BIM-483492
Modern Language Association (MLA)
Islam, Md. Rabiul…[et al.]. Multiband Prediction Model for Financial Time Series with Multivariate Empirical Mode Decomposition. Discrete Dynamics in Nature and Society No. 2012 (2012), pp.1-21.
https://search.emarefa.net/detail/BIM-483492
American Medical Association (AMA)
Islam, Md. Rabiul& Rashed-Al-Mahfuz, Md.& Ahmad, Shamim& Molla, Md. Khademul Islam. Multiband Prediction Model for Financial Time Series with Multivariate Empirical Mode Decomposition. Discrete Dynamics in Nature and Society. 2012. Vol. 2012, no. 2012, pp.1-21.
https://search.emarefa.net/detail/BIM-483492
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-483492