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

Multiband Prediction Model for Financial Time Series with Multivariate Empirical 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 su...

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Bibliographic Details
Main Authors:	Md. Rabiul Islam, Md. Rashed-Al-Mahfuz, Shamim Ahmad, Md. Khademul Islam Molla
Format:	Article
Language:	English
Published:	Hindawi Limited 2012-01-01
Series:	Discrete Dynamics in Nature and Society
Online Access:	http://dx.doi.org/10.1155/2012/593018

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