Financial Time Series Forecasting Using Empirical Mode Decomposition and Support Vector Regression

Financial Time Series Forecasting Using Empirical Mode Decomposition and Support Vector Regression

We introduce a multistep-ahead forecasting methodology that combines empirical mode decomposition (EMD) and support vector regression (SVR). This methodology is based on the idea that the forecasting task is simplified by using as input for SVR the time series decomposed with EMD. The outcomes of th...

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Bibliographic Details
Main Authors: Noemi Nava, Tiziana Di Matteo, Tomaso Aste
Format: Article
Language:English
Published: MDPI AG 2018-02-01
Series:Risks
Subjects:
empirical mode decomposition
support vector regression
forecasting
Online Access:http://www.mdpi.com/2227-9091/6/1/7

Internet

http://www.mdpi.com/2227-9091/6/1/7

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