Applying the Hybrid Model of EMD, PSR, and ELM to Exchange Rates Forecasting
详细信息 查看全文
- 作者：Heng-Li Yang ; Han-Chou Lin
- 关键词：Financial time series forecasting ; Empirical mode decomposition ; Intrinsic mode function ; Phase space reconstruction ; Extreme learning machine
- 刊名：Computational Economics
- 出版年：2017
- 出版时间：January 2017
- 年：2017
- 卷：49
- 期：1
- 页码：99-116
- 全文大小：
- 刊物类别：Business and Economics
- 刊物主题：Economic Theory/Quantitative Economics/Mathematical Methods; Computer Appl. in Social and Behavioral Sciences; Operation Research/Decision Theory; Behavioral/Experimental Economics; Math Applications
- 出版者：Springer US
- ISSN：1572-9974
- 卷排序：49
文摘
Financial time series forecasting has been a challenge for time series analysts and researchers because it is noisy, nonstationary and chaotic. To overcome this limitation, this study uses empirical mode decomposition (EMD) and phase space reconstruction (PSR) to assist in the task of financial time series forecasting. In addition, we propose an approach that combines these two data preprocessing methods with extreme learning machine (ELM). The approach contains four steps as follows. (1) EMD is used to decompose the dynamics of the exchange rate time series into several components of intrinsic mode function (IMF) and one residual component. (2) The IMF and residual time series phase space is reconstructed to reveal its unseen dynamics according to the optimum time delay \(\tau \) and embedding dimension m. (3) The reconstructed time series datasets are divided into two datasets: training and testing, in which the training datasets are used to build ELM models. (4) A regression forecast model is set up for each IMF as well as the residual component by using ELM. The final prediction results are obtained by compositing the prediction values. To verify the effectiveness of the proposed approach, four exchange rates are chosen as the forecasting targets. Compared with some existing state-of-the-art models, the proposed approach yields superior results. Academically, we demonstrated the validity and superiority of the proposed approach that integrates EMD, PSR, and ELM. Corporations or individuals can apply the results of this study to acquire accurate exchange rate information and reduce exchange rate expenses.