Intelligent forecasting model of stock price using neighborhood rough set and multivariate empirical mode decomposition

Bai, Juncheng; Guo, Jianfeng; Sun, Bingzhen; Guo, Yuqi; Bao, Qi; Xiao, Xuezhang

doi:10.1016/j.engappai.2023.106106

Cited by 17 publications

(1 citation statement)

References 44 publications

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“…Using the combination of preprocessing methods such as empirical mode decomposition (EMD), ensemble empirical mode decomposition (EEMD) and complementary ensemble empirical mode decomposition (CEEMD) were applied in many researches to improve the forecasting precision of the stock market prediction (Zhang et al, 2020;Jun et al, 2017). Bai et al (2023) proposed a hybrid model for stock price prediction using the combination of neighborhood rough set and multivariate empirical mode decomposition (MEMD). The authors applied the MEMD to extract the input features into the LSTM network to train the forecasting model.…”

Section: Literature Review Of Past Workmentioning

confidence: 99%

Futuristic portfolio optimization problem: wavelet based long short-term memory

Abolmakarem,

Abdi,

Khalili-Damghani

et al. 2023

JM2

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Purpose This paper aims to propose an improved version of portfolio optimization model through the prediction of the future behavior of stock returns using a combined wavelet-based long short-term memory (LSTM). Design/methodology/approach First, data are gathered and divided into two parts, namely, “past data” and “real data.” In the second stage, the wavelet transform is proposed to decompose the stock closing price time series into a set of coefficients. The derived coefficients are taken as an input to the LSTM model to predict the stock closing price time series and the “future data” is created. In the third stage, the mean-variance portfolio optimization problem (MVPOP) has iteratively been run using the “past,” “future” and “real” data sets. The epsilon-constraint method is adapted to generate the Pareto front for all three runes of MVPOP. Findings The real daily stock closing price time series of six stocks from the FTSE 100 between January 1, 2000, and December 30, 2020, is used to check the applicability and efficacy of the proposed approach. The comparisons of “future,” “past” and “real” Pareto fronts showed that the “future” Pareto front is closer to the “real” Pareto front. This demonstrates the efficacy and applicability of proposed approach. Originality/value Most of the classic Markowitz-based portfolio optimization models used past information to estimate the associated parameters of the stocks. This study revealed that the prediction of the future behavior of stock returns using a combined wavelet-based LSTM improved the performance of the portfolio.

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Section: Literature Review Of Past Workmentioning

confidence: 99%