Lv Pin, Wu Qinjuan, Xu Jia, Shu Yating
School of Computer, Electronics and Information, Guangxi University, Nanning 530004, China.
Entropy (Basel). 2022 Jan 19;24(2):146. doi: 10.3390/e24020146.
The stock index is an important indicator to measure stock market fluctuation, with a guiding role for investors' decision-making, thus being the object of much research. However, the stock market is affected by uncertainty and volatility, making accurate prediction a challenging task. We propose a new stock index forecasting model based on time series decomposition and a hybrid model. Complete Ensemble Empirical Mode Decomposition with Adaptive Noise (CEEMDAN) decomposes the stock index into a series of Intrinsic Mode Functions (IMFs) with different feature scales and trend term. The Augmented Dickey Fuller (ADF) method judges the stability of each IMFs and trend term. The Autoregressive Moving Average (ARMA) model is used on stationary time series, and a Long Short-Term Memory (LSTM) model extracts abstract features of unstable time series. The predicted results of each time sequence are reconstructed to obtain the final predicted value. Experiments are conducted on four stock index time series, and the results show that the prediction of the proposed model is closer to the real value than that of seven reference models, and has a good quantitative investment reference value.
股票指数是衡量股票市场波动的重要指标,对投资者决策具有指导作用,因而成为众多研究的对象。然而,股票市场受不确定性和波动性影响,使得准确预测成为一项具有挑战性的任务。我们提出一种基于时间序列分解和混合模型的新型股票指数预测模型。具有自适应噪声的完备总体经验模态分解(CEEMDAN)将股票指数分解为一系列具有不同特征尺度的本征模态函数(IMF)和趋势项。增广迪基-富勒(ADF)方法判断各IMF和趋势项的稳定性。自回归移动平均(ARMA)模型用于平稳时间序列,长短期记忆(LSTM)模型提取非平稳时间序列的抽象特征。对各时间序列的预测结果进行重构以获得最终预测值。对四个股票指数时间序列进行了实验,结果表明,所提模型的预测结果比七个参考模型更接近真实值,具有良好的量化投资参考价值。