Open Access Open Access  Restricted Access Subscription Access

Forecasting Stock Market Using hybrid EMD-EXP

Ahmad M. Awajan, Mohd Tahir Ismail, S. AL Wadi, Abobaker.M. Jaber, Lubna M. Hamzalouh

Abstract



Forecasting time series recently has attracted considerable attention in the field of analyzing financial time series data specifically stock market index. This considerable attention confined itself in the need of transparent change in the governmental policies whether attracting foreign investment or and economical advancements. In this study, a hybrid methodology between Empirical Mode Decomposition with exponential smoothing method
(EMD-EXP) is applied to improve forecasting performances in financial time series. The strength of this EMD-EXP lies in its ability to predict non-stationary and non-linear time series without need to use any transformation method or differencing of time series data. The daily stock market data of 4 countries are used to show the forecasting performance of the EMD-EXP. Based on the five forecast accuracy functions, the results show that the
EMD-EXP forecasting performance is superior to seven traditional forecasting methods.

Keywords


forecast time series, empirical mode decomposition (EMD), exponential smoothing forecasting (EXP), intrinsic mode function (IMF), seasonal-trend decomposition (STL).

Full Text:

PDF


Disclaimer/Regarding indexing issue:

We have provided the online access of all issues and papers to the indexing agencies (as given on journal web site). It’s depend on indexing agencies when, how and what manner they can index or not. Hence, we like to inform that on the basis of earlier indexing, we can’t predict the today or future indexing policy of third party (i.e. indexing agencies) as they have right to discontinue any journal at any time without prior information to the journal. So, please neither sends any question nor expects any answer from us on the behalf of third party i.e. indexing agencies.Hence, we will not issue any certificate or letter for indexing issue. Our role is just to provide the online access to them. So we do properly this and one can visit indexing agencies website to get the authentic information. Also: DOI is paid service which provided by a third party. We never mentioned that we go for this for our any journal. However, journal have no objection if author go directly for this paid DOI service.