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A Hybrid EMD-ANN Model for Stock
Price Prediction
B
Dhanya Jothimani( ) , Ravi Shankar, and Surendra S. Yadav
Department of Management Studies, Indian Institute of Technology Delhi,
New Delhi, India
dhanyajothimani@
Abstract. Financial time series such as foreign exchange rate and stock
index, in general, exhibit non-linear and non-stationary behavior. Sta-
tistical models and machine learning models, often, fail to predict time
series with such behavior. Former models are prone to large statistical
errors. While machine learning models such as Support Vector Machines
(SVM) and Artificial Neural Network (ANN) suffer from the limitations
of overfitting and getting stuck in local minima, etc. In this paper, a
hybrid model integrating the advantages of Empirical Mode Decomposi-
tion (EMD) and ANN is used to predict the short-term forecasts of Nifty
stock index. In first stage, EMD is used to decompose the time series
into a set of subseries, namely, intrinsic mode function (IMF) and residue
component. In the next stage, ANN is used to predict each IMF indepen-
dently along with residue component. The results show that the hybrid
EMD-ANN model outperformed both SVR and ANN models without
decomposition.
Keywords: Hybrid EMD-ANN model · EMD · ANN · SVR · Nifty ·
Time series
1 Introduction
The non-linear and non-stationary behavior of financial time series makes them
difficult to predict. Several statistical and computational intelligent techniques
have been proposed. [1] and [2] have compared and analyzed the role of these
techniques for stoc
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