Financial Time Series Forecasting Using Empirical Mode Decomposition and Support Vector Regression

We introduce a multistep-ahead forecasting methodology that combines empirical mode decomposition (EMD) and support vector regression (SVR). This methodology is based on the idea that the forecasting task is simplified by using as input for SVR the time series decomposed with EMD. The outcomes of th...

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Bibliographic Details
Published in:	Risks
Main Authors:	Noemi Nava, Tiziana Di Matteo, Tomaso Aste
Format:	Article
Language:	English
Published:	MDPI AG 2018-02-01
Subjects:	empirical mode decomposition support vector regression forecasting
Online Access:	http://www.mdpi.com/2227-9091/6/1/7

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