Financial time series forecasting model based on CEEMDAN and LSTM

• Published in: Physica A Vol. 519; pp. 127 - 139
• Main Authors: Cao, Jian, Li, Zhi, Li, Jian
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.04.2019
• Subjects: CEEMDAN-LSTM prediction; EMD-LSTM prediction; Financial time series forecasting; EMD-LSTM prediction; Financial time series forecasting; CEEMDAN-LSTM prediction

In order to improve the accuracy of the stock market prices forecasting, two hybrid forecasting models are proposed in this paper which combine the two kinds of empirical mode decomposition (EMD) with the long short-term memory (LSTM). The financial time series is a kind of non-linear and non-statio...