Bias effect on predicting market trends with EMD.

Registro completo de metadados
MetadadosDescriçãoIdioma
Autor(es): dc.creatorFurlaneto, Dennis Carnelossi-
Autor(es): dc.creatorOliveira, Luiz S.-
Autor(es): dc.creatorMenotti, David-
Autor(es): dc.creatorCavalcanti, George Darmiton da Cunha-
Data de aceite: dc.date.accessioned2025-08-21T15:31:25Z-
Data de disponibilização: dc.date.available2025-08-21T15:31:25Z-
Data de envio: dc.date.issued2018-01-24-
Data de envio: dc.date.issued2018-01-24-
Data de envio: dc.date.issued2017-
Fonte completa do material: dc.identifierhttp://www.repositorio.ufop.br/handle/123456789/9334-
Fonte completa do material: dc.identifierhttp://www.sciencedirect.com/science/article/pii/S0957417417302087-
Fonte completa do material: dc.identifierhttps://doi.org/10.1016/j.eswa.2017.03.053-
Fonte: dc.identifier.urihttp://educapes.capes.gov.br/handle/capes/1017359-
Descrição: dc.descriptionFinancial time series are notoriously difficult to analyze and predict, given their non-stationary, highly oscillatory nature. In this study, we evaluate the effectiveness of the Ensemble Empirical Mode Decom- position (EEMD), the ensemble version of Empirical Mode Decomposition (EMD), at generating a rep- resentation for market indexes that improves trend prediction. Our results suggest that the promising results reported using EEMD on financial time series were obtained by inadvertently adding look-ahead bias to the testing protocol via pre-processing the entire series with EMD, which affects predictive re- sults. In contrast to conclusions found in the literature, our results indicate that the application of EMD and EEMD with the objective of generating a better representation for financial time series is not suffi- cient to improve the accuracy or cumulative return obtained by the models used in this study.-
Formato: dc.formatapplication/pdf-
Idioma: dc.languageen-
Direitos: dc.rightsrestrito-
Palavras-chave: dc.subjectFinance-
Palavras-chave: dc.subjectTime series-
Palavras-chave: dc.subjectMachine learning-
Palavras-chave: dc.subjectTrend prediction-
Título: dc.titleBias effect on predicting market trends with EMD.-
Aparece nas coleções:Repositório Institucional - UFOP

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