Trend Extraction using Empirical Mode Decomposition and statistical Empirical Mode Decomposition Case Study: Kuala Lumpur stock market

摘要

Two nonparametric methods for prediction and modeling of financial time series signals are proposed. The proposed techniques are designed to handle non-stationary and non-linearity behave and to extract meaningful signals for reliable prediction. Due to Fourier Transform (FT), the methods select significant decomposed signals that will be employed for signal prediction. The proposed techniques developed by coupling Holt-winter method with Empirical Mode Decomposition (EMD) and it is Extending the scope of empirical mode decomposition by smoothing (SEMD). To show performance of proposed techniques, we analyze daily closed price of Kuala Lumpur stock market index.