Bias effect on predicting market trends with EMD

作者：

Highlights：

• Ensemble Empirical Mode Decomposition is used for trend prediction of market indexes.

• Using EMD as a pre-processing step is shown to add look-ahead bias.

• We designed a protocol that eliminates look-ahead bias.

• 8 market indexes and 4 different models were tested as part of the study.

• In contrast with published results, EEMD did not prove to be advantageous in general.

摘要

•Ensemble Empirical Mode Decomposition is used for trend prediction of market indexes.•Using EMD as a pre-processing step is shown to add look-ahead bias.•We designed a protocol that eliminates look-ahead bias.•8 market indexes and 4 different models were tested as part of the study.•In contrast with published results, EEMD did not prove to be advantageous in general.

论文关键词：Finance,Time series,EEMD,Trend prediction,Machine learning

论文评审过程：Received 27 December 2016, Revised 23 March 2017, Accepted 24 March 2017, Available online 25 March 2017, Version of Record 7 April 2017.

论文官网地址：https://doi.org/10.1016/j.eswa.2017.03.053