Bias effect on predicting market trends with EMD.

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dc.contributor.authorFurlaneto, Dennis Carnelossi
dc.contributor.authorOliveira, Luiz S.
dc.contributor.authorMenotti, David
dc.contributor.authorCavalcanti, George Darmiton da Cunha
dc.date.accessioned2018-01-24T16:24:35Z
dc.date.available2018-01-24T16:24:35Z
dc.date.issued2017
dc.description.abstractFinancial 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.pt_BR
dc.identifier.citationFURLANETO, D. C. et al. Bias effect on predicting market trends with EMD. Bias effect on predicting market trends with EMD. Expert Systems With Applications, v. 1, p. 19-26, 2017. Disponível em: <http://www.sciencedirect.com/science/article/pii/S0957417417302087>. Acesso em: 16 jan. 2018.pt_BR
dc.identifier.doihttps://doi.org/10.1016/j.eswa.2017.03.053
dc.identifier.issn 0957-4174
dc.identifier.urihttp://www.repositorio.ufop.br/handle/123456789/9334
dc.identifier.uri2http://www.sciencedirect.com/science/article/pii/S0957417417302087pt_BR
dc.language.isoen_USpt_BR
dc.rightsrestritopt_BR
dc.subjectFinancept_BR
dc.subjectTime seriespt_BR
dc.subjectMachine learningpt_BR
dc.subjectTrend predictionpt_BR
dc.titleBias effect on predicting market trends with EMD.pt_BR
dc.typeArtigo publicado em periodicopt_BR
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