The end effect of EMD based on matching mean envelope and its applications in trend decomposition of stock price

LI He-long, WANG Long, LI Ming-jian, ZHOU Wen-hui

Systems Engineering - Theory & Practice ›› 2013, Vol. 33 ›› Issue (8) : 2072-2079.

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Systems Engineering - Theory & Practice ›› 2013, Vol. 33 ›› Issue (8) : 2072-2079. DOI: 10.12011/1000-6788(2013)8-2072

The end effect of EMD based on matching mean envelope and its applications in trend decomposition of stock price

  • LI He-long1,2, WANG Long1,3, LI Ming-jian1, ZHOU Wen-hui4
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Abstract

Empirical mode decomposition (EMD), which can extract real time-frequency characteristics from non-stationary and nonlinear signals, however, has an involved end effect in the course of getting the envelops of the signal by the spline interpolation. In this paper, a new method based on wave matching to deal with the end effect is proposed, which replaces the ends of the mean envelop with the most suited sequence in the inner envelop making the post-dealing mean envelope have the most similarity of tendency with the real one. Compared with the classical boundary extension algorithm, the improved algorithm can increasingly suppress the end effect in EMD and reflect the true original signal frequency information as well as amplitude value, and it is well used to forecast the trend of stock market prices. The experiments show that the presented method can more effectively improve the prediction accuracy.

Key words

empirical mode decomposition (EMD) / end effect / mean envelope / wave matching / stock prediction

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LI He-long , WANG Long , LI Ming-jian , ZHOU Wen-hui. The end effect of EMD based on matching mean envelope and its applications in trend decomposition of stock price. Systems Engineering - Theory & Practice, 2013, 33(8): 2072-2079 https://doi.org/10.12011/1000-6788(2013)8-2072

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