期刊
JOURNAL OF COMPUTATIONAL SCIENCE
卷 12, 期 -, 页码 23-27出版社
ELSEVIER
DOI: 10.1016/j.jocs.2015.11.011
关键词
Variational mode decomposition; Artificial neural networks; Particle swarm optimization; Intraday stock price; Forecasting
This paper presents a hybrid predictive model for forecasting intraday stock prices. The proposed model hybridizes the variational mode decomposition (VMD) which is a new multiresolution technique with backpropagation neural network (BPNN). The VMD is used to decompose price series into a sum of variational modes (VM). The extracted VM are used to train BPNN. Besides, particle swarm optimization (PSO) is employed for BPNN initial weights optimization. Experimental results from a set of six stocks show the superiority of the hybrid VMD PSO BPNN predictive model over the baseline predictive model which is a PSO BPNN model trained with past prices. (c) 2015 Elsevier B.V. All rights reserved.
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