Journal of Applied Sciences1812-56541812-5662Asian Network for Scientific Information10.3923/jas.2015.90.99ChengzhaoZhangHeipingPanKeZhou12015151Recently, applying the novel data mining techniques for financial
time-series forecasting has received much research attention. However, most
researches are for the US and European markets, with only a few for Asian market.
This study applies Back Propagation (BP) neural networks and Empirical Mode
Decomposition (EMD) based neural networks for three Asian stock markets. In
this study, an EMD-based neural network ensemble learning paradigm is proposed
for three Asian stock market indices forecasting. For this purpose, three forecasting
models are introduced in this study as follow: ANNs, the combination of EMD
and ANNs, the combination of ANNs and EMD with parallel data input, the highest
price, the lowest price and the close price. The three Asian stock market indices
series are first decomposed into a finite and often small number of Intrinsic
Mode Functions (IMFs) by introducing EMD function. Then a three-layer feed-forward
neural network model is used to model each of the extracted IMFs, so that the
tendencies of these IMFs could be accurately predicted. Finally, the prediction
results of all IMFs are combined with a neural network to formulate an ensemble
output for the three Asian stock market indices, respectively. The present experimental
results show the superiority of the third model, compared to the previous two
models.]]>Van Gestel, T., J.A.K. Suykens, D.E. Baestaens, A. Lambrechts and G. Lanckriet et al.,2001Leigh, W., R. Purvis and J.M. Ragusa,2002Teixeira, J.C. and A.J. Rodrigues,1997Zhang, B.L., R. Coggins, M.A. Jabri, D. Dersch and B. Flower,2001Kamijo, K. and T. Tanigawa,1990Tay, F.E.H. and L. Cao,2001Qi, M. and G.P. Zhang,2001El Shazly, M.R. and H.E. El Shazly,1999Bailey, D.B., D.M. Tompson and J.L. Feinstein,1988Kim, K.S. and I. Han,2001Shin, K.S. and I. Han,2001Lee, K.C., I. Han and Y. Kwon,1996Kosaka, M., H. Mizuno, T. Sasaki, R. Someya and N. Hamada,1991Huang, N.E., Z. Shen, S.R. Long, M.C. Wu and H.H. Shih et al.,1998Yu, L., S. Wang and K.K. Lai,2008Zhang, X., L. Yu, S. Wang and K.K. Lai,2009Xiong, T., Y. Bao and Z. Hu,2013Cheng, C.H. and L.Y. Wei,2014Li, M. and Y. Huang,2014Li, K.P., Z.Y. Gao and X.M. Zhao,2008Chen, C.Z. and Z.S. Lin,2008Qian, X.Y., G.F. Gu and W.X. Zhou,2011Zhang, X., K.K. Lai and S.Y. Wang,2008Oladosu, G.,2009Guhathakurta, K., I. Mukherjee and A.R. Chowdhury,2008Lu, C.J., T.S. Lee and C.C. Chiu,2009Box, G.E.P. and G.M. Jenkins,1976Pan, H.P., C. Titakaratne and J. Yearwood,2005