The two-stage machine learning ensemble models for stock price prediction by combining mode decomposition, extreme learning machine and improved harmony search algorithm

Abstract

As stock data is characterized by highly noisy and non-stationary, stock price prediction is regarded as a knotty problem. In this paper, we propose new two-stage ensemble models by combining empirical mode decomposition (EMD) (or variational mode decomposition (VMD)), extreme learning machine (ELM) and improved harmony search (IHS) algorithm for stock price prediction, which are respectively named EMD–ELM–IHS and VMD–ELM–IHS. Furthermore, to demonstrate the efficiency and performance of the proposed models, the results were compared with those obtained by other methods, including EMD based ELM (EMD–ELM), VMD based ELM (VMD–ELM), autoregressive integrated moving average (ARIMA), ELM, multi-layer perception (MLP), support vector regression (SVR), and long short-term memory (LSTM) models. The results show that the proposed models have superior performance in terms of its accuracy and stability as compared to the other models. Also, we find that the sizes of sliding window and training set have a significant impact on the predictive performance.

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Acknowledgements

This research was supported by the National Natural Science Foundation of China (No.71720107002), the Project of High-level Teachers in Beijing Municipal Universities in the Period of 13th Five-year Plan (CIT&TCD20190338), and the Humanity and Social Science Foundation of Ministry of Education of China (No. 19YJAZH005), and the Young Academic Innovation Team of Capital University of Economics and Business of China (No. QNTD202002).

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Correspondence to Wei Chen.

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Jiang, M., Jia, L., Chen, Z. et al. The two-stage machine learning ensemble models for stock price prediction by combining mode decomposition, extreme learning machine and improved harmony search algorithm. Ann Oper Res (2020). https://doi.org/10.1007/s10479-020-03690-w

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Keywords

  • Stock price prediction
  • Empirical mode decomposition
  • Variational mode decomposition
  • Harmony search
  • Ensemble learning