Financial Time Series Analysis Based on EMD and Moving Average
Wang Wei · Journal of Tianjin University Science and Technology · 2010
The empirical mode decomposition(EMD)theory was introduced to financial time series analyzing,and a new method based on EMD and moving average(MA)was proposed.Any complicated signal can be decomposed into a finite and often small number of intrinsic mode functions(IMF)with the empirical mode method,which is based on the local characteristic time scale of the signal.The problem of the selection of base function in wavelet decomposition can be solved by this adaptive decomposition method,and it is applicable to nonlinear and non-stationary signal.The application to stock market shows that the ratio of signal to noise of the signals collected from stock market is improved,the internal moving regularity of financial time series is revealed and the result is more reliable.