A Hybrid Prediction Method for Stock Price Using LSTM and Ensemble EMD

Table 1

Prediction results of time series.

Method		Sin	SP500	HSI	DAX	ASX
SVR	RMSE	0.282409	1219.904783	1334.991215	0.653453	0.206921
	MAE	0.238586	990.639020	1282.862498	0.415796	0.146022
	R^2	0.968293	−1.665447	−1.088731	0.938262	0.959223
BARDR	RMSE	0.012349	114.140660	326.487107	0.387025	0.110975
	MAE	0.011054	110.146472	233.641980	0.256125	0.075355
	R^2	0.999939	0.998275	0.992213	0.978343	0.988271
KNR	RMSE	0.567807	1198.484251	553.641943	0.740763	0.303352
	MAE	0.443162	937.309021	452.300293	0.445212	0.186848
	R^2	0.871824	−1.572662	−1.239516	0.920661	0.912361
LSTM	RMSE	0.059597	30.261563	306.481549	0.654662	0.135236
	MAE	0.051376	19.164419	224.250031	0.504645	0.106639
	R^2	0.998562	0.997128	0.980270	0.962750	0.931165
Proposed LSTM-EMD	RMSE	0.032478	76.562082	78.487994	0.403972	0.066237
	MAE	0.026175	47.317009	71.062834	0.217733	0.045643
	R^2	0.999569	0.985523	0.987594	0.979444	0.996174
Proposed LSTM-EEMD	RMSE	0.201358	48.878331	48.783906	0.324303	0.101511
	MAE	0.164348	38.556500	38.564812	0.247722	0.081644
	R^2	0.982980	0.994171	0.988451	0.986832	0.991071