CEGH: A Hybrid Model Using CEEMD, Entropy, GRU, and History Attention for Intraday Stock Market Forecasting

Intraday stock time series are noisier and more complex than other financial time series with longer time horizons, which makes it challenging to predict. We propose a hybrid CEGH model for intraday stock market forecasting. The CEGH model contains four stages. First, we use complete ensemble empirical mode decomposition (CEEMD) to decompose the original intraday stock market data into different intrinsic mode functions (IMFs). Then, we calculate the approximate entropy (ApEn) values and sample entropy (SampEn) values of each IMF to eliminate noise. After that, we group the retained IMFs into four groups and predict the comprehensive signals of those groups using a feedforward neural network (FNN) or gate recurrent unit with history attention (GRU-HA). Finally, we obtain the final prediction results by integrating the prediction results of each group. The experiments were conducted on the U.S. and China stock markets to evaluate the proposed model. The results demonstrate that the CEGH model improved forecasting performance considerably. The creation of a collaboration between CEEMD, entropy-based denoising, and GRU-HA is our major contribution. This hybrid model could improve the signal-to-noise ratio of stock data and extract global dependence more comprehensively in intraday stock market forecasting.

Handling Data Heterogeneity in Electricity Load Disaggregation via Optimized Complete Ensemble Empirical Mode Decomposition and Wavelet Packet Transform

Global warming is a leading world issue driving the common social objective of reducing carbon emissions. People have witnessed the melting of ice and abrupt changes in climate. Reducing electricity usage is one possible method of slowing these changes. In recent decades, there have been massive worldwide rollouts of smart meters that automatically capture the total electricity usage of houses and buildings. Electricity load disaggregation (ELD) helps to break down total electricity usage into that of individual appliances. Studies have implemented ELD models based on various artificial intelligence techniques using a single ELD dataset. In this paper, a powerline noise transformation approach based on optimized complete ensemble empirical model decomposition and wavelet packet transform (OCEEMD-WPT) is proposed to merge the ELD datasets. The practical implications are that the method increases the size of training datasets and provides mutual benefits when utilizing datasets collected from other sources (especially from different countries). To reveal the effectiveness of the proposed method, it was compared with CEEMD-WPT (fixed controlled coefficients), standalone CEEMD, standalone WPT, and other existing works. The results show that the proposed approach improves the signal-to-noise ratio (SNR) significantly.

A Novel Hybrid Approach for Partial Discharge Signal Detection Based on Complete Ensemble Empirical Mode Decomposition with Adaptive Noise and Approximate Entropy

To eliminate the influence of white noise in partial discharge (PD) detection, we propose a novel method based on complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN) and approximate entropy (ApEn). By introducing adaptive noise into the decomposition process, CEEMDAN can effectively separate the original signal into different intrinsic mode functions (IMFs) with distinctive frequency scales. Afterward, the approximate entropy value of each IMF is calculated to eliminate noisy IMFs. Then, correlation coefficient analysis is employed to select useful IMFs that represent dominant PD features. Finally, real IMFs are extracted for PD signal reconstruction. On the basis of EEMD, CEEMDAN can further improve reconstruction accuracy and reduce iteration numbers to solve mode mixing problems. The results on both simulated and on-site PD signals show that the proposed method can be effectively employed for noise suppression and successfully extract PD pulses. The fusion algorithm combines the CEEMDAN algorithm and the ApEn algorithm with their respective advantages and has a better de-noising effect than EMD and EEMD.

Adaptive Ultrasound Tissue Harmonic Imaging Based on an Improved Ensemble Empirical Mode Decomposition Algorithm

Complete and accurate separation of harmonic components from the ultrasonic radio frequency (RF) echo signals is essential to improve the quality of harmonic imaging. There are limitations in the existing two commonly used separation methods, that is, the subjectivity for the high-pass filtering (S_HPF) method and motion artifacts for the pulse inversion (S_PI) method. A novel separation method called S_CEEMDAN, based on the complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN) algorithm, is proposed to adaptively separate the second harmonic components for ultrasound tissue harmonic imaging. First, the ensemble size of the CEEMDAN algorithm is calculated adaptively according to the standard deviation of the added white noise. A set of intrinsic mode functions (IMFs) is then obtained by the CEEMDAN algorithm from the ultrasonic RF echo signals. According to the IMF spectra, the IMFs that contain both fundamental and harmonic components are further decomposed. The separation process is performed until all the obtained IMFs have been divided into either fundamental or harmonic categories. Finally, the fundamental and harmonic RF echo signals are obtained from the accumulations of signals from these two categories, respectively. In simulation experiments based on CREANUIS, the S_CEEMDAN-based results are similar to the S_HPF-based results, but better than the S_PI-based results. For the dynamic carotid artery measurements, the contrasts, contrast-to-noise ratios (CNRs), and tissue-to-clutter ratios (TCRs) of the harmonic images based on the S_CEEMDAN are averagely increased by 31.43% and 50.82%, 18.96% and 10.83%, as well as 34.23% and 44.18%, respectively, compared with those based on the S_HPF and S_PI methods. In conclusion, the S_CEEMDAN method provides improved harmonic images owing to its good adaptivity and lower motion artifacts, and is thus a potential alternative to the current methods for ultrasonic harmonic imaging.