LAUSR

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.