This paper proposes an EMD-LSSVM (empirical mode decomposition least squares support vector machine) model to analyze the CSI 300 index. A WD-LSSVM (wavelet denoising least squares support machine) is also proposed as a benchmark to compare with the performance of EMD-LSSVM. Since parameters selection is vital to the performance of the model, different optimization methods are used, including simplex, GS (grid search), PSO (particle swarm optimization), and GA (genetic algorithm). Experimental results show that the EMD-LSSVM model with GS algorithm outperforms other methods in predicting stock market movement direction.

The electricity market has experienced an increasing level of deregulation and reform over the years. There is an increasing level of electricity price fluctuation, uncertainty, and risk exposure in the marketplace. Traditional risk measurement models based on the homogeneous and efficient market assumption no longer suffice, facing the increasing level of accuracy and reliability requirements. In this paper, we propose a new Empirical Mode Decomposition (EMD)-based Value at Risk (VaR) model to estimate the downside risk measure in the electricity market. The proposed model investigates and models the inherent multiscale market risk structure. The EMD model is introduced to decompose the electricity time series into several Intrinsic Mode Functions (IMF) with distinct multiscale characteristics. The Exponential Weighted Moving Average (EWMA) model is used to model the individual risk factors across different scales. Experimental results using different models in the Australian electricity markets show that EMD-EWMA models based on Student’s t distribution achieves the best performance, and outperforms the benchmark EWMA model significantly in terms of model reliability and predictive accuracy.