# CEEMDAN-LSTM

**Repository Path**: zhangxinjun2004/CEEMDAN-LSTM

## Basic Information

- **Project Name**: CEEMDAN-LSTM
- **Description**: Paper-Reproduce: (ESWA) Forecasting the realized volatility of stock price index: A hybrid model integrating CEEMDAN and LSTM
- **Primary Language**: Unknown
- **License**: Not specified
- **Default Branch**: main
- **Homepage**: None
- **GVP Project**: No

## Statistics

- **Stars**: 0
- **Forks**: 0
- **Created**: 2026-03-17
- **Last Updated**: 2026-03-17

## Categories & Tags

**Categories**: Uncategorized

**Tags**: None

## README

# CEEMDAN-LSTM
***Paper-Reproduce: (ESWA) Forecasting the realized volatility of stock price index: A hybrid model integrating CEEMDAN and LSTM***

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### File Information
1. **"P888.csv"** is raw data, including <datetime, trading_date, low, volume, high, close, open, total_turnover>. You can change it to any stock data.
2. **"Forecasting the realized volatility of stock price index A hybrid model integrating CEEMDAN and LSTM.pdf"** is the paper i reproduce.
3. **"CEEMDAN-LSTM.ipynb"** is all the code.

### Methods Description
1. Clean data, generate **RVs** as target and make some statistic analysis (**skewness, excess kurtosis, J-B, Q(10)**)
2. **CEEMDAN** decomposition and visualization. (PyEMD)
3. Build **LSTM model** on raw-data and decomposed data. (TensorFlow)
4. Make comparison with **SVR, AR, HAR.**

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### Tips
*If you have any problem, you can send an email archercym@gmail.com or make an issue directly. We can discuss together.*