Linear Predictive Coding for Stock Market Forecasting
Linear predictive coding (LPC) is a tool used mostly in audio signal processing and speech processing for representing the spectral envelope of a digital signal of speech in compressed form, using the information of a linear predictive model. It is one of the most powerful speech analysis techniques, and one of the most useful methods for encoding good quality speech at a low bit rate and provides extremely accurate estimates of speech parameters. LPC is generally used for speech analysis and resynthesis. It is used as a form of voice compression by phone companies, for example in the GSM standard. It is also used for secure wireless, where voice must be digitized, encrypted and sent over a narrow voice channel, an early example of this is the US government’s Navajo I.
We have developed an advanced approach based on LPC for stock market forecasting. Code, given input data, is able to say if next closing price will be higher or lower than last closing price. A buy signal is given if next closing price will be higher than current price. A sell signal is given if next closing price will be equal or lower than current price. This algorithm has been tested on Italian securities (more than 320 securities). Data have been imported from Yahoo. Half of data have been used for training and the remaining ones for testing, with no overlapping between training and testing data. We have obtained an excellent recognition rate of 56.02%.
Index Terms: Matlab, source, code, lpc, linear, predictive, coding, stock, market, forecasting, forecast, security.
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Figure 1. Forecasting financial data |
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A simple and effective source code for Advanced LPC Trading System. |
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Demo code (protected P-files) available for performance evaluation. Matlab Signal Processing Toolbox is required.
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Release
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Date
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Major features
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1.0
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2009.07.08 |
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We recommend to check the secure connection to PayPal, in order to avoid any fraud. |
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Advanced LPC Trading System. Click here for your donation. In order to obtain the source code you have to pay a little sum of money: 1700 EUROS (less than 2380 U.S. Dollars).
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Once you have done this, please email us luigi.rosa@tiscali.it
As soon as possible (in a few days) you will receive our new release of Advanced LPC Trading System. Alternatively, you can bestow using our banking coordinates:
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The authors are not commodity trading advisors. The information on this site is for trading education only. There are no trading recommendations for any one individual made on this site and this information is paper trades for trading education. All trades are extremely risky and only risk capital should be used when trading. The authors have no relationship or partnership with The Mathworks. All the code provided is written in Matlab language (M-files and/or M-functions), with no dll or other protected parts of code (P-files or executables). The code was developed with Matlab 2006a. Matlab Signal Processing Toolbox is required. The code provided has to be considered “as is” and it is without any kind of warranty. The authors deny any kind of warranty concerning the code as well as any kind of responsibility for problems and damages which may be caused by the use of the code itself including all parts of the source code.
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One Comment on Linear Predictive Coding for Stock Market Forecasting
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Stock Market Finance on
Tue, 3rd Nov 2009 09:48
Linear predictive coding (LPC) is a tool used mostly in audio signal processing and speech processing for representing the spectral envelope of a digital signal of speech in compressed form, using the information of a linear predictive model.
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