Research on Price Prediction of Stock Price Index Based on Combination Method with Introduction of Options Market Information
Abstract
:1. Introduction
2. Theoretical Framework
2.1. Logical Framework of Combination Method
2.2. Technical Approaches Within the Logical Framework of the Combination Method
2.2.1. Options Pricing Formula
2.2.2. CEEMDAN
2.2.3. BP Neural Network
3. Price Prediction Based on Combination Method
3.1. Price Prediction Based on the Original Time Series with Options Market Information
3.2. Optimization of Prediction Effect Based on Decomposition–Clustering Method
3.2.1. Decomposition and Clustering of Time Series
3.2.2. Optimization Results and Comparative Analysis Based on the Decomposition–Clustering Method
3.3. Optimization of Prediction Effect Based on Error Adjustment Method
3.3.1. Decomposition and Clustering of Prediction Error Information
3.3.2. Optimization Results and Comparative Analysis Based on the Error Adjustment Method
3.4. Optimization of Prediction Effects Based on the Weighted Integration Method
4. Summary
Author Contributions
Funding
Institutional Review Board Statement
Informed Consent Statement
Data Availability Statement
Conflicts of Interest
References
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Information | MSE | MAE | MAPE |
---|---|---|---|
Spot information (only) | 1188.5568 | 25.9621 | 0.0068 |
ATM options | 1076.4415 | 24.6099 | 0.0064 |
ITM options (trading volume) | 1067.9506 | 24.6103 | 0.0064 |
ITM options (open interest) | 1145.8858 | 25.5043 | 0.0066 |
OTM options (trading volume) | 1112.8612 | 25.0586 | 0.0065 |
OTM options (open interest) | 1170.6870 | 25.8819 | 0.0067 |
Subsequence | Spot Information | ATM Options | ITM Options (Trading Volume) | ITM Options (Open Interest) | OTM Options (Trading Volume) | OTM Options (Open Interest) |
---|---|---|---|---|---|---|
IMF1 | 1.893 | 1.873 | 1.884 | 1.922 | 1.819 | 1.629 |
IMF2 | 1.851 | 1.912 | 1.887 | 1.886 | 1.896 | 1.825 |
IMF3 | 2.104 | 2.094 | 2.098 | 2.136 | 2.119 | 2.076 |
IMF4 | 1.116 | 1.115 | 1.113 | 1.139 | 1.114 | 1.105 |
IMF5 | 0.581 | 0.593 | 0.593 | 0.583 | 0.598 | 0.601 |
IMF6 | 0.441 | 0.428 | 0.439 | 0.446 | 0.426 | 0.45 |
IMF7 | 0.182 | 0.178 | 0.178 | 0.177 | 0.172 | 0.168 |
IMF8 | 0.069 | 0.065 | 0.065 | 0.066 | 0.066 | 0.063 |
IMF9 | 0.019 | 0.021 | 0.021 | 0.021 | 0.021 | 0.021 |
Residual | 0.007 | 0.007 | 0.007 | 0.007 | 0.007 | 0.006 |
Frequency | Spot Information | ATM Options | ITM Options (Trading Volume) | ITM Options (Open Interest) | OTM Options (Trading Volume) | OTM Options (Open Interest) |
---|---|---|---|---|---|---|
High | IMF1IMF2 | IMF1IMF2 | IMF1IMF2 | IMF1IMF2 | IMF1IMF2 | IMF1IMF2 |
IMF3 | IMF3 | IMF3 | IMF3 | IMF3 | IMF3 | |
Medium | IMF4 | IMF4 | IMF4 | IMF4 | IMF4 | IMF4 |
Low | IMF5IMF6 | IMF5IMF6 | IMF5IMF6 | IMF5IMF6 | IMF5IMF6 | IMF5IMF6 |
IMF7IMF8 | IMF7IMF8 | IMF7IMF8 | IMF7IMF8 | IMF7IMF8 | IMF7IMF8 | |
IMF9 residual | IMF9 residual | IMF9 residual | IMF9 residual | IMF9 residual | IMF9 residual |
Information | MSE | MAE | MAPE |
---|---|---|---|
Spot information (only) | 808.5210 | 22.1915 | 0.0058 |
ATM options | 737.7592 | 20.7718 | 0.0054 |
ITM options (trading volume) | 724.0461 | 20.7630 | 0.0054 |
ITM options (open interest) | 761.7536 | 21.4761 | 0.0056 |
OTM options (trading volume) | 788.2541 | 21.8041 | 0.0057 |
OTM options (open interest) | 734.7153 | 21.0732 | 0.0055 |
Subsequence | Spot Information | ATM Options | ITM Options (Trading Volume) | ITM Options (Open Interest) | OTM Options (Trading Volume) | OTM Options (Open Interest) |
---|---|---|---|---|---|---|
IMF1 | 1.501 | 1.481 | 1.493 | 1.493 | 1.549 | 1.507 |
IMF2 | 0.444 | 0.428 | 0.401 | 0.401 | 0.355 | 0.397 |
IMF3 | 0.741 | 0.794 | 0.807 | 0.807 | 0.850 | 0.818 |
IMF4 | 0.577 | 0.595 | 0.609 | 0.609 | 0.590 | 0.578 |
IMF5 | 0.579 | 0.588 | 0.586 | 0.586 | 0.585 | 0.587 |
IMF6 | 0.315 | 0.411 | 0.380 | 0.380 | 0.420 | 0.455 |
IMF7 | 0.129 | 0.182 | 0.141 | 0.141 | 0.176 | 0.169 |
IMF8 | 0.048 | 0.065 | 0.061 | 0.061 | 0.095 | 0.070 |
IMF9 | 0.023 | 0.029 | 0.030 | 0.030 | 0.033 | 0.024 |
Residual | 0.009 | 0.014 | 0.014 | 0.014 | 0.018 | 0.000 |
Frequency | Spot Information | ATM Options | ITM Options (Trading Volume) | ITM Options (Open Interest) | OTM Options (Trading Volume) | OTM Options (Open Interest) |
---|---|---|---|---|---|---|
High | IMF1 | IMF1 | IMF1 | IMF1 | IMF1 | IMF1 |
Medium | IMF2IMF3 | IMF2IMF3 | IMF2IMF3 | IMF2IMF3 | IMF2IMF3 | IMF2IMF3 |
IMF4 IMF5IMF6 | IMF4 IMF5IMF6 | IMF4 IMF5IMF6 | IMF4 IMF5IMF6 | IMF4 IMF5IMF6 | IMF4 IMF5IMF6 | |
Low | IMF7IMF8 | IMF7IMF8 | IMF7IMF8 | IMF7IMF8 | IMF7IMF8 | IMF7IMF8 |
IMF9 residual | IMF9 residual | IMF9 residual | IMF9 residual | IMF9 residual | IMF9 residual |
Information | MSE | MAE | MAPE |
---|---|---|---|
Spot information only | 454.7686 | 17.0405 | 0.0045 |
ATM options | 405.4575 | 15.7611 | 0.0041 |
ITM options (trading volume) | 413.0152 | 16.1418 | 0.0042 |
ITM options (open interest) | 426.1350 | 16.4313 | 0.0043 |
OTM options (trading volume) | 427.7069 | 16.5095 | 0.0043 |
OTM options (open interest) | 399.7328 | 16.1156 | 0.0042 |
MSE | MAE | MAPE |
---|---|---|
383.0989 | 15.5847 | 0.0041 |
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Hu, Y.; Sui, X.; Zhang, Q.; Zhang, W. Research on Price Prediction of Stock Price Index Based on Combination Method with Introduction of Options Market Information. Information 2025, 16, 328. https://doi.org/10.3390/info16040328
Hu Y, Sui X, Zhang Q, Zhang W. Research on Price Prediction of Stock Price Index Based on Combination Method with Introduction of Options Market Information. Information. 2025; 16(4):328. https://doi.org/10.3390/info16040328
Chicago/Turabian StyleHu, Yi, Xin Sui, Qi Zhang, and Wei Zhang. 2025. "Research on Price Prediction of Stock Price Index Based on Combination Method with Introduction of Options Market Information" Information 16, no. 4: 328. https://doi.org/10.3390/info16040328
APA StyleHu, Y., Sui, X., Zhang, Q., & Zhang, W. (2025). Research on Price Prediction of Stock Price Index Based on Combination Method with Introduction of Options Market Information. Information, 16(4), 328. https://doi.org/10.3390/info16040328