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Frequency-Division Combination Forecasting of Stock Market Based on Wavelet Multiresolution Analysis
Joint Authors
Shihua, Luo
Huo, Jiangyou
Dai, Zian
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-06-13
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
Put forward a novel combination forecasting method (M-ARIMA-BP) that could make a more accurate and concise prediction of stock market based on wavelet multiresolution analysis.
This innovative method operated by parsing of the low-frequency trend series and the high-frequency volatility series of stock market and gives an insight into the price series.
Using the daily closing price data of SSE (Shanghai Stock Exchange) Composite Index and Shenzhen Component Index as samples, compared with conventional wavelet prediction model, ARIMA model, and BP neural network model, the empirical results show that the new algorithm M-ARIMA-BP can improve the accuracy of volatility forecasting and perform better in predicting prices rising and falling.
American Psychological Association (APA)
Shihua, Luo& Huo, Jiangyou& Dai, Zian. 2018. Frequency-Division Combination Forecasting of Stock Market Based on Wavelet Multiresolution Analysis. Discrete Dynamics in Nature and Society،Vol. 2018, no. 2018, pp.1-11.
https://search.emarefa.net/detail/BIM-1152254
Modern Language Association (MLA)
Shihua, Luo…[et al.]. Frequency-Division Combination Forecasting of Stock Market Based on Wavelet Multiresolution Analysis. Discrete Dynamics in Nature and Society No. 2018 (2018), pp.1-11.
https://search.emarefa.net/detail/BIM-1152254
American Medical Association (AMA)
Shihua, Luo& Huo, Jiangyou& Dai, Zian. Frequency-Division Combination Forecasting of Stock Market Based on Wavelet Multiresolution Analysis. Discrete Dynamics in Nature and Society. 2018. Vol. 2018, no. 2018, pp.1-11.
https://search.emarefa.net/detail/BIM-1152254
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1152254