Financial time series forecasting using hybrid wavelet-neural model
Joint Authors
Source
The International Arab Journal of Information Technology
Issue
Vol. 15, Issue 1 (31 Jan. 2018)8 p.
Publisher
Publication Date
2018-01-31
Country of Publication
Jordan
No. of Pages
8
Main Subjects
Information Technology and Computer Science
Abstract EN
In this paper, we examine and discuss results of financial time series prediction by using a combination of wavelet transform, neural networks and statistical time series analytical techniques.
The analyzed hybrid model combines the capabilities of wavelet packet transform and neural networks that can capture hidden but crucial structure attributes embedded in the time series.
The input data is decomposed into a wavelet representation using two different resolution levels.
For each of the new time series, a neural network is created, trained and used for prediction.
In order to create an aggregate forecast, the individual predictions are combined with statistical features extracted from the original input.
Additional to the conclusion that the increase in resolution level does not improve the prediction accuracy, the analysis of obtained results indicates that the suggested model presents satisfactory predictor.
The results also serve as an indication that denoising process generates more accurate results when applied
American Psychological Association (APA)
Bozic, Jovana& Babic, Djordje. 2018. Financial time series forecasting using hybrid wavelet-neural model. The International Arab Journal of Information Technology،Vol. 15, no. 1.
https://search.emarefa.net/detail/BIM-811830
Modern Language Association (MLA)
Bozic, Jovana& Babic, Djordje. Financial time series forecasting using hybrid wavelet-neural model. The International Arab Journal of Information Technology Vol. 15, no. 1 (Jan. 2018).
https://search.emarefa.net/detail/BIM-811830
American Medical Association (AMA)
Bozic, Jovana& Babic, Djordje. Financial time series forecasting using hybrid wavelet-neural model. The International Arab Journal of Information Technology. 2018. Vol. 15, no. 1.
https://search.emarefa.net/detail/BIM-811830
Data Type
Journal Articles
Language
English
Notes
Includes appendix.
Record ID
BIM-811830