Maximum Overlapping Discrete Wavelet Transform in Forecasting Banking Sector
نویسندگان
چکیده
In this paper, we present the advantages of Maximum overlapping Discrete Wavelet Transform (MODWT) in improving the forecasting accuracy financial time series data. Amman stock market (ASE) in Jordan was selected as a tool to show the ability of MODWT in forecasting financial time series, using Banking sector. Experimentally, this article suggests a novel technique for forecasting the banking data based on MODWT and ARIMA model. Daily return data from 1993 until 2009 is used for this study.
منابع مشابه
Study of the impact of some factors determining the non-performing loans of the banking network from the public sector in sanction conditions: Application of Wavelet Transform and Markov Switching Models
The present study examines the determinants of non-performing loans from the public sector with emphasis on fluctuations in asset markets in the period 1397: 4-1384: 1. For this purpose, in order to extract the exchange rate and stock index fluctuations, the Daubechies discrete wavelet transform model has been used. Finally, the Markov switching model has been used to investigate the effect of ...
متن کاملA combined Wavelet- Artificial Neural Network model and its application to the prediction of groundwater level fluctuations
Accurate groundwater level modeling and forecasting contribute to civil projects, land use, citys planning and water resources management. Combined Wavelet-Artificial Neural Network (WANN) model has been widely used in recent years to forecast hydrological and hydrogeological phenomena. This study investigates the sensitivity of the pre-processing to the wavelet type and decomposition level in ...
متن کاملSome New Methods for Prediction of Time Series by Wavelets
Extended Abstract. Forecasting is one of the most important purposes of time series analysis. For many years, classical methods were used for this aim. But these methods do not give good performance results for real time series due to non-linearity and non-stationarity of these data sets. On one hand, most of real world time series data display a time-varying second order structure. On th...
متن کاملAN INTELLIGENT FAULT DIAGNOSIS APPROACH FOR GEARS AND BEARINGS BASED ON WAVELET TRANSFORM AS A PREPROCESSOR AND ARTIFICIAL NEURAL NETWORKS
In this paper, a fault diagnosis system based on discrete wavelet transform (DWT) and artificial neural networks (ANNs) is designed to diagnose different types of fault in gears and bearings. DWT is an advanced signal-processing technique for fault detection and identification. Five features of wavelet transform RMS, crest factor, kurtosis, standard deviation and skewness of discrete wavelet co...
متن کاملForecasting Stock Price using Hybrid Model based on Wavelet Transform in Tehran and New York Stock Market
Forecasting financial markets is an important issue in finance area and research studies. On one hand, the importance of prediction, and on the other hand, its complexity, have led to huge number of researches which have proposed many forecasting methods in this area. In this study, we propose a hybrid model including Wavelet Transform, ARMA-GARCH and Artificial Neural Network (ANN) for single-...
متن کامل