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Title: Adaptive prediction of stock exchange indices by state space wavelet networks
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Abstract:
The paper considers the forecasting of the Warsaw Stock Exchange price index WIG20 by applying a state space wavelet network model of the index price. The approach can be applied to the development of tools for predicting changes of other economic indicators, especially stock exchange indices. ; The paper presents a general state space wavelet network model and the underlying principles. The model is applied to produce one session ahead and five sessions ahead adaptive predictors of the WIG20 index prices. The predictors are validated based on real data records to produce promising results. The state space wavelet network model may also be used as a forecasting tool for a wide range of economic and non-economic indicators, such as goods and row materials prices, electricity/fuel consumption or currency exchange rates.
Publisher:
Zielona Góra: Uniwersytet Zielonogórski
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Source:
AMCS, volume 19, number 2 (2009) ; click here to follow the link
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Biblioteka Uniwersytetu Zielonogórskiego
Object collections:
- Digital Library of Zielona Góra > Repository > Faculties > Faculty of Computer, Electrical and Control Engineering
- Digital Library of Zielona Góra > Repository > Types of work > Articles
- Digital Library of Zielona Góra > Repository > Scientific journals and UZ publishing series > International Journal of Applied Mathematics and Computer Science (AMCS) > International Journal of Applied Mathematics and Computer Science (AMCS) (2009)
Last modified:
Apr 9, 2024
In our library since:
Apr 9, 2024
Number of object content hits:
3
All available object's versions:
https://www.zbc.uz.zgora.pl/publication/88549
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International Journal of Applied Mathematics and Computer Science (AMCS)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 26 (2016)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 25 (2015)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 24 (2014)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 23 (2013)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 22 (2012)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 21 (2011)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 20 (2010)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 19 (2009)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 19, number 1 (2009)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 19, number 2 (2009)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 26 (2016)
| Edition name | Date |
|---|---|
| Adaptive prediction of stock exchange indices by state space wavelet networks | Apr 9, 2024 |
