Adaptive prediction of stock exchange indices by state space wavelet networks

Mietek A. Brdyś; Adam Borowa; Piotr Idźkowiak; Marcin T. Brdyś

International Journal of Applied Mathematics and Computer Science (2009)

  • Volume: 19, Issue: 2, page 337-348
  • ISSN: 1641-876X

Abstract

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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.

How to cite

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Mietek A. Brdyś, et al. "Adaptive prediction of stock exchange indices by state space wavelet networks." International Journal of Applied Mathematics and Computer Science 19.2 (2009): 337-348. <http://eudml.org/doc/207940>.

@article{MietekA2009,
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.},
author = {Mietek A. Brdyś, Adam Borowa, Piotr Idźkowiak, Marcin T. Brdyś},
journal = {International Journal of Applied Mathematics and Computer Science},
keywords = {forecasting; stock exchange; artificial intelligence; state space wavelet network; simulated annealing},
language = {eng},
number = {2},
pages = {337-348},
title = {Adaptive prediction of stock exchange indices by state space wavelet networks},
url = {http://eudml.org/doc/207940},
volume = {19},
year = {2009},
}

TY - JOUR
AU - Mietek A. Brdyś
AU - Adam Borowa
AU - Piotr Idźkowiak
AU - Marcin T. Brdyś
TI - Adaptive prediction of stock exchange indices by state space wavelet networks
JO - International Journal of Applied Mathematics and Computer Science
PY - 2009
VL - 19
IS - 2
SP - 337
EP - 348
AB - 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.
LA - eng
KW - forecasting; stock exchange; artificial intelligence; state space wavelet network; simulated annealing
UR - http://eudml.org/doc/207940
ER -

References

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Citations in EuDML Documents

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  1. Mietek A. Brdyś, Marcin T. Brdyś, Sebastian M. Maciejewski, Adaptive predictions of the euro/złoty currency exchange rate using state space wavelet networks and forecast combinations
  2. Chunshien Li, Tai-Wei Chiang, Intelligent financial time series forecasting: A complex neuro-fuzzy approach with multi-swarm intelligence
  3. D. Thresh Kumar, Hamed Soleimani, Govindan Kannan, Forecasting return products in an integrated forward/reverse supply chain utilizing an ANFIS

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