Multiresolution forecasting for futures trading using wavelet decompositions

Authors:
Bai-Ling Zhang;R. Coggins;M. A. Jabri;D. Dersch;B. Flower
Affiliations:
Lab. of Comput. Eng., Sydney Univ., NSW;-;-;-;-
Venue:
IEEE Transactions on Neural Networks
Year:
2001

Citing 0
Cited 16

A comparison of the effectiveness of neural and wavelet networks for insurer credit rating based on publicly available financial data

IEA/AIE'2003 Proceedings of the 16th international conference on Developments in applied artificial intelligence
Comparison of support-vector machines and back propagation neural networks in forecasting the six major Asian stock markets

International Journal of Electronic Finance
Probabilistic Neural Network Based Method for Fault Diagnosis of Analog Circuits

ISNN '07 Proceedings of the 4th international symposium on Neural Networks: Advances in Neural Networks, Part III
Wavelet Time Series ARMA Prediction on Cutting Vibration in Diamond Turning

CAR '09 Proceedings of the 2009 International Asia Conference on Informatics in Control, Automation and Robotics
A self-organising mixture autoregressive network for FX time series modelling and prediction

Neurocomputing
Integrating a piecewise linear representation method and a neural network model for stock trading points prediction

IEEE Transactions on Systems, Man, and Cybernetics, Part C: Applications and Reviews
Processing short-term and long-term information with a combination of polynomial approximation techniques and time-delay neural networks

IEEE Transactions on Neural Networks
Multiscale Functional Autoregressive Model for Monthly Sardines Catches Forecasting

MICAI '09 Proceedings of the 8th Mexican International Conference on Artificial Intelligence
A hybrid SARIMA wavelet transform method for sales forecasting

Decision Support Systems
Wind farm power prediction based on wavelet decomposition and chaotic time series

Expert Systems with Applications: An International Journal
Forecasting stock indices with wavelet domain kernel partial least square regressions

Applied Soft Computing
Stock index prediction based on the analytical center of version space

ISNN'06 Proceedings of the Third international conference on Advances in Neural Networks - Volume Part III
Study on application server aging prediction based on wavelet network with hybrid genetic algorithm

ISPA'06 Proceedings of the 4th international conference on Parallel and Distributed Processing and Applications
Wavelet autoregressive model for monthly sardines catches forecasting off central southern chile

CIARP'11 Proceedings of the 16th Iberoamerican Congress conference on Progress in Pattern Recognition, Image Analysis, Computer Vision, and Applications
A hybrid approach by integrating wavelet-based feature extraction with MARS and SVR for stock index forecasting

Decision Support Systems
A hybrid WA-CPSO-LSSVR model for dissolved oxygen content prediction in crab culture

Engineering Applications of Artificial Intelligence

Quantified Score

Hi-index	0.00

Visualization

Abstract

We investigate the effectiveness of a financial time-series forecasting strategy which exploits the multiresolution property of the wavelet transform. A financial series is decomposed into an over complete, shift invariant scale-related representation. In transform space, each individual wavelet series is modeled by a separate multilayer perceptron (MLP). We apply the Bayesian method of automatic relevance determination to choose short past windows (short-term history) for the inputs to the MLPs at lower scales and long past windows (long-term history) at higher scales. To form the overall forecast, the individual forecasts are then recombined by the linear reconstruction property of the inverse transform with the chosen autocorrelation shell representation, or by another perceptron which learns the weight of each scale in the prediction of the original time series. The forecast results are then passed to a money management system to generate trades