A Theory for Multiresolution Signal Decomposition: The Wavelet Representation
IEEE Transactions on Pattern Analysis and Machine Intelligence
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A Stochastic Nonlinear Regression Estimator Using Wavelets
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A survey on wavelet applications in data mining
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Predicting object-oriented software maintainability using multivariate adaptive regression splines
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ICNC '08 Proceedings of the 2008 Fourth International Conference on Natural Computation - Volume 05
Prediction Model of Stock Market Returns Based on Wavelet Neural Network
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Surveying stock market forecasting techniques - Part II: Soft computing methods
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Financial time series forecasting using independent component analysis and support vector regression
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Forecasting stock market short-term trends using a neuro-fuzzy based methodology
Expert Systems with Applications: An International Journal
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A hybrid ANFIS model based on AR and volatility for TAIEX forecasting
Applied Soft Computing
A hybrid SARIMA wavelet transform method for sales forecasting
Decision Support Systems
Multiresolution FIR neural-network-based learning algorithm applied to network traffic prediction
IEEE Transactions on Systems, Man, and Cybernetics, Part C: Applications and Reviews
A Hybrid System Integrating a Wavelet and TSK Fuzzy Rules for Stock Price Forecasting
IEEE Transactions on Systems, Man, and Cybernetics, Part C: Applications and Reviews
Texture classification and segmentation using wavelet frames
IEEE Transactions on Image Processing
Multiresolution forecasting for futures trading using wavelet decompositions
IEEE Transactions on Neural Networks
Support vector machine with adaptive parameters in financial time series forecasting
IEEE Transactions on Neural Networks
A hybrid WA-CPSO-LSSVR model for dissolved oxygen content prediction in crab culture
Engineering Applications of Artificial Intelligence
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Forecasting stock prices is a major activity of financial firms and private investors when they make investment decisions. Feature extraction is usually the first step of a stock price forecasting model development. Wavelet transform, used mainly for the extraction of information contained in signals, is a signal processing technique that can simultaneously analyze the time domain and the frequency domain. When wavelet transform is employed to construct a forecasting model, the wavelet basis functions and decomposition stages need to be determined first. However, because forecasting models constructed by different wavelet sub-series would exhibit different forecasting capabilities and yield varying forecast results, the selection of wavelet that can lead to an optimal forecast outcome is extremely critical in model construction. In this study, a new stock price forecasting model which integrates wavelet transform, multivariate adaptive regression splines (MARS), and support vector regression (SVR) (called Wavelet-MARS-SVR) is proposed to not only address the problem of wavelet sub-series selection but also improve the forecast accuracy. The performance of the proposed method is evaluated by comparing the forecasting results of Wavelet-MARS-SVR with the ones made by other five competing approaches (Wavelet-SVR, Wavelet-MARS, single ARIMA, single SVR and single ANFIS) on the stock price data of two newly emerging stock markets and two mature stock markets. The empirical study shows that the proposed approach can not only solve the problem of wavelet sub-series selection but also outperform other competing models. Moreover, according to the sub-series which are selected by the proposed approach, we can successfully identify the data of which sessions (or points in time) among past stock market prices exerted significant impact on the construction of the forecasting model.