On the use of wavelets packet decomposition for time series prediction

In this paper, we propose Wavelet packet transform based prediction of trends in nonlinear financial time series data. Bombay stock Exchange (INDIA) was selected as a tool to show the Wavelet packet transform based prediction of trends in financial time series. The experimental results demonstrate that the proposed method substantially outperform existing approaches.

[1]  Philippe Masset,et al.  Analysis of Financial Time-Series Using Fourier and Wavelet Methods , 2008 .

[2]  Mohammad A. Al-Fawzan,et al.  Time Series Forecasting Using Wavelet Denoising an Application to Saudi Stock Index , 2002 .

[3]  I. Daubechies.  Ten Lectures on Wavelets , 1992 .

[4]  Andrew T. Walden.  5. Wavelets: Theory, Algorithms and Applications: Vol. 5, Wavelet Analysis and its Applications , 1996 .

[5]  Theofanis Sapatinas,et al.  Wavelet packet modelling of infant sleep state using heart rate data , 2001 .

[6]  T. Sapatinas,et al.  Wavelet Analysis and its Statistical Applications , 2000 .

[7]  James B. Ramsey,et al.  Wavelets in Economics and Finance: Past and Future , 2002 .

[8]  Anestis Antoniadis,et al.  MULTIRESOLUTION ANALYSES AND WAVELETS FOR DENSITY ESTIMATION , 1991 .

[9]  Y. H. Song,et al.  Wavelet transform and neural networks for short-term electrical load forecasting , 2000 .

[10]  R. Gencay,et al.  An Introduction to Wavelets and Other Filtering Methods in Finance and Economics , 2001 .

[11]  Skander Soltani,et al.  On the use of the wavelet decomposition for time series prediction , 2002, ESANN.

[12]  Amir F. Atiya,et al.  Introduction to financial forecasting , 1996, Applied Intelligence.

[13]  Fionn Murtagh,et al.  Wavelet-based feature extraction and decomposition strategies for financial forecasting , 1998 .

[14]  Ashwani Kumar,et al.  Electricity Price Forecasting in Ontario Electricity Market Using Wavelet Transform in Artificial Neural Network Based Model , 2008 .