Forecasting financial time series data base on wavelet transforms and ARIMA model

Sadam, Al Wadi; Mohd Tahir, Ismail; Samsul Ariffin, Addul Karim

Please use this identifier to cite or link to this item: http://dspace.unimap.edu.my:80/xmlui/handle/123456789/10338

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DC Field	Value	Language
dc.contributor.author	Sadam, Al Wadi	-
dc.contributor.author	Mohd Tahir, Ismail	-
dc.contributor.author	Samsul Ariffin, Addul Karim	-
dc.date.accessioned	2010-11-28T03:44:21Z	-
dc.date.available	2010-11-28T03:44:21Z	-
dc.date.issued	2010-06-02	-
dc.identifier.citation	Vol.4(18), p.448-453	en_US
dc.identifier.uri	http://dspace.unimap.edu.my/123456789/10338	-
dc.description	1st Regional Conference on Applied and Engineering Mathematics (RCAEM-I) 2010 organized by Universiti Malaysia Perlis (UniMAP) and co-organized by Universiti Sains Malaysia (USM) & Universiti Kebangsaan Malaysia (UKM), 2nd - 3rd June 2010 at Eastern & Oriental Hotel, Penang.	en_US
dc.description.abstract	This article suggests a novel technique for forecasting the financial time series data based on Wavelet transforms and ARIMA model. The financial data are decomposed via Haar Wavelet transforms. Then, the future observations of this series are forecasts using a suitable and best fitted ARIMA model. Daily prices from Amman Stocks Market (Jordan) from 1992 until 2008 are used in this study.	en_US
dc.language.iso	en	en_US
dc.publisher	Universiti Malaysia Perlis (UniMAP)	en_US
dc.relation.ispartofseries	Proceedings of the 1st Regional Conference on Applied and Engineering Mathematics (RCAEM-I) 2010	en_US
dc.subject	Wavelet transform	en_US
dc.subject	ARIMA model	en_US
dc.subject	Financial time series	en_US
dc.subject	Forecasting	en_US
dc.subject	Regional Conference on Applied and Engineering Mathematics (RCAEM)	en_US
dc.title	Forecasting financial time series data base on wavelet transforms and ARIMA model	en_US
dc.type	Working Paper	en_US
dc.publisher.department	Institut Matematik Kejuruteraan	en_US
dc.contributor.url	sadam_alwadi@yahoo.co.uk	en_US
dc.contributor.url	mtahir@cs.usm.my	en_US
dc.contributor.url	samsul_ariffin@petronas.com.my	en_US
Appears in Collections:	Conference Papers

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