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

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

Title:	Forecasting financial time series data base on wavelet transforms and ARIMA model
Authors:	Sadam, Al Wadi Mohd Tahir, Ismail Samsul Ariffin, Addul Karim sadam_alwadi@yahoo.co.uk mtahir@cs.usm.my samsul_ariffin@petronas.com.my
Keywords:	Wavelet transform ARIMA model Financial time series Forecasting Regional Conference on Applied and Engineering Mathematics (RCAEM)
Issue Date:	2-Jun-2010
Publisher:	Universiti Malaysia Perlis (UniMAP)
Citation:	Vol.4(18), p.448-453
Series/Report no.:	Proceedings of the 1st Regional Conference on Applied and Engineering Mathematics (RCAEM-I) 2010
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.
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.
URI:	http://dspace.unimap.edu.my/123456789/10338
Appears in Collections:	Conference Papers

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