EXTENDED DAILY EXCHANGE RATES FORECASTS USING WAVELET TEMPORAL RESOLUTIONS

DOI10.1142/S1793005705000056zbMATH Open1062.62233MaRDI QIDQ4679770FDOQ4679770

Authors: Mak Kaboudan 

Publication date: 21 June 2005

Published in: New Mathematics and Natural Computation (Search for Journal in Brave)

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zbMATH Keywords

artificial neural networksgenetic programmingHaar wavelets

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Approximation methods and heuristics in mathematical programming (90C59) Neural nets and related approaches to inference from stochastic processes (62M45) Numerical methods for wavelets (65T60)

Cites Work

• A theory for multiresolution signal decomposition: the wavelet representation
• Time series forecasting with neural network ensembles: an application for exchange rate prediction
• Regression neural network for error correction in foreign exchange forecasting and trading.
• A stochastic nonlinear regression estimator using wavelets
• Genetically evolved models and normality of their fitted residuals

Cited In (7)

• Title not available (Why is that?)
• A wavelet-based approach for modelling exchange rates
• Hybrid Neural Systems in Exchange Rate Prediction
• Performance comparison between genetic algorithm and particle swarm optimization based on back propagation
• Exchange rate forecasting with optimum singular spectrum analysis
• Selecting the best forecasting-implied volatility model using genetic programming
• Modelling and forecasting by wavelets, and the application to exchange rates

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