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R&D in Quantitative Finance, Risk Management, Time Series Forecasting, Algorithmic Trading

A Neural Economic Time Series Prediction with the Use of a Wavelet Analysis

The main theme of this article is the mathematical theory needed to develop a computer application that helps to predict economic data, which contain an element of time. This is the case of stock markets, currency exchange rates, inflation rates, etc. In the second part of this paper an example application and its forecasting results are described. The application was used to predict USD/PLN average exchange rates. The achieved results are satisfactory.

Full text (Pdf)

Author
Pawel Hajto

Category: Forecasting, Time Series

Tagged: Time-Series, Wavelet

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