Contact
How to shop
Delivery
Shopping guide
Discovering Stock Price Prediction Rules Using Hybrid Models
New Ways to Predict Canadian Stock Index Based on Grey Theory, ARIMA Model and Wavelet Transformation
English
114 b
Delivery to Austria
Up to 30 days for returns
Customers also purchased
/
Paperback
28.19
€
/
Paperback
12.99
€
In this thesis, we revised and proposed several models and then used them to forecast the stock index. The first model is an improved version of the GM (1, 1) model by introducing two parameters. Then we revised the normal hybrid model G-ARMA by merging the ARMA model with the improved GM (1, 1) model. In order to overcome the drawback of directly modeling original stock index, we introduced wavelet methods into the revised G-ARMA model and named this new hybrid model WG-ARMA. Finally, we obtained the last hybrid model WPG-ARMA by replacing the wavelet transform with the wavelet packet decomposition. For hybrid models, we estimated parameters of the hybrid models as the whole instead of estimating parameters for each sub-model separately. To verify prediction performance of the models, we presented case studies for the models based on a leading Canadian stock index. The experimental results gave the rank of predictive ability in terms of the TAE, MPAE and DIR metrics as following: WPG-ARMA model, WG-ARMA model, revised G-ARMA model, improved GM (1, 1) model, and ARIMA model.
About the book
English
Categories
Give this book today
It's easy
1 Add to cart and choose Deliver as present at the checkout 2 We'll send you a voucher 3 The book will arrive at the recipient's addressYou might also be interested in
/
Hardback
120.29
€
/
Paperback
160.86
€
/
Paperback
23.19
€
Hi! I'm Libroamiko, your book advisor.
How can I help you?