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The versatility of spectrum analysis for forecasting financial time series
Author(s) -
Rostan Pierre,
Rostan Alexandra
Publication year - 2018
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.2504
Subject(s) - series (stratigraphy) , wavelet , time series , computer science , discrete wavelet transform , wavelet transform , extension (predicate logic) , finance , econometrics , algorithm , mathematics , economics , artificial intelligence , machine learning , paleontology , biology , programming language
Abstract The versatility of the one‐dimensional discrete wavelet analysis combined with wavelet and Burg extensions for forecasting financial times series with distinctive properties is illustrated with market data. Any time series of financial assets may be decomposed into simpler signals called approximations and details in the framework of the one‐dimensional discrete wavelet analysis. The simplified signals are recomposed after extension. The final output is the forecasted time series which is compared to observed data. Results show the pertinence of adding spectrum analysis to the battery of tools used by econometricians and quantitative analysts for the forecast of economic or financial time series.