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International Journal of Applied Mathematics and Computer Science

Tytuł artykułu

Adaptive prediction of stock exchange indices by state space wavelet networks

Autorzy Brdyś, M. A.  Borowa, A.  Idźkowiak, P.  Brdyś, M. T. 
Treść / Zawartość
Warianty tytułu
Języki publikacji EN
EN The paper considers the forecasting of the Warsaw Stock Exchange price index WIG20 by applying a state space wavelet network model of the index price. The approach can be applied to the development of tools for predicting changes of other economic indicators, especially stock exchange indices. The paper presents a general state space wavelet network model and the underlying principles. The model is applied to produce one session ahead and five sessions ahead adaptive predictors of the WIG20 index prices. The predictors are validated based on real data records to produce promising results. The state space wavelet network model may also be used as a forecasting tool for a wide range of economic and non-economic indicators, such as goods and row materials prices, electricity/fuel consumption or currency exchange rates.
Słowa kluczowe
PL prognozowanie   giełda   sztuczna inteligencja   wyżarzanie symulowane  
EN forecasting   stock exchange   artificial intelligence   state space wavelet network   simulated annealing  
Wydawca Oficyna Wydawnicza Uniwersytetu Zielonogórskiego
Czasopismo International Journal of Applied Mathematics and Computer Science
Rocznik 2009
Tom Vol. 19, no 2
Strony 337--348
Opis fizyczny Bibliogr. 22 poz., rys., tab., wykr.
autor Brdyś, M. A.
autor Borowa, A.
autor Idźkowiak, P.
autor Brdyś, M. T.
  • School of Electronic, Electrical and Computer Engineering, College of Engineering and Physical Sciences, University of Birmingham, Edgbaston, Birmingham B15 2TT, UK,
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