The Prediction of Stock Index based on Fuzzy Wavelet Analysis

摘要：

The prediction of financial time series is a puzzle question recognized by all over the world, the traditional methods using linear and complete rational equilibrium pattern have some shortcomings. The paper applies Fuzzy set to wavelet analysis and provides a fuzzy wavelet membership function which makes the wavelet coefficients with smaller degree of membership equate zero and the bigger ones shrink toward zero. This kind of de-noising method reflects commendably the impreciseness existing in the system parameters, and thus has better effect of denoising. The method is used for support vector regression model(SVR) and the prediction of Shanghai Stock Exchange Composite Index illustrates its feasibility.

关键词： Support vector regression Wavelet transform Fuzzy wavelet member function Statistics learning

作者: Lin Jian Sun Jinzhong

作者单位: School of Management, Wuyi University, Jiangmen 529020, China School of Management, Beihang University, Beijing 100083, China

会议类型: 国际会议

会议名称: 第三届IEEE无线通讯、网络技术暨移动计算国际会议

会议地点: 上海

会议语种:英文

在线出版日期: 2007-09-21（万方平台首次上网日期，不代表论文的发表时间）