The Forecast of Price Index Based on Wavelet Neural Network

摘要：

Financial time series are non-stationary, nonlinear, and stochastic, which makes prediction for them rather difficult. This article uses one method based on the wavelet analysis and the artificial intelligence to predict the A300 index in China and NASDAQ index in the USA. Comparing with wavelet-ARIMA model and simple BP neural network, our model(wavelet combined neural network) demonstrates superiority in predicting power. The results of different prediction lengths indicate that these methods are only suitable for short-term forecasts, their prediction for long-term is bad. The difference of forecasting between A300 and NASDAQ indicates that Chinese stock market is less efficient than that in the USA, the later may be weak efficiency.

关键词： wavelet analysis Wavelet Neural Network predict

作者: Huang Dongdong Zeng Wenhong

作者单位: Huazhong Normal UniversitySchool of Economics and ManagementWuhan, China Huazhong Normal University School of Economics and Management Wuhan, China

会议类型: 国际会议

会议名称: 2011 Fourth International Conference on Business Intelligence and Financial Engineering(第四届商务智能与金融工程国际会议 BIFE2011)

会议地点: 武汉

会议语种:英文

页码: 32-36

在线出版日期: 2011-10-17（万方平台首次上网日期，不代表论文的发表时间）