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Paper Information

Journal:   JOURNAL OF ASSET MANAGEMENT AND FINANCING   SPRING 2015 , Volume 3 , Number 1 (8) ; Page(s) 55 To 74.
 
Paper: 

FORECASTING STOCK INDEX WITH NEURAL NETWORK AND WAVELET TRANSFORM

 
 
Author(s):  RAEI REZA, MOHAMMADI SHAPOUR, FENDERESKI HANZALEH*
 
* 
 
Abstract: 

Stock index as time series are non-stationary and highly noisy due to the fact that stock markets are affected by a variety of factors. It is regarded as one of the most challenging application of time series forecasting. Predicting stock index with the noisy data directly is usually subject to large errors. In this paper we compare forecasting the stock index via Wavelet De-noising-based Neural Network (WDNN) with forecasting stock index via single neural network. The daily Tehran Stock index from April 2006 to June 2013 are used to compare the application of the WDNN in predicting the stock index. Experimental results show that de-noising with wavelet transform outperforms the single neural network.

 
Keyword(s): WAVELET TRANSFORM, NEURAL NETWORK, DE, NOISING, THRESHOLD
 
 
References: 
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Citations: 
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APA: Copy

RAEI, R., & MOHAMMADI, S., & FENDERESKI, H. (2015). FORECASTING STOCK INDEX WITH NEURAL NETWORK AND WAVELET TRANSFORM. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 3(1 (8) ), 55-74. https://www.sid.ir/en/journal/ViewPaper.aspx?id=571594



Vancouver: Copy

RAEI REZA, MOHAMMADI SHAPOUR, FENDERESKI HANZALEH. FORECASTING STOCK INDEX WITH NEURAL NETWORK AND WAVELET TRANSFORM. JOURNAL OF ASSET MANAGEMENT AND FINANCING. 2015 [cited 2021November28];3(1 (8) ):55-74. Available from: https://www.sid.ir/en/journal/ViewPaper.aspx?id=571594



IEEE: Copy

RAEI, R., MOHAMMADI, S., FENDERESKI, H., 2015. FORECASTING STOCK INDEX WITH NEURAL NETWORK AND WAVELET TRANSFORM. JOURNAL OF ASSET MANAGEMENT AND FINANCING, [online] 3(1 (8) ), pp.55-74. Available: https://www.sid.ir/en/journal/ViewPaper.aspx?id=571594.



 
 
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