Wavelet-based prediction of oil prices

被引：118
|
作者：
Yousefi, S
Weinreich, I
Reinarz, D
机构：
[1] Univ Appl Sci Koblenz, Dept Math & Technol, D-53424 Remagen, Germany
[2] Univ So Denmark, Dept Econ, Econometr Grp, DK-5230 Odense, Denmark
来源：
CHAOS SOLITONS & FRACTALS | 2005年 / 25卷 / 02期
关键词：
D O I：
10.1016/j.chaos.2004.11.015
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
This paper illustrates an application of wavelets as a possible vehicle for investigating the issue of market efficiency in futures markets for oil. The paper provides a short introduction to the wavelets and a few interesting wavelet-based contributions in economics and finance are briefly reviewed. A wavelet-based prediction procedure is introduced and market data on crude oil is used to provide forecasts over different forecasting horizons. The results are compared with data from futures markets for oil and the relative performance of this procedure is used to investigate whether futures markets are efficiently priced. (c) 2005 Elsevier Ltd. All rights reserved.
引用
收藏
页码：265 / 275
页数：11
相关论文
共 50 条
  • [41] Wavelet-based flashover prediction using high-frequency components
    Song, Young-Chul
    Transactions of the Korean Institute of Electrical Engineers, 2010, 59 (04): : 759 - 761
  • [42] A wavelet-based video coding scheme using image warping prediction
    Heising, G
    Marpe, D
    Cycon, HL
    1998 INTERNATIONAL CONFERENCE ON IMAGE PROCESSING - PROCEEDINGS, VOL 1, 1998, : 84 - 86
  • [43] Prediction and identification using wavelet-based recurrent fuzzy neural networks
    Lin, CJ
    Chin, CC
    IEEE TRANSACTIONS ON SYSTEMS MAN AND CYBERNETICS PART B-CYBERNETICS, 2004, 34 (05): : 2144 - 2154
  • [44] The Use of Intra Prediction Method in Wavelet-Based Video Coding Systems
    Verba, Gleb
    Bystrov, Kirill
    Dvorkovich, Viktor
    Gryzov, Gennady
    DISTRIBUTED COMPUTER AND COMMUNICATION NETWORKS (DCCN 2019), 2019, 1141 : 77 - 88
  • [45] Prediction of precipitation using wavelet-based hybrid models considering the periodicity
    Ahmadi F.
    Mirabbasi R.
    Kumar R.
    Gajbhiye S.
    Neural Computing and Applications, 2024, 36 (26) : 16345 - 16364
  • [46] A Wavelet-based Encoding for Neuroevolution
    van Steenkiste, Sjoerd
    Koutnik, Jan
    Driessens, Kurt
    Schmidhuber, Jurgen
    GECCO'16: PROCEEDINGS OF THE 2016 GENETIC AND EVOLUTIONARY COMPUTATION CONFERENCE, 2016, : 517 - 524
  • [47] Wavelet-based adaptive optics
    Jones, KJ
    WAVELETS: APPLICATIONS IN SIGNAL AND IMAGE PROCESSING X, PTS 1 AND 2, 2003, 5207 : 902 - 915
  • [48] A wavelet-based mode decomposition
    Nicolay, S.
    EUROPEAN PHYSICAL JOURNAL B, 2011, 80 (02): : 223 - 232
  • [49] Wavelet-based document enhancement
    Ahmed, Mohammed N.
    Eid, Ahmed
    NIP 22: 22ND INTERNATIONAL CONFERENCE ON DIGITAL PRINTING TECHNOLOGIES, FINAL PROGRAM AND PROCEEDINGS, 2006, : 256 - +
  • [50] Wavelet-Based Image Registration
    Paulson, Christopher
    Ezekiel, Soundararajan
    Wu, Dapeng
    EVOLUTIONARY AND BIO-INSPIRED COMPUTATION: THEORY AND APPLICATIONS IV, 2010, 7704
12345