Abstract
In this paper, we present the advantages of Maximum overlapping Discrete Wavelet Transform (MODWT) in improving the forecasting accuracy financial time series data. Amman stock market (ASE) in Jordan was selected as a tool to show the ability of MODWT in forecasting financial time series, using Banking sector. Experimentally, this article suggests a novel technique for forecasting the banking data based on MODWT and ARIMA model. Daily return data from 1993 until 2009 is used for this study.
| Original language | English |
|---|---|
| Pages (from-to) | 3995-4002 |
| Number of pages | 8 |
| Journal | Applied Mathematical Sciences |
| Volume | 7 |
| Issue number | 77-80 |
| DOIs | |
| State | Published - 2013 |
| Externally published | Yes |
Keywords
- Arima model
- Banking data
- Fluctuations
- Forecasting
- Modwt