| 小波分析方法在金融股票数据预测中的应用 |
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| 引用本文： | 杜建卫,王超峰.小波分析方法在金融股票数据预测中的应用[J].数学的实践与认识,2008,38(7). |
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| 作者姓名： | 杜建卫 王超峰 |
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| 摘 要： | 利用小波分析预测方法对金融数据—股票收盘价这一典型的非平稳时间序列进行预测.使用M a llat小波分解算法对数据进行分解,对分解后的数据进行平滑处理,然后再进行重构,而重构之后的数据就成为近似意义的平稳时间序列,这样就得到了原始数据的近似信号,再应用传统时间序列预测方法对重构后的数据进行预测,将预测结果与实际值,以及和传统预测方法预测结果比较,小波分析方法预测效果更为理想.
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| 关 键 词： | 小波变换 时间序列分析 AR[p]模型预测 |
Application of the Wavelet Transformatio in Financial Data Processing |
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| DU Jian-wei,WANG Chao-feng.Application of the Wavelet Transformatio in Financial Data Processing[J].Mathematics in Practice and Theory,2008,38(7). |
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| Authors: | DU Jian-wei WANG Chao-feng |
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| Abstract: | The wavelets are used in financial data forecast,which is a method of non-steady time series forecast.After the financial data are decomposed by wavelet transformation,it is smoothed and then reconstructed.The reconstructed data are approximate steady time series.The approximate signals of original financial data are obtained.And then the reconstructed data are processed with the traditional methods of time series model.The method in this paper is better than the traditional methods,and the obtained result in this paper is close to the actual value. |
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| Keywords: | wavelet transformation analysis of time series the forecast of AR(p) model |
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