The International Arab Journal of Information Technology (IAJIT)


Financial Time Series Forecasting Using Hybrid

In this paper, we examine and discuss results of financial time series prediction by using a combination of wavelet transform, neural networks and statistical time series analytical techniques. The analyzed hybrid model combines the capabilities of wavelet packet transform and neural networks that can capture hidden but crucial structure attributes embedded in the time series. The input data is decomposed into a wavelet representation using two different resolution levels. For each of the new time series, a neural network is created, trained and used for prediction. In order to create an aggregate forecast, the individual predictions are combined with statistical features extracted from the original input. Additional to the conclusion that the increase in resolution level does not improve the prediction accuracy, the analysis of obtained results indicates that the suggested model presents satisfactory predictor. The results also serve as an indication that denoising process generates more accurate results when applied.

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[24] Zhang G. and Qi M., Neural Network Forecasting for Seasonal and Trend Time Series, European Journal of Operational Research, vol. 160, no. 2, pp. 501-514, 2005. Jovana Bozic obtained her Diploma Engineer degree in electrical engineering in 2007 from the School of Electrical Engineering, University of Belgrade, Serbia. She is currently a PhD candidate at the School of Computing, Department of Signal processing in telecommunications, of the Union University. Her main research interests are in the areas of time series prediction, artificial neural networks and wavelet-based signal processing. She has published several papers in national and international conferences and journals. Djordje Babic obtained his Diploma Engineer degree in 1999 at the School of Electrical Engineering, University of Belgrade. He defended his doctoral thesis in the field of signal processing in telecommunications at Tampere University of Technology, Finland, in 2004. From 1999 to 2004, he was employed at the Institute of Telecommunications, Tampere University of Technology. Since 2008 he has been employed at the School of Computing, Belgrade, as an associate professor in the field of networked computer systems. He conducts research in the field of signal processing in telecommunications, multirate signal processing. He has published over 30 articles in different international journals and at international conferences.