Paper Title :Forecasting Financial Time Series with Spectrum Analysis
Author :Pierre Rostan, Alexandra Rostan
Article Citation :Pierre Rostan ,Alexandra Rostan ,
(2017 ) " Forecasting Financial Time Series with Spectrum Analysis " ,
International Journal of Management and Applied Science (IJMAS) ,
pp. 49-52,
Volume-3,Issue-2
Abstract : In Physics, spectrum analysis models electrical, audio or seismic signals; in this paper, it is applied to financial
time series forecasting. Any time series of financial assets may be decomposed in simpler signals called approximations and
details in the framework of the one-dimensional discrete wavelet analysis. The simplified signals are recomposed after
extension. The final output is the forecasted time series that are compared to observed data. Results show the pertinence of
adding spectrum analysis to the battery of tools used by econometricians and quantitative analysts for the forecast of
economic or financial time series.
Keywords - Derivatives pricing; spectrum analysis, wavelet analysis.
Type : Research paper
Published : Volume-3,Issue-2
DOIONLINE NO - IJMAS-IRAJ-DOIONLINE-7251
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Copyright: © Institute of Research and Journals
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Published on 2017-05-11 |
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