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Forecasting financial time series data base on wavelet transforms and ARIMA model

1st Regional Conference on Applied and Engineering Mathematics (RCAEM-I) 2010 organized by Universiti Malaysia Perlis (UniMAP) and co-organized by Universiti Sains Malaysia (USM) & Universiti Kebangsaan Malaysia (UKM), 2nd - 3rd June 2010 at Eastern & Oriental Hotel, Penang.

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Bibliographic Details
Main Authors: Sadam, Al Wadi, Mohd Tahir, Ismail, Samsul Ariffin, Addul Karim
Other Authors: sadam_alwadi@yahoo.co.uk
Format: Working Paper
Language:English
Published: Universiti Malaysia Perlis (UniMAP) 2010
Subjects:
Wavelet transform
ARIMA model
Financial time series
Forecasting
Regional Conference on Applied and Engineering Mathematics (RCAEM)
Online Access:http://dspace.unimap.edu.my/xmlui/handle/123456789/10338
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spelling my.unimap-103382010-11-28T03:44:21Z Forecasting financial time series data base on wavelet transforms and ARIMA model Sadam, Al Wadi Mohd Tahir, Ismail Samsul Ariffin, Addul Karim sadam_alwadi@yahoo.co.uk mtahir@cs.usm.my samsul_ariffin@petronas.com.my Wavelet transform ARIMA model Financial time series Forecasting Regional Conference on Applied and Engineering Mathematics (RCAEM) 1st Regional Conference on Applied and Engineering Mathematics (RCAEM-I) 2010 organized by Universiti Malaysia Perlis (UniMAP) and co-organized by Universiti Sains Malaysia (USM) & Universiti Kebangsaan Malaysia (UKM), 2nd - 3rd June 2010 at Eastern & Oriental Hotel, Penang. This article suggests a novel technique for forecasting the financial time series data based on Wavelet transforms and ARIMA model. The financial data are decomposed via Haar Wavelet transforms. Then, the future observations of this series are forecasts using a suitable and best fitted ARIMA model. Daily prices from Amman Stocks Market (Jordan) from 1992 until 2008 are used in this study. 2010-11-28T03:44:21Z 2010-11-28T03:44:21Z 2010-06-02 Working Paper Vol.4(18), p.448-453 http://hdl.handle.net/123456789/10338 en Proceedings of the 1st Regional Conference on Applied and Engineering Mathematics (RCAEM-I) 2010 Universiti Malaysia Perlis (UniMAP) Institut Matematik Kejuruteraan
institution Universiti Malaysia Perlis
building UniMAP Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Perlis
content_source UniMAP Library Digital Repository
url_provider http://dspace.unimap.edu.my/
language English
topic Wavelet transform
ARIMA model
Financial time series
Forecasting
Regional Conference on Applied and Engineering Mathematics (RCAEM)
spellingShingle Wavelet transform
ARIMA model
Financial time series
Forecasting
Regional Conference on Applied and Engineering Mathematics (RCAEM)
Sadam, Al Wadi
Mohd Tahir, Ismail
Samsul Ariffin, Addul Karim
Forecasting financial time series data base on wavelet transforms and ARIMA model
description 1st Regional Conference on Applied and Engineering Mathematics (RCAEM-I) 2010 organized by Universiti Malaysia Perlis (UniMAP) and co-organized by Universiti Sains Malaysia (USM) & Universiti Kebangsaan Malaysia (UKM), 2nd - 3rd June 2010 at Eastern & Oriental Hotel, Penang.
author2 sadam_alwadi@yahoo.co.uk
author_facet sadam_alwadi@yahoo.co.uk
Sadam, Al Wadi
Mohd Tahir, Ismail
Samsul Ariffin, Addul Karim
format Working Paper
author Sadam, Al Wadi
Mohd Tahir, Ismail
Samsul Ariffin, Addul Karim
author_sort Sadam, Al Wadi
title Forecasting financial time series data base on wavelet transforms and ARIMA model
title_short Forecasting financial time series data base on wavelet transforms and ARIMA model
title_full Forecasting financial time series data base on wavelet transforms and ARIMA model
title_fullStr Forecasting financial time series data base on wavelet transforms and ARIMA model
title_full_unstemmed Forecasting financial time series data base on wavelet transforms and ARIMA model
title_sort forecasting financial time series data base on wavelet transforms and arima model
publisher Universiti Malaysia Perlis (UniMAP)
publishDate 2010
url http://dspace.unimap.edu.my/xmlui/handle/123456789/10338
_version_ 1643789815664082944
score 13.214268

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