A multiscale modeling approach incorporating ARIMA and anns for financial market volatility forecasting.
Yi XiaoJin XiaoJohn J. LiuShouyang WangPublished in: J. Syst. Sci. Complex. (2014)
Keyphrases
- financial markets
- stock price
- artificial neural networks
- multiscale
- stock market
- exchange rate
- short term
- stock index
- technical indicators
- financial time series
- agent based modeling
- early warning
- long term
- stock index futures
- arima model
- risk management
- garch model
- option pricing
- stock returns
- black scholes
- hybrid model
- exponential smoothing
- image representation
- trading strategies
- stock exchange
- non stationary
- trading systems
- image processing
- news articles
- using artificial neural networks
- investment strategies
- foreign exchange
- forecasting model
- expert systems
- back propagation