Forecasting the volatility of a financial index by wavelet transform and evolutionary algorithm.
Irwin MaTony WongThiagas SankarRaymond SiuPublished in: SMC (6) (2004)
Keyphrases
- evolutionary algorithm
- garch model
- stock market
- wavelet transform
- stock index
- stock index futures
- financial markets
- stock price
- trading systems
- short term
- multi objective
- stock exchange
- wavelet analysis
- multiresolution
- financial time series
- image coding
- exchange rate
- foreign exchange
- multiscale
- subband
- financial data
- image compression
- chinese stock market
- multi objective optimization
- portfolio optimization
- genetic programming
- stock returns
- decision making
- long term
- function optimization
- wavelet coefficients
- mutation operator
- genetic algorithm
- fitness function
- differential evolution
- wavelet domain
- high frequency
- financial forecasting
- wavelet filters
- sar images
- financial crisis
- low frequency
- neural network
- forecasting model
- multi resolution analysis
- haar wavelet