Modelling and Analysis on Noisy Financial Time Series
Jinsong Leng
Bradford Street, Mount Lawley, Perth, Australia..
DOI: 10.4236/jcc.2014.22012   PDF    HTML     4,086 Downloads   7,929 Views   Citations


Building the prediction model(s) from the historical time series has attracted many researchers in last few decades. For example, the traders of hedge funds and experts in agriculture are demanding the precise models to make the prediction of the possible trends and cycles. Even though many statistical or machine learning (ML) models have been proposed, however, there are no universal solutions available to resolve such particular problem. In this paper, the powerful forward-backward non-linear filter and wavelet-based denoising method are introduced to remove the high level of noise embedded in financial time series. With the filtered time series, the statistical model known as autoregression is utilized to model the historical times aeries and make the prediction. The proposed models and approaches have been evaluated using the sample time series, and the experimental results have proved that the proposed approaches are able to make the precise prediction very efficiently and effectively.

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Leng, J. (2014) Modelling and Analysis on Noisy Financial Time Series. Journal of Computer and Communications, 2, 64-69. doi: 10.4236/jcc.2014.22012.

Conflicts of Interest

The authors declare no conflicts of interest.


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