NDLI: Forecasting the volatility of a financial index by wavelet transform and evolutionary algorithm

Content Provider	IEEE Xplore Digital Library
Author	Ma, I. Wong, T. Sankar, T. Siu, R.
Copyright Year	2004
Description	Author affiliation: Dept. of Autom. Manufacturing Eng., Quebec Univ., Montreal, Que., Canada (Ma, I.; Wong, T.; Sankar, T.)
Abstract	The daily volatility is a crucial variable in the study of financial risks. Traditional financial engineering methods based on parametric models such as the GARCH family, have limited success in volatility forecasting due to their rigid and linear structure. In the current paper, the integrated volatility of the 1998-2002 S&P100 index has been calculated and wavelet transformed to find the time horizon(s) that suits the subsequent forecasting procedure. In a genetic algorithm (GA) process, a group of rules based on predetermined format is trained to extract patterns from the time series. Those rules are tested to predict the 2003 S&P100 series. With 100 simple 'IF/THEN' rules on a 4-lag recursive memory, the forecasting accuracy is shown to average 75%, matching the level achieved in other proprietary research and far superior to that of GARCH models.
Starting Page	5824
Ending Page	5829
File Size	456405
Page Count	6
File Format	PDF
ISBN	0780385667
ISSN	1062922X
DOI	10.1109/ICSMC.2004.1401124
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2004-10-10
Publisher Place	Netherlands
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Wavelet transforms Evolutionary computation Wavelet analysis Economic forecasting Parametric statistics Predictive models Security Frequency Wavelet packets Manufacturing automation
Content Type	Text
Resource Type	Article

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3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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