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

Conference Proceedings - IEEE International Conference on Systems, Man and Cybernetics

Volumn 6, Issue , 2004, Pages 5824-5829

  Ma, Irwin ^a   Wong, Tony ^a   Sankar, Thiagas ^a   Siu, Raymond ^b  

^a ÉCOLE DE TECHNOLOGIE SUPÉRIEURE   (Canada)

^b Motorola Canada Ltd   (Canada)

Author keywords

Evolutionary algorithm; Forecasting; Volatility index; Wavelet transform

Indexed keywords

FINANCIAL INDEX; FINANCIAL RISKS; GENETIC PROGRAMMING (GP); VOLATILITY INDEX;

EVOLUTIONARY ALGORITHMS; FINANCE; FORECASTING; GENETIC ALGORITHMS; MATHEMATICAL MODELS; TIME SERIES ANALYSIS; WAVELET TRANSFORMS;

RISK ASSESSMENT;

EID: 15744394599     PISSN: 1062922X     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ICSMC.2004.1401124     Document Type: Conference Paper

References (13)

1. T. G. Andersen and T. Bollerslev, "Answering the skeptics: Yes, standard volatility models do provide accurate forecasts", International Economics Review, vol. 39, pp. 885-905, 1998.
2. T. G. Andersen, T. Bollerslev F. X. Diebold and P. Labys, "The distribution of realized exchange rate volatility", Journal of the American Statistical Association, vol. 96, pp. 42-55, 2001.
3. M. A. Arino, P. Morettin and B., Vidakovic, "On Wavelet Scalograms and Their Applications in Economic Time Series", Institute of Statistics and Decision Sciences, Working paper 94-21, 1995.
4. P. Christoffersen and F. Diebold, "How relevant is volatility forecasting for financial risk management", Review of Economics and Statistics, vol. 82, pp. 12-22, 2000.
5. M. Dacorogna, An Introduction to High Frequency Finance, Academic Press, San Diego, 2001.
6. L. Y. Fong and K. Y. Szeto, "Rules extraction in short memory time series using genetic algorithms", European Physical Journal B, vol. 20, pp. 569-572, 2001.
7. J. Hall, Options, Futures & Other Derivatives, 4-th edition, Prentice-Hall, NJ, 2000.
8. C. Harvey and A. Siddique, "Autoregressive conditional skewness", Journal of Financial and Quantitative Analysis, vol. 34, No. 4, pp. 465-487, 1999.
9. H. R. Kinlay, J. Neftci and P. S. Wilmott, "Investment analytics volatility report", Investment Analytics, NY, 2001.
10. C. Lawrenz and F. Westerhoff, "Explaining Exchange Rate Volatility with a Genetic Algorithm", 6th International Conference of the Society for Computational Economics on Computing in Economics and Finance, Barcelona, paper 325, July 2000.
11. B. LeBaron, "Forecasting Improvements using Volatility Index", Journal of Applied Econometrics, vol. 7, pp. 137-149, 1992.
12. D. Li, Empirical Study of Investment Behavior in Equity Markets Using Wavelet Methods, Ph.D. Thesis, Rensselaer Polytechnic Institute, 2003.
13. S. Mallat, A Wavelet Tour of Signal Processing, Academic Press, San Diego, 1999.