小波包变换在股市预测中的应用研究

应用小波包变换对股市预测进行了研究,提出了股市预测的小波包方法。首先将股指时序进行小波包分解,并对分解后得到的各部分进行混沌判别,以确定其混沌特性;然后对各部分分别建立混沌模型进行预测;再将混沌模型预测的结果进行小波包重构,则得到原始时序的预测结果。对上证综指日收益率进行了单步预测和多步预测研究,效果很好。

An Applied Research on Wavelet Packet Transformation in Stock Market Forecast

Following wavelet packet transformation, the research on stock market forecast is conducted and a wavelet packet method is proposed. First, using wavelet packet transformation, share index time series are decoded into several parts. And, to each part, its chaos features are analyzed. Then, chaotic forecasting models are established to forecast each part respectively. Finally, the forecasting results of chaotic models are reconstructed based on the wavelet packet theory and the forecasting result of the original time series can be obtained. According to this method, the research on one step forecast and multi-step forecast of Shanghai Composite Index daily gain rate series is completed and the results are well documented.