Wavelet-based prediction of oil prices
2005; Elsevier BV; Volume: 25; Issue: 2 Linguagem: Inglês
10.1016/j.chaos.2004.11.015
ISSN1873-2887
AutoresShahriar Yousefi, Ilona Weinreich, Dominik Reinarz,
Tópico(s)Stock Market Forecasting Methods
ResumoThis paper illustrates an application of wavelets as a possible vehicle for investigating the issue of market efficiency in futures markets for oil. The paper provides a short introduction to the wavelets and a few interesting wavelet-based contributions in economics and finance are briefly reviewed. A wavelet-based prediction procedure is introduced and market data on crude oil is used to provide forecasts over different forecasting horizons. The results are compared with data from futures markets for oil and the relative performance of this procedure is used to investigate whether futures markets are efficiently priced.
Referência(s)