Modelling Profitabilities of Stock Indices Using Methods of Wavelet Analysis

Kravets Tatiana V. ()
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Kravets Tatiana V.: Kyiv National University named after T. Shevchenko

Business Inform, 2013, issue 7, 104_109

Abstract: The article considers specific features of European stock indices and conducts their comparative analysis. The goal of the study lies in localisation and description of crisis effects by time and scale in the dynamics of indices with the help of the wavelet transformation. This approach allows revelation of clusters of stock indices and study of their common and individual specific features. Combination of the wavelet-transformation, neural networks and SSA methods is used for forecasting dynamics of indices.

Keywords: economic crisis; profitabilities of stock indices; discrete wavelet transformation; neural networks; SSA-method (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:idp:bizinf:y:2013:i:7:p:104_109

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