A dynamic hybrid model based on wavelets and fuzzy regression for time series estimation

Olfa Zaafrane and Anouar Ben Mabrouk

Papers from arXiv.org

Abstract: In the present paper, a fuzzy logic based method is combined with wavelet decomposition to develop a step-by-step dynamic hybrid model for the estimation of financial time series. Empirical tests on fuzzy regression, wavelet decomposition as well as the new hybrid model are conducted on the well known $SP500$ index financial time series. The empirical tests show an efficiency of the hybrid model.

Date: 2011-02
New Economics Papers: this item is included in nep-ecm and nep-ets
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