Financial Time Series Image Algorithm Based on Wavelet Analysis and Data Fusion

In recent years, people are more and more interested in time series modeling and its application in prediction. This paper mainly discusses a financial time series image algorithm based on wavelet analysis and data fusion. In this research, we conducted an in-depth study on the scale decomposition s...

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Veröffentlicht in:Journal of sensors 2021, Vol.2021 (1)
Hauptverfasser: Liu, Wuwei, Yan, Jingdong
Format: Artikel
Sprache:eng
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Zusammenfassung:In recent years, people are more and more interested in time series modeling and its application in prediction. This paper mainly discusses a financial time series image algorithm based on wavelet analysis and data fusion. In this research, we conducted an in-depth study on the scale decomposition sequence and wavelet transform sequence in different scale domains of wavelet transform according to the scale change rule based on wavelet transform. We use wavelet neural network with different input neurons and hidden neurons to predict, respectively. Finally, the prediction results are integrated into the final prediction results based on the original time series by using wavelet reconstruction technology. Using RBF algorithm in neural network and SPSS Clementine, the wavelet transform sequences on five scales are modeled. Each network model has three layers: one input layer, one hidden layer, and one output layer, and each output layer has only one output element. In order to compare the prediction effect of the model proposed in this study, the ordinary RBF network is used to model and predict the log yield itself. When the input sample is 5, the minimum mean square error is obtained when the hidden layer is 6, and the mean square error is 1.6349. The mean square error of the training phase is 0.0209, and the validation error is 1.6141. The results show that the prediction results of the wavelet prediction method combined with the RBF network prediction method are better than those of wavelet prediction or RBF network prediction.
ISSN:1687-725X
1687-7268
DOI:10.1155/2021/5577852