Wavelet time series forecasting techniques applied to futures and equities.
Summary:
A study of discrete wavelet time series forecasting techniques applied to oil futures and equities data. The project is based on the article, Wavelet-based Prediction of Oil Prices, by Yousefi, Weinreich, and Reinarz (2005). A text that covers these ideas is Wavelet methods for time series analysis by Percival and Walden.
Content:
Mathematica code
Data
Slides from talks related to this project