Forecasting abrupt changes in the Chinese stock market via wavelet decomposition
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| Title | Forecasting abrupt changes in the Chinese stock market via wavelet decomposition |
| Authors | |
| Abstract | As an abrupt change becomes imminent, the stock markets are usually preceded by an oscillatory behavior with amplitudes that tend to become smaller and smaller, while the frequencies tend to increase, which can be detected by the wavelet analysis because it provides simultaneous information on the frequency (scale) and localization in time. According to analysis of Shanghai Stock Exchange Composite Index before the crash of 2007 by the leading indicator constructed through wavelet decomposition coefficients, we find that the leading indicator presents good capacity of monitoring drawdowns and crashes in the Chinese stock market, which also provides a valuable forecasting method for the stock market. |
| Publisher | World Science Publisher |
| Date | 2012-03-06 |
| Source | 2167-6348 |
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