Since 2014
Forecasting abrupt changes in the Chinese stock market via wavelet decomposition
Advances in Applied Economics and Finance
View Archive Info| Field | Value | |
| Title |
Forecasting abrupt changes in the Chinese stock market via wavelet decomposition
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| Creator |
Chen, Yulong; University of Shanghai for Science and Technology
Li, Xing-ye |
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| Subject |
Abrupt changes in stock market; Wavelet analysis; Leading indicator
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| Description |
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.
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| Publisher |
World Science Publisher
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| Contributor |
The Innovation Fund Project For Graduate Student of Shanghai
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| Date |
2012-03-06
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — |
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| Format |
application/pdf
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| Identifier |
http://worldsciencepublisher.org/journals/index.php/AAEF/article/view/121
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| Source |
Advances in Applied Economics and Finance; Vol 1, No 1 (2012); 61-65
2167-6348 |
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| Language |
eng
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| Relation |
http://worldsciencepublisher.org/journals/index.php/AAEF/article/view/121/143
http://worldsciencepublisher.org/journals/index.php/AAEF/article/downloadSuppFile/121/13 http://worldsciencepublisher.org/journals/index.php/AAEF/article/downloadSuppFile/121/14 |
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| Rights |
Copyright NoticeProposed Creative Commons Copyright Notices1. Proposed Policy for Journals That Offer Open AccessAuthors who publish with this journal agree to the following terms:Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).Proposed Policy for Journals That Offer Delayed Open AccessAuthors who publish with this journal agree to the following terms:Authors retain copyright and grant the journal right of first publication, with the work [SPECIFY PERIOD OF TIME] after publication simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).
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