The Best Mother Wavelet for Stock Prediction Using Adaplet Method

It has been determined the best mother wavelet for stock prediction of SONY 2006 and BNI 2012 based on the Adaplet Method (The Adaptive Filter which is use wavelet as initial coefficients). The Mother Wavelets, which is used, are Coiflet 1-5, Daubechies 1-5, and Symlet 1-5. The prediction analysis includes overshoot, autocorrelation error and data pattern conformity, three days prediction, and segmentation. According to the overshoot analysis, it shown that for all the data, the overshoot at the beginning of data increased as its wavelet level increased. While using Daubechies 1 and Symlet 1 produced smallest overshoot among other wavelets (112.2%). The autocorrelation error of data pattern prediction indicates conformity with the original data. As its wavelet level increased, the autocorrelation error pattern also ramped (near zero). Coiflet 5 and Daubechies 1 produced the smallest mean square error (MSE), which is equal to 0.0147; meanwhile, Coiflet 1 shows the best result with an average error of 0.001 in next three days prediction analysis. On the other hands, Symlet 3 shows the best MSE of 1.213. Symlet offers the best result, according to best wavelet sequence assessment of each method.

(click here for download the paper)

Tags: adaptive, prediction, wavelet