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: , ,

10 Responses to “The Best Mother Wavelet for Stock Prediction Using Adaplet Method”

  1. nice info, keep going on

  2. good.

  3. yah lagi lagi pakai artikel yang berbahasa inggris,

  4. wah jurnal yang keren
    bisa buat prediksi pergerakan valas engga ya pak ?

  5. mantap nih gan….

  6. keren postingannya tapi artikelnya singkat sekali, ya sudah deh trims utk artikelnya

  7. nice info, terimakasih pak

  8. thank u for sharing

  9. thank you for sharing. it’s so helpful

  10. thanks for sharing

Leave a Reply

You can use these tags: <a href="" title=""> <abbr title=""> <acronym title=""> <b> <blockquote cite=""> <cite> <code> <del datetime=""> <em> <i> <q cite=""> <strike> <strong>