Cotton Futures High-frequency Data Analysis Based on MODWT-ARIMA Time Series
Yang Chenfan · Shanxi Science and Technology · 2013
This paper introduces the mathematical principles of ARIMA time prediction algorithm and MODWT wavelet transformation, and carries on MODWT-ARIMA combinatorial analysis through transaction record of daily cotton futures, which avoids the sensitivity to time series' starting point and realizing the better time series prediction of cotton futures.