PL EN


2014 | 3 | 4 | 221-228
Article title

Simple Adaptive Filter as a Part of Information System for Market Data Analysis

Content
Title variants
Languages of publication
EN
Abstracts
EN
Application of the simple least mean squares (LMS) adaptive filter of to the Warsaw Exchange Market (GPW) has been analyzed using stocks belonging to WIG20 group as examples. LMS filter has been used as a binary classifier, that is, to forecast the sign of changes in the (normalized) stock values. Two kinds of data has been used, namely, the differenced and double-differenced normalized close values of stocks. It has been shown that while the predictive power of LMS filter is virtually zero for the differenced series, it rises significantly in the case of double-differenced series for all analyzed stocks. We attribute this to the better stationarity properties of the double-differenced time series.
Year
Volume
3
Issue
4
Pages
221-228
Physical description
Dates
published
2014
Contributors
  • Department of Computer Science, Faculty of Applied Informatics and Mathematics, Warsaw Univesity of Life Sciences
  • Department of Computer Science, Faculty of Applied Informatics and Mathematics, Warsaw Univesity of Life Sciences
  • Department of Computer Science, Faculty of Applied Informatics and Mathematics, Warsaw Univesity of Life Sciences
References
  • Anderson, T.W. (1970), The Statistical Analysis of Time Series, Wiley, New York.
  • Bossa (2014): http://bossa.pl/notowania/metastock/
  • Graham B., Zweig J. (2003), The Intelligent Investor, Harper Collins, New York.
  • Hannan E.J. (1970), Multiple Time Series, Wiley, New York.
  • Haykin S., Adaptive Filter Theory, Prentice Hall, 2002.
  • Kalman, R. E. (1960), A New Approach to Linear Filtering and Prediction Problems, Journal of Basic Engineering 82 (1), 35–45.
  • Kolmogorov A.N, Stationary sequences in Hilbert space, (In Russian) Bull. Moscow Univ. 1941 vol. 2 no. 6, 1–40.
  • Wiener N., The interpolation, extrapolation and smoothing of stationary time series, Report of the Services 19, Research Project DIC-6037 MIT, February 1942.
  • Widrow B. and Stearns S.D. (1985), Adaptive Signal Processing, Prentice Hall, New York.
Document Type
Publication order reference
Identifiers
ISSN
2084-5537
YADDA identifier
bwmeta1.element.desklight-266a1f56-29b9-4936-a462-9bc85406de91
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