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A dynamic hybrid model based on wavelets and fuzzy regression for time series estimation


  • Olfa Zaafrane
  • Anouar Ben Mabrouk


In the present paper, a fuzzy logic based method is combined with wavelet decomposition to develop a step-by-step dynamic hybrid model for the estimation of financial time series. Empirical tests on fuzzy regression, wavelet decomposition as well as the new hybrid model are conducted on the well known $SP500$ index financial time series. The empirical tests show an efficiency of the hybrid model.

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  • Olfa Zaafrane & Anouar Ben Mabrouk, 2011. "A dynamic hybrid model based on wavelets and fuzzy regression for time series estimation," Papers 1102.3702,
  • Handle: RePEc:arx:papers:1102.3702

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    References listed on IDEAS

    1. Lux, Thomas, 1998. "The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions," Journal of Economic Behavior & Organization, Elsevier, vol. 33(2), pages 143-165, January.
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