Financial Modeling: Online Demonstrator

Web Server Demonstrator

Experimental and new (31 August 2001): Forecasting forex data using a multiscale autoregression model.

Dynamic, distributed financial signal modeling demonstrator.

This demonstrator shows MR/Finance operations, used on a web server. A script fetches current USD/EUR exchange rate data, across the network, on a daily basis. Analyses are carried out, and charts plotted. In the past year the only problems have been machine or network outage, which have very rarely happened.

À Trous Wavelet Transform - Implementations

Fortran 1D implementation (for FTSE data) - very "quick and dirty". Be warned!
IDL ((c) Research Systems Inc.) 1D implementation (for meteorological data) - very "quick and dirty". Be warned!

Prediction of Temporal 1D Data

An IDL program for prediction (save as mr1d_predict.pro), which works by making a call to mw1d_filter for entropy-based filtering (note: this program requires a licence to run) based on the Haar à trous transform, and some other MR/1 programs, followed by polynomial fitting to predict at each resolution level, followed finally by the combining of the predictions. Have a look - the syntax is easy to follow even if you do not use IDL. Other forecasting methods - multilayer perceptrons, time delay neural networks, etc. - can be similarly implemented.