Wavelet-based prediction of oil prices

  title={Wavelet-based prediction of oil prices},
  author={S. Yousefi and Ilona Weinreich and Dominik Reinarz},
This paper illustrates an application of wavelets as a possible vehicle for investigating the issue of market efficiency in futures markets for oil. The paper provides a short introduction to the wavelets and a few interesting wavelet-based contributions in economics and finance are briefly reviewed. A wavelet-based prediction procedure is introduced and market data on crude oil is used to provide forecasts over different forecasting horizons. The results are compared with data from futures… CONTINUE READING
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