ISSN:
1434-6036
Keywords:
PACS. 05.45.Tp Time series analysis – 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion. – 02.90.+p Other topics in mathematical methods in physics.
Source:
Springer Online Journal Archives 1860-2000
Topics:
Physics
Notes:
Abstract: As a linear superposition of translated and dilated versions of a chosen analyzing wavelet function, the wavelet transform lends itself to the analysis of underlying multi-scale structure in nonstationary time series. In this work, we use the discrete wavelet transform (DWT) to investigate scaling and search for the presence of coherent structures in financial data. Quantitative measurements are given by the DWT of the original time series and wavelet coefficient variance. We find that variations and correlations in the transform coefficients are able to indicate the presence of structure and that measurements based on the DWT allow us to observe scaling directly in the nonstationary time series.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/s100510170236
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