Wavelet-based analysis of time series: an export from engineering to finance

Author

Norsworthy, John R. ; Li, Ding ; Gorener, Rifat

Author_Institution

Lally Sch. of Manage. & Technol., Rensselaer Polytech. Inst., Troy, NY, USA

fYear

2000

fDate

2000

Firstpage

126

Lastpage

132

Abstract

Wavelet analysis is a new development in applied mathematics about ten years in duration. Wavelet analysis has been applied to many situations with favorable results. Wavelet analysis has remarkable impact mainly on three fields, signal processing, image analysis and data compression. Wavelets also have special statistic properties, which can be used in adaptive filtering and smoothing. Many researchers are expanding its application on other fields, such as financial engineering. This author presents a brief review of wavelet methods and its applications. Their empirical study is developed on the SPLUS (Bruce and Gao, 1996) wavelet module platform

Keywords

Fourier analysis; finance; series (mathematics); wavelet transforms; SPLUS wavelet module platform; applied mathematics; financial engineering; time series; wavelet-based analysis; Adaptive filters; Adaptive signal processing; Data compression; Image analysis; Mathematics; Signal analysis; Smoothing methods; Statistics; Time series analysis; Wavelet analysis;

fLanguage

English

Publisher

ieee

Conference_Titel

Engineering Management Society, 2000. Proceedings of the 2000 IEEE

Conference_Location

Albuquerque, NM

Print_ISBN

0-7803-6442-2

Type

conf

DOI

10.1109/EMS.2000.872489

Filename

872489