Title :
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
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;
Conference_Titel :
Engineering Management Society, 2000. Proceedings of the 2000 IEEE
Conference_Location :
Albuquerque, NM
Print_ISBN :
0-7803-6442-2
DOI :
10.1109/EMS.2000.872489
