Software issues in wavelet analysis of financial data - Numerical ...

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Applications De-noising Identifying seasonality Self-similarity Prediction Estimation of varianceResults Matter. Trust NAG.16
De-NoisingTransform data into wavelet domainApply thresholding – suppress smallest coefficientsTransform backUse:DWT for efficient storage – SDWT to align with dataDe-noised data can help modelling of underlying structuree.g. Capobianco (1997) – analysis of Nikkei indexDonoho and Johnstone (1998)Results Matter. Trust NAG.17
Page 1 and 2: Numerical Algorithms GroupMathemati
Page 4 and 5: Wavelet Transformsx(t),Decompose ti
Page 6 and 7: Wavelet Functions1Morlet (k=5)0.2Da
Page 9 and 10: Stationary DWT (SDWT)Note: DWT is N
Page 11 and 12: Choosing a Wavelet Method CWTContin
Page 13 and 14: CWT (2) Find common normalisation f
Page 15: Implementation and algorithms (2) D
Page 19 and 20: Self-similarityScalogram represents
Page 21: Summary1) Wavelet transforms provid

Software issues in wavelet analysis of financial data - Numerical ...

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