A new wavelet-based denoising algorithm for high-frequency financial data mining

DOI10.1016/j.ejor.2011.09.049zbMath1244.91107MaRDI QIDQ439431

Thomas Meinl, Edward W. Sun

Publication date: 16 August 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2011.09.049

zbMATH Keywords

wavelets; time series; denoising; data mining; high-frequency financial data

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

91B84: Economic time series analysis

65T60: Numerical methods for wavelets

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Uses Software

• PRMLT

Cites Work

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