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

DOI10.1016/J.EJOR.2011.09.049zbMath1244.91107OpenAlexW2037126904MaRDI 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

waveletstime seriesdenoisingdata mininghigh-frequency financial data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Numerical methods for wavelets (65T60)

Related Items (12)

Modeling and forecasting exchange rate volatility in time-frequency domain ⋮ An energy-based measure for long-run horizon risk quantification ⋮ De-noising option prices with the wavelet method ⋮ Pairs trading with wavelet transform ⋮ Using wavelets in the measurement of multiscale dependence between Saudi and selected foreign stock markets ⋮ Improving model performance with the integrated wavelet denoising method ⋮ Comonotonicity and low volatility effect ⋮ Wavelet-based option pricing: an empirical study ⋮ Long-run wavelet-based correlation for financial time series ⋮ Coherent quality management for big data systems: a dynamic approach for stochastic time consistency ⋮ Fat tails, serial dependence, and implied volatility index connections ⋮ Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data

Uses Software

• PRMLT

Cites Work

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