Empirical mode decomposition of financial data

MaRDI QIDQ3617876zbMATH OpenFDO

Authors Konstantinos Drakakis

Publication date 31 March 2009

Full work available at URL http://www.m-hikari.com/imf-password2008/25-28-2008/drakakisIMF25-28-2008-1.pdf

zbMATH Keywords

Dow-Jonesdriftempirical mode decompositionenvelopefinancesignal processingstochastic processes

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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Cited in

(5)

• Atomic decomposition of financial data
• Analysis of financial data through signal processing techniques
• Dynamic mode decomposition for financial trading strategies
• How Do You Make A Time Series Sing Like a Choir? Extracting Embedded Frequencies from Economic and Financial Time Series using Empirical Mode Decomposition
• Application of empirical mode decomposition with local linear quantile regression in financial time series forecasting

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