Empirical mode decomposition of financial data

zbMATH Open1158.91463MaRDI QIDQ3617876FDOQ3617876

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

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zbMATH Keywords

driftfinancesignal processingstochastic processesempirical mode decompositionenvelopeDow-Jones

Mathematics Subject Classification ID

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

Cited In (4)

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

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