A new wavelet-based denoising algorithm for high-frequency financial data mining
From MaRDI portal
Publication:439431
DOI10.1016/j.ejor.2011.09.049zbMath1244.91107MaRDI QIDQ439431
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
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
Related Items
Modeling and forecasting exchange rate volatility in time-frequency domain, Long-run wavelet-based correlation for financial time series, De-noising option prices with the wavelet method, Wavelet-based option pricing: an empirical study
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Cites Work
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