Differentiating intraday seasonalities through wavelet multi-scaling
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Publication:88369
DOI10.1016/s0378-4371(00)00463-5zbMath0971.91504MaRDI QIDQ88369
Ramazan Gençay, Faruk Selçuk, Brandon Whitcher, Ramazan Gençay, Brandon Whitcher, Faruk Selçuk
Publication date: January 2001
Published in: Physica A: Statistical Mechanics and its Applications, Physica A (Search for Journal in Brave)
arbitrary length series decomposition; non-decimated discrete wavelet transform; translation invariant filtering
91B26: Auctions, bargaining, bidding and selling, and other market models
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Cites Work
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