Applications of Wavelet Method in Stock Exchange Problem
Abstract-The development of wavelet theory in recent years has motivate the emerged of applications such as in signal processing, image and function representation, finance, economics, numerical method etc. One of wavelet advantages as compared to Fourier is, it has fast algorithm to evaluate th...
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| Main Authors: | , , , , |
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| Format: | Book |
| Published: |
UTP
2010
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| Subjects: | |
| Online Access: | http://eprints.utp.edu.my/3932/1/FAS_MS_09_KARIM.pdf http://eprints.utp.edu.my/3932/ |
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| Summary: | Abstract-The development of wavelet theory in recent years
has motivate the emerged of applications such as in signal
processing, image and function representation, finance,
economics, numerical method etc. One of wavelet advantages
as compared to Fourier is, it has fast algorithm to evaluate the
series expansion. In this present article, we will discuss the
applications of fast wavelet algorithm namely Discrete Wavelet
Transform (DWT) in finance such as denoising the time series
by using wavelet thresholding. We apply various thresholding
approachs e.g., Heuristic SURE, SURE, Minimax and Fixed-
Form method. Numerical result show that Minimax and fixed
form method gives the better result. |
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