Applications of Wavelet Method in Stock Exchange Problem

• Main Authors: ABDUL KARIM, SAMSUL ARIFFIN, ABDUL KARIM, BAKRI, ISMAIL, M TAHIR, HASAN, M KHATIM, SULAIMAN, JUMAT
• Format: Book
• Published: UTP 2010
• Subjects: Q Science (General); QA75 Electronic computers. Computer science
• Online Access: http://eprints.utp.edu.my/3932/1/FAS_MS_09_KARIM.pdf; http://eprints.utp.edu.my/3932/

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.