An Introduction To Wavelet Theory In Finance

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An Introduction to Wavelet Theory in Finance

Francis In,Sangbae Kim
An Introduction to Wavelet Theory in Finance Book PDF

Author : Francis In,Sangbae Kim
Publisher : World Scientific
Page : 213 pages
File Size : 50,8 Mb
Release : 2013
Category : Business & Economics
ISBN : 9789814397841

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An Introduction to Wavelet Theory in Finance by Francis In,Sangbae Kim Pdf

This book offers an introduction to wavelet theory and provides the essence of wavelet analysis OCo including Fourier analysis and spectral analysis; the maximum overlap discrete wavelet transform; wavelet variance, covariance, and correlation OCo in a unified and friendly manner. It aims to bridge the gap between theory and practice by presenting substantial applications of wavelets in economics and finance.This book is the first to provide a comprehensive application of wavelet analysis to financial markets, covering new frontier issues in empirical finance and economics. The first chapter of this unique text starts with a description of the key features and applications of wavelets. After an overview of wavelet analysis, successive chapters rigorously examine the various economic and financial topics and issues that stimulate academic and professional research, including equity, interest swaps, hedges and futures, foreign exchanges, financial asset pricing, and mutual fund markets.This detail-oriented text is descriptive and designed purely for academic researchers and financial practitioners. It assumes no prior knowledge of econometrics and covers important topics such as portfolio asset allocation, asset pricing, hedging strategies, new risk measures, and mutual fund performance. Its accessible presentation is also suitable for post-graduates in a variety of disciplines OCo applied economics, financial engineering, international finance, financial econometrics, and fund management. To facilitate the subject of wavelets, sophisticated proofs and mathematics are avoided as much as possible when applying the wavelet multiscaling method. To enhance the reader''s understanding in practical applications of the wavelet multiscaling method, this book provides sample programming instruction backed by Matlab wavelet code.

An Introduction to Wavelets and Other Filtering Methods in Finance and Economics

Ramazan Gençay,Faruk Selçuk,Brandon J. Whitcher
An Introduction to Wavelets and Other Filtering Methods in Finance and Economics Book PDF

Author : Ramazan Gençay,Faruk Selçuk,Brandon J. Whitcher
Publisher : Elsevier
Page : 359 pages
File Size : 42,5 Mb
Release : 2001-10-12
Category : Education
ISBN : 9780080509228

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An Introduction to Wavelets and Other Filtering Methods in Finance and Economics by Ramazan Gençay,Faruk Selçuk,Brandon J. Whitcher Pdf

An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method. The first book to present a unified view of filtering techniques Concentrates on exactly what wavelets analysis and filtering methods in general can reveal about a time series Provides easy access to a wide spectrum of parametric and non-parametric filtering methods

An Introduction to Wavelet Theory in Finance

Francis In,Sangbae Kim
An Introduction to Wavelet Theory in Finance Book PDF

Author : Francis In,Sangbae Kim
Publisher : World Scientific
Page : 213 pages
File Size : 51,7 Mb
Release : 2013
Category : Business & Economics
ISBN : 9789814397834

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An Introduction to Wavelet Theory in Finance by Francis In,Sangbae Kim Pdf

This book offers an introduction to wavelet theory and provides the essence of wavelet analysis including Fourier analysis and spectral analysis; the maximum overlap discrete wavelet transform; wavelet variance, covariance, and correlation in a unified and friendly manner. It aims to bridge the gap between theory and practice by presenting substantial applications of wavelets in economics and finance. This book is the first to provide a comprehensive application of wavelet analysis to financial markets, covering new frontier issues in empirical finance and economics. The first chapter of this unique text starts with a description of the key features and applications of wavelets. After an overview of wavelet analysis, successive chapters rigorously examine the various economic and financial topics and issues that stimulate academic and professional research, including equity, interest swaps, hedges and futures, foreign exchanges, financial asset pricing, and mutual fund markets. This detail-oriented text is descriptive and designed purely for academic researchers and financial practitioners. It assumes no prior knowledge of econometrics and covers important topics such as portfolio asset allocation, asset pricing, hedging strategies, new risk measures, and mutual fund performance. Its accessible presentation is also suitable for post-graduates in a variety of disciplines applied economics, financial engineering, international finance, financial econometrics, and fund management. To facilitate the subject of wavelets, sophisticated proofs and mathematics are avoided as much as possible when applying the wavelet multiscaling method. To enhance the reader's understanding in practical applications of the wavelet multiscaling method, this book provides sample programming instruction backed by Matlab wavelet code.

The Illustrated Wavelet Transform Handbook

Paul S. Addison
The Illustrated Wavelet Transform Handbook Book PDF

Author : Paul S. Addison
Publisher : CRC Press
Page : 551 pages
File Size : 52,7 Mb
Release : 2017-01-06
Category : Mathematics
ISBN : 9781315355283

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The Illustrated Wavelet Transform Handbook by Paul S. Addison Pdf

This second edition of The Illustrated Wavelet Transform Handbook: Introductory Theory and Applications in Science, Engineering, Medicine and Finance has been fully updated and revised to reflect recent developments in the theory and practical applications of wavelet transform methods. The book is designed specifically for the applied reader in science, engineering, medicine and finance. Newcomers to the subject will find an accessible and clear account of the theory of continuous and discrete wavelet transforms, while readers already acquainted with wavelets can use the book to broaden their perspective. One of the many strengths of the book is its use of several hundred illustrations, some in colour, to convey key concepts and their varied practical uses. Chapters exploring these practical applications highlight both the similarities and differences in wavelet transform methods across different disciplines and also provide a comprehensive list of over 1000 references that will serve as a valuable resource for further study. Paul Addison is a Technical Fellow with Medtronic, a global medical technology company. Previously, he was co-founder and CEO of start-up company, CardioDigital Ltd (and later co-founded its US subsidiary, CardioDigital Inc) - a company concerned with the development of novel wavelet-based methods for biosignal analysis. He has a master’s degree in engineering and a PhD in fluid mechanics, both from the University of Glasgow, Scotland (founded 1451). His former academic life as a tenured professor of fluids engineering included the output of a large number of technical papers, covering many aspects of engineering and bioengineering, and two textbooks: Fractals and Chaos: An Illustrated Course and the first edition of The Illustrated Wavelet Transform Handbook. At the time of publication, the author has over 100 issued US patents concerning a wide range of medical device technologies, many of these concerning the wavelet transform analysis of biosignals. He is both a Chartered Engineer and Chartered Physicist.

Wavelet Applications in Economics and Finance

Marco Gallegati,Willi Semmler
Wavelet Applications in Economics and Finance Book PDF

Author : Marco Gallegati,Willi Semmler
Publisher : Springer
Page : 271 pages
File Size : 50,7 Mb
Release : 2014-08-04
Category : Business & Economics
ISBN : 9783319070612

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Wavelet Applications in Economics and Finance by Marco Gallegati,Willi Semmler Pdf

This book deals with the application of wavelet and spectral methods for the analysis of nonlinear and dynamic processes in economics and finance. It reflects some of the latest developments in the area of wavelet methods applied to economics and finance. The topics include business cycle analysis, asset prices, financial econometrics, and forecasting. An introductory paper by James Ramsey, providing a personal retrospective of a decade's research on wavelet analysis, offers an excellent overview over the field.

Wavelet Analysis

Sabrine Arfaoui,Anouar Ben Mabrouk,Carlo Cattani
Wavelet Analysis Book PDF

Author : Sabrine Arfaoui,Anouar Ben Mabrouk,Carlo Cattani
Publisher : CRC Press
Page : 255 pages
File Size : 52,8 Mb
Release : 2021-04-20
Category : Mathematics
ISBN : 9781000369540

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Wavelet Analysis by Sabrine Arfaoui,Anouar Ben Mabrouk,Carlo Cattani Pdf

Wavelet Analysis: Basic Concepts and Applications provides a basic and self-contained introduction to the ideas underpinning wavelet theory and its diverse applications. This book is suitable for master’s or PhD students, senior researchers, or scientists working in industrial settings, where wavelets are used to model real-world phenomena and data needs (such as finance, medicine, engineering, transport, images, signals, etc.). Features: Offers a self-contained discussion of wavelet theory Suitable for a wide audience of post-graduate students, researchers, practitioners, and theorists Provides researchers with detailed proofs Provides guides for readers to help them understand and practice wavelet analysis in different areas

Wavelet Methods for Time Series Analysis

Donald B. Percival,Andrew T. Walden
Wavelet Methods for Time Series Analysis Book PDF

Author : Donald B. Percival,Andrew T. Walden
Publisher : Cambridge University Press
Page : 628 pages
File Size : 53,7 Mb
Release : 2006-02-27
Category : Mathematics
ISBN : 9781107717398

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Wavelet Methods for Time Series Analysis by Donald B. Percival,Andrew T. Walden Pdf

This introduction to wavelet analysis 'from the ground level and up', and to wavelet-based statistical analysis of time series focuses on practical discrete time techniques, with detailed descriptions of the theory and algorithms needed to understand and implement the discrete wavelet transforms. Numerous examples illustrate the techniques on actual time series. The many embedded exercises - with complete solutions provided in the Appendix - allow readers to use the book for self-guided study. Additional exercises can be used in a classroom setting. A Web site offers access to the time series and wavelets used in the book, as well as information on accessing software in S-Plus and other languages. Students and researchers wishing to use wavelet methods to analyze time series will find this book essential.

Wavelet Theory and Its Applications

Randy K. Young
Wavelet Theory and Its Applications Book PDF

Author : Randy K. Young
Publisher : Springer Science & Business Media
Page : 233 pages
File Size : 50,5 Mb
Release : 2012-12-06
Category : Technology & Engineering
ISBN : 9781461535843

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Wavelet Theory and Its Applications by Randy K. Young Pdf

The continuous wavelet transform has deep mathematical roots in the work of Alberto P. Calderon. His seminal paper on complex method of interpolation and intermediate spaces provided the main tool for describing function spaces and their approximation properties. The Calderon identities allow one to give integral representations of many natural operators by using simple pieces of such operators, which are more suited for analysis. These pieces, which are essentially spectral projections, can be chosen in clever ways and have proved to be of tremendous utility in various problems of numerical analysis, multidimensional signal processing, video data compression, and reconstruction of high resolution images and high quality speech. A proliferation of research papers and a couple of books, written in English (there is an earlier book written in French), have emerged on the subject. These books, so far, are written by specialists for specialists, with a heavy mathematical flavor, which is characteristic of the Calderon-Zygmund theory and related research of Duffin-Schaeffer, Daubechies, Grossman, Meyer, Morlet, Chui, and others. Randy Young's monograph is geared more towards practitioners and even non-specialists, who want and, probably, should be cognizant of the exciting proven as well as potential benefits which have either already emerged or are likely to emerge from wavelet theory.

Introduction to Wavelets and Wavelet Transforms

C. S. Burrus,Ramesh A. Gopinath,Haitao Guo
Introduction to Wavelets and Wavelet Transforms Book PDF

Author : C. S. Burrus,Ramesh A. Gopinath,Haitao Guo
Publisher : Pearson
Page : 294 pages
File Size : 50,5 Mb
Release : 1998
Category : Mathematics
ISBN : STANFORD:36105019319495

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Introduction to Wavelets and Wavelet Transforms by C. S. Burrus,Ramesh A. Gopinath,Haitao Guo Pdf

Advanced undergraduate and beginning graduate students, faculty, researchers and practitioners in signal processing, telecommunications, and computer science, and applied mathematics. It assumes a background of Fourier series and transforms and of linear algebra and matrix methods. This primer presents a well balanced blend of the mathematical theory underlying wavelet techniques and a discussion that gives insight into why wavelets are successful in signal analysis, compression, dection, numerical analysis, and a wide variety of other theoretical and practical applications. It fills a gap in the existing wavelet literature with its unified view of expansions of signals into bases and frames, as well as the use of filter banks as descriptions and algorithms.

An Introduction to Wavelets

Charles K. Chui
An Introduction to Wavelets Book PDF

Author : Charles K. Chui
Publisher : Elsevier
Page : 278 pages
File Size : 53,8 Mb
Release : 2016-06-03
Category : Science
ISBN : 9781483282862

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An Introduction to Wavelets by Charles K. Chui Pdf

Wavelet Analysis and its Applications, Volume 1: An Introduction to Wavelets provides an introductory treatise on wavelet analysis with an emphasis on spline-wavelets and time-frequency analysis. This book is divided into seven chapters. Chapter 1 presents a brief overview of the subject, including classification of wavelets, integral wavelet transform for time-frequency analysis, multi-resolution analysis highlighting the important properties of splines, and wavelet algorithms for decomposition and reconstruction of functions. The preliminary material on Fourier analysis and signal theory is covered in Chapters 2 and 3. Chapter 4 covers the introductory study of cardinal splines, while Chapter 5 describes a general approach to the analysis and construction of scaling functions and wavelets. Spline-wavelets are deliberated in Chapter 6. The last chapter is devoted to an investigation of orthogonal wavelets and wavelet packets. This volume serves as a textbook for an introductory one-semester course on “wavelet analysis for upper-division undergraduate or beginning graduate mathematics and engineering students.

Wavelets

Amir-Homayoon Najmi
Wavelets Book PDF

Author : Amir-Homayoon Najmi
Publisher : JHU Press
Page : 303 pages
File Size : 40,5 Mb
Release : 2012-04-15
Category : Mathematics
ISBN : 9781421405599

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Wavelets by Amir-Homayoon Najmi Pdf

Introduced nearly three decades ago as a variable resolution alternative to the Fourier transform, a wavelet is a short oscillatory waveform for analysis of transients. The discrete wavelet transform has remarkable multi-resolution and energy-compaction properties. Amir-Homayoon Najmi’s introduction to wavelet theory explains this mathematical concept clearly and succinctly. Wavelets are used in processing digital signals and imagery from myriad sources. They form the backbone of the JPEG2000 compression standard, and the Federal Bureau of Investigation uses biorthogonal wavelets to compress and store its vast database of fingerprints. Najmi provides the mathematics that demonstrate how wavelets work, describes how to construct them, and discusses their importance as a tool to investigate and process signals and imagery. He reviews key concepts such as frames, localizing transforms, orthogonal and biorthogonal bases, and multi-resolution. His examples include the Haar, the Shannon, and the Daubechies families of orthogonal and biorthogonal wavelets. Our capacity and need for collecting and transmitting digital data is increasing at an astonishing rate. So too is the importance of wavelets to anyone working with and analyzing digital data. Najmi’s primer will be an indispensable resource for those in computer science, the physical sciences, applied mathematics, and engineering who wish to obtain an in-depth understanding and working knowledge of this fascinating and evolving field.

An Introduction to Random Vibrations, Spectral & Wavelet Analysis

D. E. Newland
An Introduction to Random Vibrations Spectral Wavelet Analysis Book PDF

Author : D. E. Newland
Publisher : Courier Corporation
Page : 514 pages
File Size : 47,9 Mb
Release : 2012-04-03
Category : Science
ISBN : 9780486136967

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An Introduction to Random Vibrations, Spectral & Wavelet Analysis by D. E. Newland Pdf

One of the first engineering books to cover wavelet analysis, this classic text describes and illustrates basic theory, with a detailed explanation of the workings of discrete wavelet transforms. Computer algorithms are explained and supported by examples and a set of problems, and an appendix lists ten computer programs for calculating and displaying wavelet transforms. Starting with an introduction to probability distributions and averages, the text examines joint probability distributions, ensemble averages, and correlation; Fourier analysis; spectral density and excitation response relations for linear systems; transmission of random vibration; statistics of narrow band processes; and accuracy of measurements. Discussions of digital spectral analysis cover discrete Fourier transforms as well as windows and smoothing. Additional topics include the fast Fourier transform; pseudo-random processes; multidimensional spectral analysis; response of continuous linear systems to stationary random excitation; and discrete wavelet analysis. Numerous diagrams and graphs clarify the text, and complicated mathematics are simplified whenever possible. This volume is suitable for upper-level undergraduates and graduate students in engineering and the applied sciences; it is also an important resource for professionals.

The Illustrated Wavelet Transform Handbook

Paul S Addison
The Illustrated Wavelet Transform Handbook Book PDF

Author : Paul S Addison
Publisher : CRC Press
Page : 384 pages
File Size : 49,9 Mb
Release : 2002-07-15
Category : Science
ISBN : 1420033395

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The Illustrated Wavelet Transform Handbook by Paul S Addison Pdf

The Illustrated Wavelet Transform Handbook: Introductory Theory and Applications in Science, Engineering, Medicine and Finance provides an overview of the theory and practical applications of wavelet transform methods. The author uses several hundred illustrations, some in color, to convey mathematical concepts and the results of applications. The first chapter presents a brief overview of the wavelet transform, including a short history. The remainder of the book is split into two parts: the first part discusses the mathematics of both discrete and continuous wavelet transforms while the second part deals with applications in a variety of subject areas, such as geophysics, medicine, fluid turbulence, engineering testing, speech and sound analysis, image analysis, and data compression. These application chapters make the reader aware of the similarities that exist in the use of wavelet transform analysis across disciplines. A comprehensive list of more than 700 references provides a valuable resource for further study. The book is designed specifically for the applied reader in science, engineering, medicine, finance, or any other of the growing number of application areas. Newcomers to the subject will find an accessible and clear account of the theory of continuous and discrete wavelet transforms, providing a large number of examples of their use across a wide range of disciplines. Readers already acquainted with wavelets can use the book to broaden their perspective.

A Wavelet Tour of Signal Processing

Stephane Mallat
A Wavelet Tour of Signal Processing Book PDF

Author : Stephane Mallat
Publisher : Elsevier
Page : 620 pages
File Size : 43,8 Mb
Release : 1999-09-14
Category : Mathematics
ISBN : 0080520839

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A Wavelet Tour of Signal Processing by Stephane Mallat Pdf

This book is intended to serve as an invaluable reference for anyone concerned with the application of wavelets to signal processing. It has evolved from material used to teach "wavelet signal processing" courses in electrical engineering departments at Massachusetts Institute of Technology and Tel Aviv University, as well as applied mathematics departments at the Courant Institute of New York University and École Polytechnique in Paris. Provides a broad perspective on the principles and applications of transient signal processing with wavelets Emphasizes intuitive understanding, while providing the mathematical foundations and description of fast algorithms Numerous examples of real applications to noise removal, deconvolution, audio and image compression, singularity and edge detection, multifractal analysis, and time-varying frequency measurements Algorithms and numerical examples are implemented in Wavelab, which is a Matlab toolbox freely available over the Internet Content is accessible on several level of complexity, depending on the individual reader's needs New to the Second Edition Optical flow calculation and video compression algorithms Image models with bounded variation functions Bayes and Minimax theories for signal estimation 200 pages rewritten and most illustrations redrawn More problems and topics for a graduate course in wavelet signal processing, in engineering and applied mathematics

Quantitative Methods in Economics and Finance

Tomas Kliestik,Katarina Valaskova,Maria Kovacova
Quantitative Methods in Economics and Finance Book PDF

Author : Tomas Kliestik,Katarina Valaskova,Maria Kovacova
Publisher : MDPI
Page : 164 pages
File Size : 46,8 Mb
Release : 2021-04-08
Category : Business & Economics
ISBN : 9783036505367

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Quantitative Methods in Economics and Finance by Tomas Kliestik,Katarina Valaskova,Maria Kovacova Pdf

The purpose of the Special Issue “Quantitative Methods in Economics and Finance” of the journal Risks was to provide a collection of papers that reflect the latest research and problems of pricing complex derivates, simulation pricing, analysis of financial markets, and volatility of exchange rates in the international context. This book can be used as a reference for academicians and researchers who would like to discuss and introduce new developments in the field of quantitative methods in economics and finance and explore applications of quantitative methods in other business areas.