Wavelet Applications in Economics and Finance

Wavelet Applications in Economics and Finance PDF

Author: Marco Gallegati

Publisher: Springer

Published: 2014-08-04

Total Pages: 271

ISBN-13: 3319070614

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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.

An Introduction to Wavelet Theory in Finance

An Introduction to Wavelet Theory in Finance PDF

Author: Francis In

Publisher: World Scientific

Published: 2013

Total Pages: 213

ISBN-13: 9814397849

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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

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

Author: Ramazan Gençay

Publisher: Elsevier

Published: 2001-10-12

Total Pages: 383

ISBN-13: 0080509223

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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 Intuitive Guide to Wavelets for Economists

An Intuitive Guide to Wavelets for Economists PDF

Author: Patrick M. Crowley

Publisher:

Published: 2005

Total Pages: 68

ISBN-13: 9789524621892

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Wavelet analysis, although used extensively in disciplines such as signal processing, engineering, medical sciences, physics and astronomy, has not yet fully entered the economics discipline. In this discussion paper, wavelet analysis is introduced in an intuitive manner, and the existing economics and finance literature that utilises wavelets is explored. Extensive examples of exploratory wavelet analysis are given, many using Canadian, US and Finnish industrial production data. Finally, potential future applications for wavelet analysis in economics are also discussed and explored.

Handbook of Financial Econometrics and Statistics

Handbook of Financial Econometrics and Statistics PDF

Author: Cheng-Few Lee

Publisher: Springer

Published: 2014-09-28

Total Pages: 0

ISBN-13: 9781461477495

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​The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices.​

A Wavelet Tour of Signal Processing

A Wavelet Tour of Signal Processing PDF

Author: Stephane Mallat

Publisher: Elsevier

Published: 1999-09-14

Total Pages: 620

ISBN-13: 9780080520834

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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

Wavelet Methods for Time Series Analysis

Wavelet Methods for Time Series Analysis PDF

Author: Donald B. Percival

Publisher: Cambridge University Press

Published: 2006-02-27

Total Pages: 628

ISBN-13: 1107717396

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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.

Quantitative Methods in Economics and Finance

Quantitative Methods in Economics and Finance PDF

Author: Tomas Kliestik

Publisher: MDPI

Published: 2021-04-08

Total Pages: 164

ISBN-13: 3036505369

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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.

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