A WAVELET METHOD COUPLED WITH QUASI-SELF-SIMILAR STOCHASTIC PROCESSES FOR TIME SERIES APPROXIMATION-Reference-Cited by-同舟云学术

A WAVELET METHOD COUPLED WITH QUASI-SELF-SIMILAR STOCHASTIC PROCESSES FOR TIME SERIES APPROXIMATION

Published:2011-09 Issue:05 Volume:09 Page:685-711
ISSN:0219-6913
Container-title:International Journal of Wavelets, Multiresolution and Information Processing
language:en
Short-container-title:Int. J. Wavelets Multiresolut Inf. Process.

Author:

HAMRITA MOHAMED ESSAIED¹,ABDALLAH NIDHAL BEN²,MABROUK ANOUAR BEN³

Affiliation:

1. Higher Institute of Applied Sciences and Technology, Sidi Massaoud, 5111 Hiboun, Mahdia, Tunisia

2. Department of Quantitative Methods, Faculty of Economic Sciences and Management, Sidi Messaoud, 5111 Hiboun, Mahdia, Tunisia

3. Computational Mathematical Laboratory, Department of Mathematics, Faculty of Sciences, 5000 Monastir, Tunisia

Abstract

Scaling laws and generally self-similar structures are now well known facts in financial time series. Furthermore, these signals are characterized by the presence of stochastic behavior allowing their analysis with pure functional methods being incomplete. In the present paper, some existing models are reviewed and modified, based on wavelet theory and self-similarity, to recover multi-scaling cases for approximating financial signals. The resulting models are then tested on some empirical examples and analyzed for error estimates.

Publisher

World Scientific Pub Co Pte Lt

Subject

Applied Mathematics,Information Systems,Signal Processing

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219691311004353

Reference33 articles.

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