An Introduction To Wavelet Theory In Finance

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An Introduction to Wavelet Theory in Finance

Author : Francis In
Publisher : World Scientific
ISBN 13 : 9814397830
Total Pages : 213 pages
Book Rating : 4.8/5 (143 download)

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Book Synopsis An Introduction to Wavelet Theory in Finance by : Francis In

Download or read book An Introduction to Wavelet Theory in Finance written by Francis In and published by World Scientific. This book was released on 2013 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

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

Author : Ramazan Gençay
Publisher : Elsevier
ISBN 13 : 0080509223
Total Pages : 383 pages
Book Rating : 4.0/5 (85 download)

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Book Synopsis An Introduction to Wavelets and Other Filtering Methods in Finance and Economics by : Ramazan Gençay

Download or read book An Introduction to Wavelets and Other Filtering Methods in Finance and Economics written by Ramazan Gençay and published by Elsevier. This book was released on 2001-10-12 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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

Wavelet Applications in Economics and Finance

Author : Marco Gallegati
Publisher : Springer
ISBN 13 : 3319070614
Total Pages : 271 pages
Book Rating : 4.3/5 (19 download)

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Book Synopsis Wavelet Applications in Economics and Finance by : Marco Gallegati

Download or read book Wavelet Applications in Economics and Finance written by Marco Gallegati and published by Springer. This book was released on 2014-08-04 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

The Illustrated Wavelet Transform Handbook

Author : Paul S Addison
Publisher : CRC Press
ISBN 13 : 9781420033397
Total Pages : 384 pages
Book Rating : 4.0/5 (333 download)

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Book Synopsis The Illustrated Wavelet Transform Handbook by : Paul S Addison

Download or read book The Illustrated Wavelet Transform Handbook written by Paul S Addison and published by CRC Press. This book was released on 2002-07-15 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Wavelet Methods for Time Series Analysis

Author : Donald B. Percival
Publisher : Cambridge University Press
ISBN 13 : 1107717396
Total Pages : 628 pages
Book Rating : 4.1/5 (77 download)

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Book Synopsis Wavelet Methods for Time Series Analysis by : Donald B. Percival

Download or read book Wavelet Methods for Time Series Analysis written by Donald B. Percival and published by Cambridge University Press. This book was released on 2006-02-27 with total page 628 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

The Illustrated Wavelet Transform Handbook

Author : Paul S. Addison
Publisher : CRC Press
ISBN 13 : 1315355280
Total Pages : 587 pages
Book Rating : 4.3/5 (153 download)

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Book Synopsis The Illustrated Wavelet Transform Handbook by : Paul S. Addison

Download or read book The Illustrated Wavelet Transform Handbook written by Paul S. Addison and published by CRC Press. This book was released on 2017-01-06 with total page 587 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Wavelets

Author : Charles K. Chui
Publisher : SIAM
ISBN 13 : 9780898719727
Total Pages : 228 pages
Book Rating : 4.7/5 (197 download)

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Book Synopsis Wavelets by : Charles K. Chui

Download or read book Wavelets written by Charles K. Chui and published by SIAM. This book was released on 1997-01-01 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: Wavelets continue to be powerful mathematical tools that can be used to solve problems for which the Fourier (spectral) method does not perform well or cannot handle. This book is for engineers, applied mathematicians, and other scientists who want to learn about using wavelets to analyze, process, and synthesize images and signals. Applications are described in detail and there are step-by-step instructions about how to construct and apply wavelets. The only mathematically rigorous monograph written by a mathematician specifically for nonspecialists, it describes the basic concepts of these mathematical techniques, outlines the procedures for using them, compares the performance of various approaches, and provides information for problem solving, putting the reader at the forefront of current research.

Introduction to Wavelets and Wavelet Transforms

Author : C. S. Burrus
Publisher : Pearson
ISBN 13 :
Total Pages : 294 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Introduction to Wavelets and Wavelet Transforms by : C. S. Burrus

Download or read book Introduction to Wavelets and Wavelet Transforms written by C. S. Burrus and published by Pearson. This book was released on 1998 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Wavelets

Author : Amir-Homayoon Najmi
Publisher : JHU Press
ISBN 13 : 1421405598
Total Pages : 303 pages
Book Rating : 4.4/5 (214 download)

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Book Synopsis Wavelets by : Amir-Homayoon Najmi

Download or read book Wavelets written by Amir-Homayoon Najmi and published by JHU Press. This book was released on 2012-04-15 with total page 303 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 Wavelets

Author : Charles K. Chui
Publisher : Elsevier
ISBN 13 : 1483282864
Total Pages : 281 pages
Book Rating : 4.4/5 (832 download)

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Book Synopsis An Introduction to Wavelets by : Charles K. Chui

Download or read book An Introduction to Wavelets written by Charles K. Chui and published by Elsevier. This book was released on 2016-06-03 with total page 281 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Ten Lectures on Wavelets

Author : Ingrid Daubechies
Publisher : SIAM
ISBN 13 : 9781611970104
Total Pages : 357 pages
Book Rating : 4.9/5 (71 download)

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Book Synopsis Ten Lectures on Wavelets by : Ingrid Daubechies

Download or read book Ten Lectures on Wavelets written by Ingrid Daubechies and published by SIAM. This book was released on 1992-01-01 with total page 357 pages. Available in PDF, EPUB and Kindle. Book excerpt: Wavelets are a mathematical development that may revolutionize the world of information storage and retrieval according to many experts. They are a fairly simple mathematical tool now being applied to the compression of data--such as fingerprints, weather satellite photographs, and medical x-rays--that were previously thought to be impossible to condense without losing crucial details. This monograph contains 10 lectures presented by Dr. Daubechies as the principal speaker at the 1990 CBMS-NSF Conference on Wavelets and Applications. The author has worked on several aspects of the wavelet transform and has developed a collection of wavelets that are remarkably efficient.

An Introduction to Wavelet Theory in Finance

Author : Francis In
Publisher : World Scientific
ISBN 13 : 9814397849
Total Pages : 213 pages
Book Rating : 4.8/5 (143 download)

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Book Synopsis An Introduction to Wavelet Theory in Finance by : Francis In

Download or read book An Introduction to Wavelet Theory in Finance written by Francis In and published by World Scientific. This book was released on 2013 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Fundamental Papers in Wavelet Theory

Author : Christopher Heil
Publisher : Princeton University Press
ISBN 13 : 1400827264
Total Pages : 897 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Fundamental Papers in Wavelet Theory by : Christopher Heil

Download or read book Fundamental Papers in Wavelet Theory written by Christopher Heil and published by Princeton University Press. This book was released on 2009-01-10 with total page 897 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book traces the prehistory and initial development of wavelet theory, a discipline that has had a profound impact on mathematics, physics, and engineering. Interchanges between these fields during the last fifteen years have led to a number of advances in applications such as image compression, turbulence, machine vision, radar, and earthquake prediction. This book contains the seminal papers that presented the ideas from which wavelet theory evolved, as well as those major papers that developed the theory into its current form. These papers originated in a variety of journals from different disciplines, making it difficult for the researcher to obtain a complete view of wavelet theory and its origins. Additionally, some of the most significant papers have heretofore been available only in French or German. Heil and Walnut bring together these documents in a book that allows researchers a complete view of wavelet theory's origins and development.

Wavelet Transforms and Their Applications

Author : Lokenath Debnath
Publisher : Springer Science & Business Media
ISBN 13 : 1461200970
Total Pages : 575 pages
Book Rating : 4.4/5 (612 download)

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Book Synopsis Wavelet Transforms and Their Applications by : Lokenath Debnath

Download or read book Wavelet Transforms and Their Applications written by Lokenath Debnath and published by Springer Science & Business Media. This book was released on 2011-06-28 with total page 575 pages. Available in PDF, EPUB and Kindle. Book excerpt: Overview Historically, the concept of "ondelettes" or "wavelets" originated from the study of time-frequency signal analysis, wave propagation, and sampling theory. One of the main reasons for the discovery of wavelets and wavelet transforms is that the Fourier transform analysis does not contain the local information of signals. So the Fourier transform cannot be used for analyzing signals in a joint time and frequency domain. In 1982, Jean MorIet, in collaboration with a group of French engineers, first introduced the idea of wavelets as a family of functions constructed by using translation and dilation of a single function, called the mother wavelet, for the analysis of nonstationary signals. However, this new concept can be viewed as the synthesis of various ideas originating from different disciplines including mathematics (Calder6n-Zygmund operators and Littlewood-Paley theory), physics (coherent states in quantum mechanics and the renormalization group), and engineering (quadratic mirror filters, sideband coding in signal processing, and pyramidal algorithms in image processing). Wavelet analysis is an exciting new method for solving difficult problems in mathematics, physics, and engineering, with modern applications as diverse as wave propagation, data compression, image processing, pattern recognition, computer graphics, the detection of aircraft and submarines, and improvement in CAT scans and other medical image technology. Wavelets allow complex information such as music, speech, images, and patterns to be decomposed into elementary forms, called the fundamental building blocks, at different positions and scales and subsequently reconstructed with high precision.

A Wavelet Tour of Signal Processing

Author : Stephane Mallat
Publisher : Elsevier
ISBN 13 : 0080520839
Total Pages : 663 pages
Book Rating : 4.0/5 (85 download)

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Book Synopsis A Wavelet Tour of Signal Processing by : Stephane Mallat

Download or read book A Wavelet Tour of Signal Processing written by Stephane Mallat and published by Elsevier. This book was released on 1999-09-14 with total page 663 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 ÉcolePolytechnique 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

A Friendly Guide to Wavelets

Author : Gerald Kaiser
Publisher : Springer Science & Business Media
ISBN 13 : 0817681116
Total Pages : 318 pages
Book Rating : 4.8/5 (176 download)

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Book Synopsis A Friendly Guide to Wavelets by : Gerald Kaiser

Download or read book A Friendly Guide to Wavelets written by Gerald Kaiser and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is designed as a textbook for an introductory course on wavelet analysis and time-frequency analysis aimed at graduate students or advanced undergraduates in science and engineering. It can also be used as a self-study or reference book by practicing researchers in signal analysis and related areas. Since the expected audience is not presumed to have a high level of mathematical background, much of the needed analytical machinery is developed from the beginning. The only prerequisites for the first eight chapters are matrix theory, Fourier series, and Fourier integral transforms. Each of these chapters ends with a set of straightforward exercises designed to drive home the concepts just covered, and the many graphics should further facilitate absorption.

Applied Financial Econometrics

Author : Moinak Maiti
Publisher : Springer Nature
ISBN 13 : 9811640637
Total Pages : 287 pages
Book Rating : 4.8/5 (116 download)

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Book Synopsis Applied Financial Econometrics by : Moinak Maiti

Download or read book Applied Financial Econometrics written by Moinak Maiti and published by Springer Nature. This book was released on 2021-08-31 with total page 287 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook gives students an approachable, down to earth resource for the study of financial econometrics. While the subject can be intimidating, primarily due to the mathematics and modelling involved, it is rewarding for students of finance and can be taught and learned in a straightforward way. This book, going from basics to high level concepts, offers knowledge of econometrics that is intended to be used with confidence in the real world. This book will be beneficial for both students and tutors who are associated with econometrics subjects at any level.