I was wondering why is it not a common practice (at least in academia) to use Wavelet based methods to estimate correlation matrix for portfolio optimization? For instance Lindsay, R. W., D. B. P. &...
Considering less liquid instruments can have a higher degree of volatility especially on lower time frames (1-tick or 1-second), is it possible to effectively use wavelets to reduce the issue of noise ...
I am doing signal analysis for a time series and the assumption of signal is S = F + e Where S is the original signal, F is the frequency component and e is white noise (auto-regressive time series ...
After reading a few references here to wavelets, I'm trying to denoise (or at least 'compress') a time-series of forex prices using a Daubechy04 wavelet (forward tranform, 8 most important (in ...
There are a lot of papers out there which make attempts to forecast or discuss the benefits of wavelets for frequency decomposition. Oddly, very few discuss the huge boundary effects that are present ...