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 and better approximate where the real current market value is?
Taking the above concept a step further could data from the higher time frames(1-min & 5-min) also be taken into account to add further context to the wavelet calculation taking place on the lower time frame?
I apologize if my description is somewhat vague. I am still developing my understanding of wavelets and wanted to make sure I didn't begin down a path that was obviously futile to the more informed. From everything I have gathered so far wavelets are not necessarily considered useful for forecasting, but can have value where historical data is concerned.
Any additional insight would be much appreciated.