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Questions tagged [wavelet]

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3
votes
0answers
315 views

Stock market cycles with Fourier Transform - amplitude vs. phase

There is this Wikipedia article on cycles in stock market data, which describes a 5-step process of finding dominant cycles in price data where step 2 reads: Step 2: Subsequently, a cycles engine ...
2
votes
1answer
92 views

Can wavelets be effectively used to approximate the market value of an illiquid instrument?

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 ...
1
vote
1answer
77 views

Proper way to combine wavelet coefficients from multiple rounds of analysis

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 ...
4
votes
2answers
757 views

How to eliminate border effects on Wavelet denoising?

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 ...
9
votes
1answer
831 views

Practical Usage of Wavelets with Real Time Data

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 ...