Wavelet-based detection of coherent structures and self-affinity in financial data

European Physical Journal B

Volumn 20, Issue 4, 2001, Pages 543-546

  Fleming, B J W ^a   Yu, D ^a   Harrison, R G ^a   Jubb, D ^b  

^a HERIOT WATT UNIVERSITY   (United Kingdom)

^b Standard Life Uk Financial Services   (United Kingdom)

Author keywords

02.90.+p Other topics in mathematical methods in physics; 05.40. a Fluctuation phenomena, random processes, noise, and Brownian motion; 05.45.Tp Time series analysis

Indexed keywords

EID: 0041915790     PISSN: 14346028     EISSN: None     Source Type: Journal    
DOI: 10.1007/s100510170236     Document Type: Article

References (4)

1. J.C. Goswami, A.K. Chan, Fundamentals of Wavelets: Theory, Algorithms, and Applications (John Wiley & Sons Inc., New York 1999).
2. W.J. Staszewski, K. Worden, Int. J. Bifurc. Chaos 9, 455 (1999).
3. G.W. Wornell, Signal Processing with Fractals: A Wavelet Based Approach (Prentice-Hall, New-Jersey 1996).
4. I. Daubechies, Ten Lectures on Wavelets, CBMS-NSF Regional Conference Series on Applied Mathematics (PA: Society for Industrial and Applied Mathematics, 1992), Vol. 61.