Wavelet multiscale analysis for Hedge Funds: Scaling and strategies

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 21, 2008, Pages 5197-5204

  Conlon, T ^a   Crane, M ^a   Ruskin, H J ^a  

^a DUBLIN CITY UNIVERSITY   (Ireland)

Author keywords

Cross correlation; Econophysics; Hedge Funds; Scaling; Wavelets

Indexed keywords

CORRELATION METHODS; DISCRETE WAVELET TRANSFORMS; ECONOMICS; ELECTRIC FAULT CURRENTS; FENCES; FINANCE; INVESTMENTS; RISK ASSESSMENT; RISKS; WAVELET TRANSFORMS;

APPLIED (CO); CAPITAL ASSET PRICING MODEL (CAPM); CORRELATION MATRIX (CM); ELSEVIER (CO); EXPLOSIVE GROWTH; HEDGE FUNDS; MARKET RISKS; MAXIMUM OVERLAP DISCRETE WAVELET TRANSFORM (MODWT); MULTISCALE ANALYSIS (MA); OVER THE COUNTER (OTC); PENSION FUNDS; RISK PROFILING; SCALING PROPERTIES; TIME HORIZONS; TIME SCALING;

RISK ANALYSIS;

EID: 47649089492     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2008.05.046     Document Type: Article

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