A new wavelet-based denoising algorithm for high-frequency financial data mining

European Journal of Operational Research

Volumn 217, Issue 3, 2012, Pages 589-599

  Sun, Edward W ^a   Meinl, Thomas ^b  

^a KEDGE BUSINESS SCHOOL   (France)

^b KARLSRUHE INSTITUTE OF TECHNOLOGY   (Germany)

Author keywords

Data mining; Denoising; High frequency financial data; Time series; Wavelets

Indexed keywords

DE-NOISING; DE-NOISING ALGORITHM; EQUITY MARKETS; FINANCIAL DATA; HIGH FREQUENCY DATA; HIGH FREQUENCY HF; LOCAL LINEAR; NONLINEAR FILTERING ALGORITHM; SIMULATION STUDIES; WAVELETS;

COMPUTATIONAL COMPLEXITY; DATA MINING; DISCRETE WAVELET TRANSFORMS; NOISE POLLUTION CONTROL; NONLINEAR FILTERING; TIME SERIES;

APPROXIMATION ALGORITHMS;

EID: 81855201761     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2011.09.049     Document Type: Article

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