Generalized optimal wavelet decomposing algorithm for big financial data

International Journal of Production Economics

Volumn 165, Issue , 2015, Pages 194-214

  Sun, Edward W ^a   Chen, Yi Ting ^b   Yu, Min Teh ^b  

^a KEDGE BUSINESS SCHOOL   (France)

^b NATIONAL CHIAO TUNG UNIVERSITY   (Taiwan)

Author keywords

Big financial data; DWT; High frequency data; MODWT; Wavelet

Indexed keywords

DISCRETE WAVELET TRANSFORMS; ECONOMICS; FINANCE; MICROSTRUCTURE; SIGNAL RECONSTRUCTION;

APPROXIMATION ERRORS; DECOMPOSITION ALGORITHM; FINANCIAL DATA; FORECASTING PERFORMANCE; HIGH FREQUENCY DATA; MARKET MICROSTRUCTURE NOISE; MODWT; WAVELET;

WAVELET DECOMPOSITION;

EID: 84929515623     PISSN: 09255273     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijpe.2014.12.033     Document Type: Article

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