An introduction to wavelet theory in finance a wavelet multiscale approach.
This book offers an introduction to wavelet theory and provides the essence of wavelet analysis — including Fourier analysis and spectral analysis; the maximum overlap discrete wavelet transform; wavelet variance, covariance, and correlation — in a unified and friendly manner. It aims to bridge the...
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| Main Authors | , |
|---|---|
| Format | eBook Book |
| Language | English |
| Published |
Singapore
World Scientific Publishing Co. Pte. Ltd
2012
World Scientific WORLD SCIENTIFIC World Scientific Publishing |
| Subjects | |
| Online Access | Get full text |
| ISBN | 9814397830 9789814397834 |
| DOI | 10.1142/8431 |
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| Abstract | This book offers an introduction to wavelet theory and provides the essence of wavelet analysis — including Fourier analysis and spectral analysis; the maximum overlap discrete wavelet transform; wavelet variance, covariance, and correlation — in a unified and friendly manner. It aims to bridge the gap between theory and practice by presenting substantial applications of wavelets in economics and finance. |
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| AbstractList | This book offers an introduction to wavelet theory and provides the essence of wavelet analysis - including Fourier analysis and spectral analysis; the maximum overlap discrete wavelet transform; wavelet variance, covariance, and correlation - in a unified and friendly manner. It aims to bridge the gap between theory and practice by presenting substantial applications of wavelets in economics and finance.This book is the first to provide a comprehensive application of wavelet analysis to financial markets, covering new frontier issues in empirical finance and economics. The first chapter of this unique text starts with a description of the key features and applications of wavelets. After an overview of wavelet analysis, successive chapters rigorously examine the various economic and financial topics and issues that stimulate academic and professional research, including equity, interest swaps, hedges and futures, foreign exchanges, financial asset pricing, and mutual fund markets.This detail-oriented text is descriptive and designed purely for academic researchers and financial practitioners. It assumes no prior knowledge of econometrics and covers important topics such as portfolio asset allocation, asset pricing, hedging strategies, new risk measures, and mutual fund performance. Its accessible presentation is also suitable for post-graduates in a variety of disciplines - applied economics, financial engineering, international finance, financial econometrics, and fund management. To facilitate the subject of wavelets, sophisticated proofs and mathematics are avoided as much as possible when applying the wavelet multiscaling method. To enhance the reader's understanding in practical applications of the wavelet multiscaling method, this book provides sample programming instruction backed by Matlab wavelet code.Sample Chapter(s)Chapter 1: Methodology: Introduction to Wavelet Analysis (536 KB)Contents:Methodology: Introduction to Wavelet AnalysisMultiscale Hedge Ratio Between the Stock and Futures Markets: A New Approach Using Wavelet Analysis and High Frequency DataModeling the International Links Between the Dollar, Euro and Yen Interest Rate Swap Markets Through a Multiscaling ApproachLong Memory in Rates and Volatilities of LIBOR: Wavelet AnalysisCross-Listing and Transmission of Pricing Information of Dually-Listed Stocks: A New Approach Using Wavelet AnalysisOn the Relationship Between Stock Returns and Risk Factors: New Evidence From Wavelet AnalysisCan the Risk Factors Explain the Cross-Section of Average Stock Returns in the Long Run?Multiscale Relationships Between Stock Returns and Inflations: International EvidenceMutual Fund Performance and Investment HorizonA New Assessment of US Mutual Fund Returns Through a Multiscaling ApproachReadership: Graduate students and researchers in the fields of econometrics, money & banking, investments, international finance, financial engineering, and fund management. This book offers an introduction to wavelet theory and provides the essence of wavelet analysis - including Fourier analysis and spectral analysis; the maximum overlap discrete wavelet transform; wavelet variance, covariance, and correlation - in a unified and friendly manner. It aims to bridge the gap between theory and practice by presenting substantial applications of wavelets in economics and finance. This book is the first to provide a comprehensive application of wavelet analysis to financial markets, covering new frontier issues in empirical finance and economics. The first chapter of this unique text starts with a description of the key features and applications of wavelets. After an overview of wavelet analysis, successive chapters rigorously examine the various economic and financial topics and issues that stimulate academic and professional research, including equity, interest swaps, hedges and futures, foreign exchanges, financial asset pricing, and mutual fund markets. This detail-oriented text is descriptive and designed purely for academic researchers and financial practitioners. It assumes no prior knowledge of econometrics and covers important topics such as portfolio asset allocation, asset pricing, hedging strategies, new risk measures, and mutual fund performance. Its accessible presentation is also suitable for post-graduates in a variety of disciplines - applied economics, financial engineering, international finance, financial econometrics, and fund management. To facilitate the subject of wavelets, sophisticated proofs and mathematics are avoided as much as possible when applying the wavelet multiscaling method. To enhance the reader's understanding in practical applications of the wavelet multiscaling method, this book provides sample programming instruction backed by Matlab wavelet code. This book offers an introduction to wavelet theory and provides the essence of wavelet analysis — including Fourier analysis and spectral analysis; the maximum overlap discrete wavelet transform; wavelet variance, covariance, and correlation — in a unified and friendly manner. It aims to bridge the gap between theory and practice by presenting substantial applications of wavelets in economics and finance. |
| Author | Kim, Sangbae In, Francis |
| Author_xml | – sequence: 1 fullname: In, Francis – sequence: 2 fullname: In, Francis – sequence: 3 fullname: Kim, Sangbae |
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| Keywords | Economics Wavelets Wavelet Analysis Multiscaling Method Finance |
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| Notes | Includes index Bibliography: p. 191-202 |
| PageCount | 213 |
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| Snippet | This book offers an introduction to wavelet theory and provides the essence of wavelet analysis — including Fourier analysis and spectral analysis; the maximum... This book offers an introduction to wavelet theory and provides the essence of wavelet analysis - including Fourier analysis and spectral analysis; the maximum... |
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| SubjectTerms | Börsenkurs Computational Economics Computational Finance Econometrics Finance Finance -- Mathematical models Financial Markets & Institutions Game Theory Investments Kapitaleinkommen Mathematical Economics Mathematical Finance Money & Banking Quantitative Finance Schätzung Wavelets (Mathematics) Welt Zeitreihenanalyse Zustandsraummodell |
| SubjectTermsDisplay | Finance Wavelets (Mathematics) |
| Subtitle | a wavelet multiscale approach. |
| TableOfContents | An introduction to wavelet theory in finance : a wavelet multiscale approach -- Contents -- Chapter 1: Methodology: Introduction to Wavelet Analysis -- Chapter 2: Multiscale Hedge Ratio Between the Stock and Futures Markets: A New Approach Using Wavelet Analysis and High Frequency Data -- Chapter 3: Modeling the International Links Between the Dollar, Euro and Yen Interest Rate Swap Markets Through a Multiscaling Approach -- Chapter 4: Long Memory in Rates and Volatilities of LIBOR: Wavelet Analysis -- Chapter 5: Cross-Listing and Transmission of Pricing Information of Dually-Listed Stocks: A New Approach Using Wavelet Analysis -- Chapter 6: On the Relationship Between Stock Returns and Risk Factors: New Evidence From Wavelet Analysis -- Chapter 7: Can the Risk Factors Explain the Cross-Section of Average Stock Returns in the Long Run? -- Chapter 8: Multiscale Relationships Between Stock Returns and Inflations: International Evidence -- Chapter 9: Mutual Fund Performance and Investment Horizon -- Chapter 10: A New Assessment of US Mutual Fund Returns Through a Multiscaling Approach -- References -- Index |
| Title | An introduction to wavelet theory in finance |
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