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ANALYSIS OF TIME SERIES WITH WAVELETS

ARMANDO CIANCIO

Department of Mathematics, University of Messina, Messina, I-98100, Italy

Department of Mathematics, University of Messina, c.ta Papardo, s.ta Sperone 31, I-98166 Messina, Italy.

https://doi.org/10.1142/S0219691307001744Cited by:25 (Source: Crossref)

Abstract

A financial time series analysis method based on the theory of wavelets is proposed. It is based on the transformation of data of the series in the corresponding wavelet coefficients and in the analysis of the latter, which represent the local characteristics of the series better. In particular, an algorithm for short term previsions is defined.

Keywords:

AMSC: 35A35, 42C40, 41A15, 47A58

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