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Research of High-frequency Time Series Based on Wavelet Analysis

Author: GaoJing
Tutor: ZhangShiYing
School: Tianjin University
Course: Quantitative Economics
Keywords: High - frequency time series Wavelet Analysis Realized Volatility Multiresolution portfolio
CLC: F830
Type: Master's thesis
Year: 2007
Downloads: 374
Quote: 2
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Abstract


HF / UHF time series than the low - frequency time series contains more information , and performance of the long-term trend . It studies whether financial theory workers , or for financial practitioners , have great significance . In the capital market , each investor 's horizon is not the same as the short-term to long-term investors . Therefore , the market is a multi-scale structure . Wavelet multi-scale analysis characteristics , making it a powerful tool for the analysis of financial markets . This article is the use of wavelet analysis method to study some of the characteristics of financial high-frequency time series volatility, risk , predictable . First , the method of using wavelet analysis of high frequency time series \The given wavelet \Secondly, according to the characteristics of its multi-scale structure of high-frequency financial data given the different scales Beta coefficient build multiresolution portfolio strategy . This approach can solve the different time scales , how to choose the appropriate combination of weight to get big gains or minimize the risk of the portfolio problem . Again, the discussion can be predictive of the frequency time series . Multiresolution wavelet analysis method , high-frequency data modeling at different scales , and the establishment of the trend term and periodic terms , analyze data , and to predict the predicted results with ordinary modeling prediction methods were compared , and found that the prediction method in the short-term forecast is better , high accuracy . Finally, some concluding remarks , and look forward to the future research trends in the field . This paper is a multivariate moment sequences of long-term equilibrium relationship and dynamic financial risk avoidance strategy \

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory
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