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   -> Volume 7, Issue 6

Question: Wavelets and financial time series
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PostPosted: Thu Jun 11, 1998 8:53 pm    
Subject: Question: Wavelets and financial time series
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#26 Question: Wavelets and financial time series

Dear Wavelet Digest,

I would like to have the following question added to a forthcoming
issue of Wavelet Digest:

Question: My interest in wavelets is as a tool in helping to forecast
financial time series. My primary question is whether there is
software available to automate the calculation of wavelets for a long
time series on a walk-forward basis, one day at a time, such that the
wavelet calculation takes advantage only of current and past data and
no future data. I've experimented with TimeStat at bit, which can
perform the basis functions of detrending, normalizing, "mirroring"
the endpoint data to remove distortions, and wavelet calculations, but
only manually - one day at a time. Can anyone steer me to pertinent
software to perform this analysis. I've read that the Morlet wavelets
are most appropriate for such time series, but TimeStat does not offer
this feature. Again, any recommendations?

N. Avery
Bryn Mawr, PA

[Answer WD 7.7 #9]
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