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   -> Volume 7, Issue 7


Answer: Wavelets and financial time series (WD 7.6 #26)
 
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Paul Costa (pc@mathworks.com)
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PostPosted: Thu Jul 02, 1998 6:00 pm    
Subject: Answer: Wavelets and financial time series (WD 7.6 #26)
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#9 Answer: Wavelets and financial time series (WD 7.6 #26)

The question was:

> 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
> email: Noyes_L_Avery@email.mobil.com

The answer is:

There is an article titled "Making Wavelets in Finance" written by
Mark J. Jensen, Ph.D which maybe of interest. The article is
in a newsletter called "Financial Engineering News" (August 1997
Volume 1 Number 1) and maybe obtained from their web site:

http://www.fenews.com/

Best Regards,

Paul Costa
The MathWorks, Inc.
pc@mathworks.com
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