Multi-scale representation of high frequency market liquidity.
Anton GolubGregor ChliamovitchAlexandre DupuisBastien ChopardPublished in: Algorithmic Finance (2016)
Keyphrases
- high frequency
- multiscale
- low frequency
- wavelet transform
- wavelet decomposition
- high resolution
- visual quality
- image representation
- wavelet coefficients
- subband
- futures market
- financial markets
- low pass
- low and high frequency
- high frequencies
- frequency band
- multi resolution analysis
- discrete wavelet transform
- contourlet transform
- scale space
- multiresolution
- filter bank
- gray scale
- short run
- image analysis