Efficient estimation of the Hurst parameter in high frequency financial data with seasonalities using wavelets.
Erhan BayraktarH. Vincent PoorRonnie SircarPublished in: CIFEr (2003)
Keyphrases
- high frequency
- financial data
- wavelet transform
- low frequency
- multi resolution analysis
- wavelet decomposition
- visual quality
- low pass
- high resolution
- subband
- phase shifting
- high frequencies
- bankruptcy prediction
- stock market
- wavelet coefficients
- multiresolution
- discrete wavelet transform
- signal processing
- high frequency components
- image compression
- image processing
- wavelet domain
- stock trading
- financial ratios
- financial statements
- subband decomposition
- stock price
- data mining
- data fusion
- image representation
- feature extraction
- computer vision