A wavelet-heterogeneous index of market shocks for assessing the magnitude of financial crises.
Christophe BoucherPatrick KouontchouBertrand MailletRaymond HélènePublished in: ESANN (2009)
Keyphrases
- financial crisis
- financial data
- futures market
- stock market
- foreign exchange
- financial markets
- stock price
- exchange rate
- early warning
- financial institutions
- investment strategies
- chinese stock market
- wavelet transform
- decision making
- denoising
- multiresolution
- wavelet coefficients
- index structure
- stock returns
- multiscale
- multiresolution analysis
- listed companies
- wavelet tree
- market share
- trading strategies
- database
- feature extraction
- garch model
- emergency management
- wavelet decomposition
- b tree
- neural network