Applications of wavelet method in stock exchange problem

Samsul Ariffin Abdul Karim and Bakri Abdul Karim and Mohd Tahir Ismail and Mohammad Khatim Hasan and Jumat Sulaiman (2011) Applications of wavelet method in stock exchange problem. Journal of Applied Sciences, 11 (7). pp. 1-4. ISSN 1812-5654

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Abstract

The development of wavelet theory in recent years has motivate the emerged of applications such as in signal processing, image and function representation, finance, economics, numerical method etc. One of wavelet advantages as compared to Fourier is, it has fast algorithm to evaluate the series expansion. In this present article, we will discuss the applications of fast wavelet algorithm namely Discrete Wavelet Transform (DWT) in finance such as denoising the time series by using wavelet thresholding. We apply various thresholding approachs e.g., Heuristic SURE, SURE, Minimax and FixedForm method. Numerical result show that Minimax and fixed form method gives the better result.

Item Type:	Article
Keyword:	Wavelet , finance , economics
Subjects:	H Social Sciences > HB Economic theory. Demography > HB1-3840 Economic theory. Demography Q Science > QA Mathematics > QA1-939 Mathematics > QA299.6-433 Analysis
Department:	SCHOOL > School of Science and Technology
Depositing User:	ABDULLAH BIN SABUDIN -
Date Deposited:	23 Dec 2024 11:07
Last Modified:	23 Dec 2024 11:07
URI:	https://eprints.ums.edu.my/id/eprint/42360

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