Messanae Universitas Studiorum

Energy wavelet analysis of time series

Cattani, Carlo and Ciancio, Armando (2002) Energy wavelet analysis of time series. Accademia Peloritana dei Pericolanti - Classe di Scienze FF.MM.NN., LXXX (1). pp. 105-115.

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    Abstract

    In this paperwe will approach the analysis of time series by the discrete Haar wavelet trasnform and by the energy distribution. it is shown that the wavelet coefficients are strictly related to the scheme of finite differences, thus giving information on the first order properties of the data. In particular, this method is tested on financial data, such as stock pricings, by characterizing the trends and the abrupt changes, by means of the Shannon's information function (entropy), which is defined on the local energy.

    AMS Classification: Primary 35A35, 42C40, 41A15, 47A58. Secondary 65T60. 65D07. Jel Classification: C63, E43. Key words and phrases: Wavelets, haar function, time series, entropy.

    Item Type: Article
    Subjects: M.U.S. - Miscellanea > Atti Accademia Peloritana > Classe di Scienze Fisiche, Matematiche e Naturali > 2002
    M.U.S. - Miscellanea > Atti Accademia Peloritana > Classe di Scienze Giuridiche, Economiche e Politiche > 2002
    M.U.S. - Miscellanea > Atti Accademia Peloritana > Classe di Lettere, Filosofia e belle Arti > 2002
    Divisions: UNSPECIFIED
    Depositing User: Dr PP C
    Date Deposited: 19 Sep 2012 11:25
    Last Modified: 20 Sep 2012 09:44
    URI: http://cab.unime.it/mus/id/eprint/632

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