Search Results

Multiscale Financial Signal Processing and Machine Learning

Download or Read eBook Multiscale Financial Signal Processing and Machine Learning PDF written by Zhengde Zhao and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle.
Multiscale Financial Signal Processing and Machine Learning
Author :
Publisher :
Total Pages : 0
Release :
ISBN-10 : OCLC:1373906170
ISBN-13 :
Rating : 4/5 (70 Downloads)

Book Synopsis Multiscale Financial Signal Processing and Machine Learning by : Zhengde Zhao

Book excerpt: Financial time series such as market indices and asset prices are shown to be driven by multiscale factors, ranging from long-term market regimes to rapid fluctuations. Multiscale analysis and signal processing not only reveal latent behaviors embedded in financial time series, but also help machine learning prediction tasks. In this thesis we focus on two different approaches tailored for daily and intraday financial time series respectively. In the first study, Hilbert-Huang transform is applied to daily prices and index values to reveal the underlying multiscale dynamics. In addition, a novel machine learning framework is proposed for identifying useful predictive features. An adaptive algorithm for highly nonstationary time series was introduced and applied to cryptocurrencies to show embedded structure and spectral properties. In the second study, we inspect the relations between statistical properties at different timescales, with the application to intraday high-frequency price data with noise. Functions describing the multiscale behaviors of volatility and correlation are defined and computed using empirical data. Models for high-frequency price processes are proposed and compared against empirical observations.


Multiscale Financial Signal Processing and Machine Learning Related Books

Multiscale Financial Signal Processing and Machine Learning
Language: en
Pages: 0
Authors: Zhengde Zhao
Categories:
Type: BOOK - Published: 2022 - Publisher:

DOWNLOAD EBOOK

Financial time series such as market indices and asset prices are shown to be driven by multiscale factors, ranging from long-term market regimes to rapid fluct
Financial Signal Processing and Machine Learning
Language: en
Pages: 312
Authors: Ali N. Akansu
Categories: Technology & Engineering
Type: BOOK - Published: 2016-04-21 - Publisher: John Wiley & Sons

DOWNLOAD EBOOK

The modern financial industry has been required to deal with large and diverse portfolios in a variety of asset classes often with limited market data available
Financial Signal Processing and Machine Learning
Language: en
Pages: 312
Authors: Ali N. Akansu
Categories: Technology & Engineering
Type: BOOK - Published: 2016-05-09 - Publisher: Wiley-IEEE Press

DOWNLOAD EBOOK

The modern financial industry has been required to deal with large and diverse portfolios in a variety of asset classes often with limited market data available
Financial Signal Processing and Machine Learning
Language: en
Pages: 312
Authors: Ali N. Akansu
Categories: Technology & Engineering
Type: BOOK - Published: 2016-04-20 - Publisher: John Wiley & Sons

DOWNLOAD EBOOK

The modern financial industry has been required to deal with large and diverse portfolios in a variety of asset classes often with limited market data available
Multiscale Financial Data Analytics Mahb
Language: en
Pages: 0
Authors: Tim Siu-Tang Leung
Categories: Business & Economics
Type: BOOK - Published: 2025-06-30 - Publisher: World Scientific Publishing Company

DOWNLOAD EBOOK

Multiscale Financial Data Analytics and Machine Learning offers a systematic and comprehensive study on the multiscale approach to financial data analytics and
Scroll to top