dorsal/arxiv
View SchemaVolatility Dynamics of Wavelet-Filtered Stock Prices
| Authors | I. M. Dremin, A. V. Leonidov |
|---|---|
| Categories | |
| ArXiv ID | physics/0612170 |
| URL | https://arxiv.org/abs/physics/0612170 |
Abstract
Volatility dynamics of wavelet - filtered stock price time series is studied. Using the universal thresholding method of wavelet filtering and a principle of minimal linear autocorrelation of noise component we find that the quantitative characteristics of volatility dynamics of denoised series are noticeably different from those of the raw data and the noise.
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"abstract": "Volatility dynamics of wavelet - filtered stock price time series is studied.\nUsing the universal thresholding method of wavelet filtering and a principle of\nminimal linear autocorrelation of noise component we find that the quantitative\ncharacteristics of volatility dynamics of denoised series are noticeably\ndifferent from those of the raw data and the noise.",
"arxiv_id": "physics/0612170",
"authors": [
"I. M. Dremin",
"A. V. Leonidov"
],
"categories": [
"physics.soc-ph",
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"title": "Volatility Dynamics of Wavelet-Filtered Stock Prices",
"url": "https://arxiv.org/abs/physics/0612170"
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