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Characterizing Multi-Scale Self-Similar Behavior and Non-Statistical Properties of Financial Time Series
Non-stationary Time Series Wavelet Transform Fractals, Power Law
2010/10/19
We make use of wavelet transform to study the multi-scale, self similar behavior and deviations thereof, in the stock prices of large companies, belonging to different economic sectors. The stock mark...
Multiscaled Cross-Correlation Dynamics in Financial Time-Series
Multiscaled Cross-Correlation Dynamics Financial Time-Series
2010/10/18
The cross correlation matrix between equities comprises multiple interactions between traders with varying strategies and time horizons. In this paper, we use the Maximum Overlap Discrete Wavelet Tran...