An Application of the Continuous Wavelet Transform to Financial Time Series

Detta är en Master-uppsats från Lunds universitet/Institutionen för elektro- och informationsteknik

Sammanfattning: Wavelet theory, which shares fundamental concepts with windowed Fourier analysis, introduces the notion of scale in an effort to aid in joint time-frequency analysis. Having century-old roots, much of the essential research on the subject of wavelets was conducted during the 1970s and 1980s. Despite being a rather young toolset, wavelets have shown to be very useful when studying signals with transient, non-stationary, characteristics. This thesis focuses on the continuous wavelet transform (CWT) in the one-dimensional case from a practical implementation standpoint. It also contains sections on wavelet history, development, and the theoretical fundamentals. The presented implementation contains a computer software with a graphical user interface that was developed in the context of financial trading in the currency markets. More specifically, the implementation contains a C++ based code library developed to expose an application programming interface (API) that is called from a retail desktop forex trading software where it can aid in market analysis visualization.

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