کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
975493 933033 2007 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Characterizing abrupt changes in the stock prices using a wavelet decomposition method
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Characterizing abrupt changes in the stock prices using a wavelet decomposition method
چکیده انگلیسی

Abrupt changes in the stock prices, either upwards or downwards, are usually preceded by an oscillatory behavior with frequencies that tend to increase as the moment of transition becomes closer. The wavelet decomposition methods may be useful for analysis of this oscillations with varying frequencies, because they provide simultaneous information on the frequency (scale) and localization in time (translation). However, in order to use the wavelet decomposition, certain requirements have to be satisfied, so that the linear and cyclic trends are eliminated by standard least squares techniques. The coefficients obtained by the wavelet decomposition can be represented in a graphical form. A threshold can then be established to characterize the likelihood of a short-time abrupt change in the stock prices. Actual data from the São Paulo Stock Exchange (Bolsa de Valores de São Paulo) were used in this work to illustrate the proposed method.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 383, Issue 2, 15 September 2007, Pages 519–526
نویسندگان
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