Search Results - subject:"multiresolution"

Wavelet based Multi-grid analysis, Wavelet Galerkin method and their Applications to American option: A Survey

Mitsui, Ken-ichi; Tabata, Yoshio - Graduate School of Economics, Osaka University - 2005

This paper surveys the literatures on numerical methods from its origins to present to evaluate American-style claims. An extensive review of numerical meth- ods is provided. In particular, emphases is placed on recent trends and developments in the multi-grid and Galerkin method with the...

Persistent link: https://www.econbiz.de/10005774288

Persistence Characteristics of the Chinese Stock Markets

Los, Cornelis A.; Yu, Bing - EconWPA - 2005

accuracy range with a new statistic), using wavelet multiresolution analysis (MRA), we identify the markets' subsequent degrees …

Persistent link: https://www.econbiz.de/10005561572

An intuitive guide to wavelets for economists

Crowley, Patrick M. - EconWPA - 2005

Wavelet analysis, although used extensively in disciplines such as signal processing, engineering, medical sciences, physics and astronomy, has not yet fully entered the economics discipline. In this discussion paper, wavelet analysis is introduced in an intuitive manner, and the existing...

Persistent link: https://www.econbiz.de/10005125692

Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997

LOS, CORNELIS A.; KARUPPIAH, JEYANTHI - EconWPA - 2004

between 1.5 and 2. This paper uses wavelet multiresolution analysis, with Haar wavelets, to analyze the nonstationarity (time …

Persistent link: https://www.econbiz.de/10005561603

Measuring the Degree of Efficiency of Financial Market

Los, Cornelis - EconWPA - 2004

processing analysis, like windowed Fourier and wavelet multiresolution analysis. …

Persistent link: https://www.econbiz.de/10005561619

Persistence Characteristics of Latin American Financial Markets

Zong, Sijing; Los, Cornelis A.; Kyaw, Nyonyo - EconWPA - 2004

monofractal (global) Hurst exponents from wavelet multiresolution analysis (MRA). Scalograms and scalegrams provide the respective …

Persistent link: https://www.econbiz.de/10005125049

Slight parameter changes detection in biological models: a multiresolution approach

Añino, M.M.; Torres, M.E.; Schlotthauer, G. - In: Physica A: Statistical Mechanics and its Applications 324 (2003) 3, pp. 645-664

multiresolution entropies combine advantages stemming from both entropy (Shannon and parametric q-entropy) and wavelet analysis, have … enables the automatic detection of such changes. In this paper, multiresolution and standard tools for the automatic detection … introduced and compared. The relevance of the multiresolution approach, together with its robustness in the presence of moderate …

Persistent link: https://www.econbiz.de/10011057808

Efficient, exact algorithms for asian options with multiresolution lattices

Dai, Tian-Shyr; Lyuu, Yuh-Dauh - In: Review of Derivatives Research 5 (2002) 2, pp. 181-203

been a long-standing research and practical problem. This paper proposes a novel multiresolution (MR) trinomial lattice for …

Persistent link: https://www.econbiz.de/10005709816

Risk and Multi-resolution Regimes in Volatility Processes

Capobianco, Enrico - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005345459

Relative complexity changes in time series using information measures

Torres, M.E.; Gamero, L.G. - In: Physica A: Statistical Mechanics and its Applications 286 (2000) 3, pp. 457-473

presented using the continuous multiresolution entropies. The assessment of time-scale complexity changes is also discussed. …

Persistent link: https://www.econbiz.de/10011059837