Sun, Edward W.; Meinl, Thomas - In: European Journal of Operational Research 217 (2012) 3, pp. 589-599
Denoising analysis imposes new challenge for mining high-frequency financial data due to its irregularities and roughness. Inefficient decomposition of the systematic pattern (the trend) and noises of high-frequency data will lead to erroneous conclusion as the irregularities and roughness of...