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A nonlinear filtering algorithm based on wavelet transforms for high-frequency financial data analysis
Meinl, Thomas; Sun, Edward W. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 16 (2012) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10009656072
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A new wavelet-based denoising algorithm for high-frequency financial data mining
Sun, Edward W.; Meinl, Thomas - In: European journal of operational research : EJOR 217 (2012) 3, pp. 589-599
Persistent link: https://www.econbiz.de/10009419039
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Generalized optimal wavelet decomposing algorithm for big financial data
Sun, Edward W.; Chen, Yi-Ting; Yu, Min-Teh - In: International journal of production economics 165 (2015), pp. 194-214
Persistent link: https://www.econbiz.de/10011309048
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Improving model performance with the integrated wavelet denoising method
Chen, Yi-Ting; Sun, Edward W.; Yu, Min-Teh - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 445-467
Persistent link: https://www.econbiz.de/10011339420
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Risk assessment with wavelet feature engineering for high-frequency portfolio trading
Chen, Yi-Ting; Sun, Edward W.; Yu, Min-Teh - In: Computational economics 52 (2018) 2, pp. 653-684
Persistent link: https://www.econbiz.de/10012053020
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Jump detection and noise separation by a singular wavelet method for predictive analytics of high-frequency data
Chen, Yi-Ting; Lai, Wan Ni; Sun, Edward W. - In: Computational economics 54 (2019) 2, pp. 809-844
Persistent link: https://www.econbiz.de/10012134380