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Introduction To Wavelet Theory In Finance, An: A Wavelet Multiscale Approach (Hardcover)
Loot Price: R2,479
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Introduction To Wavelet Theory In Finance, An: A Wavelet Multiscale Approach (Hardcover)
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This book offers an introduction to wavelet theory and provides the
essence of wavelet analysis - including Fourier analysis and
spectral analysis; the maximum overlap discrete wavelet transform;
wavelet variance, covariance, and correlation - in a unified and
friendly manner. It aims to bridge the gap between theory and
practice by presenting substantial applications of wavelets in
economics and finance.This book is the first to provide a
comprehensive application of wavelet analysis to financial markets,
covering new frontier issues in empirical finance and economics.
The first chapter of this unique text starts with a description of
the key features and applications of wavelets. After an overview of
wavelet analysis, successive chapters rigorously examine the
various economic and financial topics and issues that stimulate
academic and professional research, including equity, interest
swaps, hedges and futures, foreign exchanges, financial asset
pricing, and mutual fund markets.This detail-oriented text is
descriptive and designed purely for academic researchers and
financial practitioners. It assumes no prior knowledge of
econometrics and covers important topics such as portfolio asset
allocation, asset pricing, hedging strategies, new risk measures,
and mutual fund performance. Its accessible presentation is also
suitable for post-graduates in a variety of disciplines - applied
economics, financial engineering, international finance, financial
econometrics, and fund management. To facilitate the subject of
wavelets, sophisticated proofs and mathematics are avoided as much
as possible when applying the wavelet multiscaling method. To
enhance the reader's understanding in practical applications of the
wavelet multiscaling method, this book provides sample programming
instruction backed by Matlab wavelet code.
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