金融时间序列结构波动的子波变换分析

Structural wave analysis of financial time series by wavelet transform

运用子波变换的分析方法,研究金融时间序列多尺度局域结构的波动性.通过对具体的股指数据分析表明,利用子波分析法,不仅能准确判定出序列的稳定周期大小和相对强弱,而且能提取序列的局部波动和突发波动信息.

The multiple time scales and jump features of the financial time series are probed with wavelet transform. Base on the analysis of stock data, it shows that wavelet transform not only can estimate the stabilization cycle of time series, but take out the information of partial wave and burst wave of time series.