运用小波分析挖掘金融市场中的风险与机会

Risks and Opportunities of Applying Wavelet Analysis in Financial Market

文本运用小波分析对金融时间序列—HS300股票指数收盘价进行挖掘,首先利用db3正交小波基对数据进行进行去噪处理,然后对去噪后的数据与原数据做波动率对比分析,寻找出隐藏在金融时间序列背后的股票市场中的机会与风险。

In this paper,the Wavelet theory is used to analyze financial time series-HS300 stock index closing price. Firstly,the data is decomposed by db3 orthogonal wavelet basis. Then a comparative analysis of volatility of the original data with the reconstructed data is made. Finally,the market opportunities and risks hiding behind the financial time series data are discovered according to comparative analysis.