基于小波消噪的经济金融高频时间序列研究

Research on Economic and Financial High Frequency Time Series Based on Wavelet De-noising

以上证综合指数收益率序列R_(t)为例,利用基于多分辨分析的小波消噪法对高频含噪信号R_(t)进行消噪处理,处理后的信号平稳,去噪效果理想,为后续精确预测收益率序列R_(t)走势提供了保障和支持。

Taking the R_(t)of Shanghai composite index return series as an example,the wavelet de-noising method based on multi-resolution analysis is used to denoise the high-frequency noisy signal R_(t).The processed signal is stable and the de-noising effect is ideal,which provides guarantee and support for the subsequent accurate prediction of return series R_(t)trend.