Study on spillover effect of copper futures between LME and SHFE using wavelet multiresolution analysis

Research on information spillover effects between financial markets remains active in the economic community. A Granger-type model has recently been used to investigate the spillover between London Metal Exchange(LME) and Shanghai Futures Exchange(SHFE) ,however,possible correlation between the future price and return on different time scales have been ignored. In this paper,wavelet multiresolution decomposition is used to investigate the spillover effects of copper future returns between the two markets. The daily return time series are decomposed on 2n(n=1,…,6) frequency bands through wavelet mul-tiresolution analysis. The correlation between the two markets is studied with decomposed data. It is shown that high frequency detail components represent much more energy than low-frequency smooth components. The relation between copper future daily returns in LME and that in SHFE are different on different time scales. The fluctuations of the copper future daily returns in LME have large effect on that in SHFE in 32-day scale,but small effect in high frequency scales. It also has evidence that strong effects exist between LME and SHFE for monthly responses of the copper futures but not for daily responses.

Wavelet multiresolution interpolation Galerkin method for nonlinear boundary value problems with localized steep gradients

The wavelet multiresolution interpolation for continuous functions defined on a finite interval is developed in this study by using a simple alternative of transformation matrix.The wavelet multiresolution interpolation Galerkin method that applies this interpolation to represent the unknown function and nonlinear terms independently is proposed to solve the boundary value problems with the mixed Dirichlet-Robin boundary conditions and various nonlinearities,including transcendental ones,in which the discretization process is as simple as that in solving linear problems,and only common two-term connection coefficients are needed.All matrices are independent of unknown node values and lead to high efficiency in the calculation of the residual and Jacobian matrices needed in Newton’s method,which does not require numerical integration in the resulting nonlinear discrete system.The validity of the proposed method is examined through several nonlinear problems with interior or boundary layers.The results demonstrate that the proposed wavelet method shows excellent accuracy and stability against nonuniform grids,and high resolution of localized steep gradients can be achieved by using local refined multiresolution grids.In addition,Newton’s method converges rapidly in solving the nonlinear discrete system created by the proposed wavelet method,including the initial guess far from real solutions.

Scale-Dependent Representations of Relief Based on Wavelet Analysis

Automatic generalization of geographic information is the core of multi_scale representation of spatial data,but the scale_dependent generalization methods are far from abundant because of its extreme complicacy.This paper puts forward a new consistency model about scale_dependent representations of relief based on wavelet analysis,and discusses the thresholds in the model so as to acquire the continual representations of relief with different details between scales.The model not only meets the need of automatic generalization but also is scale-dependent completely.Some practical examples are given.

A wavelet finite-difference method for numerical simulation of wave propagation in fluid-saturated porous media

In this paper, we consider numerical simulation of wave propagation in fluidsaturated porous media. A wavelet finite-difference method is proposed to solve the 2-D elastic wave equation. The algorithm combines flexibility and computational efficiency of wavelet multi-resolution method with easy implementation of the finite-difference method. The orthogonal wavelet basis provides a natural framework, which adapt spatial grids to local wavefield properties. Numerical results show usefulness of the approach as an accurate and stable tool for simulation of wave propagation in fluid-saturated porous media.

THE CONSTRUCTION OF ORTHOGONAL WAVELET BASIS ON[0,1] AND NUMERICAL SIMULATION

In this paper, we show the construction of orthogonal wavelet basis on the interval [0, 1],using compactly supportted Daubechies function. Forwardly, we suggest a kind of method to deal with the differential operator in view of numerical analysis and derive the appoximation algorithm of wavelet ba-sis and differential operator, which affects on the basis, to functions belonging to L2 [0, 1 ]. Numerical computation indicate the stability and effectiveness of the algorithm.

Homogeneous wavelets and framelets with the refinable structure

Homogeneous wavelets and framelets have been extensively investigated in the classical theory of wavelets and they are often constructed from refinable functions via the multiresolution analysis. On the other hand, nonhomogeneous wavelets and framelets enjoy many desirable theoretical properties and are often intrinsically linked to the refinable structure and multiresolution analysis. In this paper, we provide a comprehensive study on connecting homogeneous wavelets and framelets to nonhomogeneous ones with the refinable structure. This allows us to understand better the structure of homogeneous wavelets and framelets as well as their connections to the refinable structure and multiresolution analysis.

Unconditional basis recursively generated in L^p on compact sets

We construct an unconditional basis in the Banach space Lp(Ω, ρ) for p ＞ 1 by using the refinement equation and the basic operation of translation and scale, where Ω is a compact subset in Rn. We also give an algorithm of how to construct an unconditional basis in Lp(Ω, ρ). At the end of this paper, we give the characterization of the functions in Lp(Ω, ρ) by using the wavelet coefficients.