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)...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.展开更多
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 ...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.展开更多
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 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.展开更多
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, no...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.展开更多
文摘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.
基金ProjectsupportedbytheNationalScienceFoundationofSurveyingandMappingofChina (No .990 1 3) .
文摘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.
文摘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.
基金supported by the Natural Sciences and Engineering Research Council of Canada (NSERC Canada) (Grant No. RGP 228051)
文摘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.
