基于子波变换的时间序列波动特征分析

本文运用子波变换的分析方法,研究股票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、比较表明: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,比较不同股指序列的周期相关性,而且能提取序列的局部波动和突发波动信息。

Structural Wave Analysis of Financial Time Series by Wavelet Transform

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.