IDEAS home Printed from https://ideas.repec.org/b/wsi/wsbook/8431.html
   My bibliography  Save this book

An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach

Author

Listed:
  • Francis In

    (Monash University, Australia)

  • Sangbae Kim

    (Kyungpook National University, Korea)

Abstract

This book offers an introduction to wavelet theory and provides the essence of wavelet analysis ¡ª including Fourier analysis and spectral analysis; the maximum overlap discrete wavelet transform; wavelet variance, covariance, and correlation ¡ª in a unified and friendly manner. It aims to bridge the gap between theory and practice by presenting substantial applications of wavelets in economics and finance. This book is the first to provide a comprehensive application of wavelet analysis to financial markets, covering new frontier issues in empirical finance and economics. The first chapter of this unique text starts with a description of the key features and applications of wavelets. After an overview of wavelet analysis, successive chapters rigorously examine the various economic and financial topics and issues that stimulate academic and professional research, including equity, interest swaps, hedges and futures, foreign exchanges, financial asset pricing, and mutual fund markets. This detail-oriented text is descriptive and designed purely for academic researchers and financial practitioners. It assumes no prior knowledge of econometrics and covers important topics such as portfolio asset allocation, asset pricing, hedging strategies, new risk measures, and mutual fund performance. Its accessible presentation is also suitable for post-graduates in a variety of disciplines ¡ª applied economics, financial engineering, international finance, financial econometrics, and fund management. To facilitate the subject of wavelets, sophisticated proofs and mathematics are avoided as much as possible when applying the wavelet multiscaling method. To enhance the reader's understanding in practical applications of the wavelet multiscaling method, this book provides sample programming instruction backed by Matlab wavelet code. Contents: Methodology: Introduction to Wavelet Analysis Multiscale Hedge Ratio Between the Stock and Futures Markets: A New Approach Using Wavelet Analysis and High Frequency Data Modeling the International Links Between the Dollar, Euro and Yen Interest Rate Swap Markets Through a Multiscaling Approach Long Memory in Rates and Volatilities of LIBOR: Wavelet Analysis Cross-Listing and Transmission of Pricing Information of Dually-Listed Stocks: A New Approach Using Wavelet Analysis On the Relationship Between Stock Returns and Risk Factors: New Evidence From Wavelet Analysis Can the Risk Factors Explain the Cross-Section of Average Stock Returns in the Long Run? Multiscale Relationships Between Stock Returns and Inflations: International Evidence Mutual Fund Performance and Investment Horizon A New Assessment of US Mutual Fund Returns Through a Multiscaling Approach Readership: Graduate students and researchers in the fields of econometrics, money & banking, investments, international finance, financial engineering, and fund management. Key Features: This book covers the essence of wavelet analysis ¡ª such as the maximum overlap discrete wavelet transform, wavelet correlation, and variance ¡ª in a unified manner. It covers important topics in finance, such as portfolio asset allocation, asset pricing, hedging strategies, new risk measures, and mutual fund performance This is the first book to provide a comprehensive application of wavelet analysis to financial markets, covering equity, interest swap, futures, foreign exchange, and mutual fund markets The focus of this book is descriptive and designed purely for practitioners. Sophisticate proofs and mathematics are avoided as much as possible when applying the wavelet multiscaling method. Sample instruction and wavelet code and output from the chapters are presented as an integral part of the text

Suggested Citation

  • Francis In & Sangbae Kim, 2012. "An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8431.
  • Handle: RePEc:wsi:wsbook:8431
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/worldscibooks/10.1142/8431
    Download Restriction: Ebook Access is available upon purchase.

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Wavelets; Finance; Economics; Wavelet Analysis; Multiscaling Method;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wsbook:8431. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim). General contact details of provider: http://ebooks.worldscinet.com/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.