Application of empirical mode decomposition to analyze simulated financial time series

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23510%2F10%3A00503847" target="_blank" >RIV/49777513:23510/10:00503847 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Application of empirical mode decomposition to analyze simulated financial time series
Original language description
Paper is focused on application of empirical mode decomposition technique to analyze time series generated by financial simulators. EMD technique like Fourier or wavelet method decomposes a signal into a series of simpler functions. These functions are known as intrinsic mode functions. The most advantage of IMF is that they are filtered directly from the original time series. Implementation and algorithmic details of EMD technique is discussed in detail. Simulations of financial time series are performed by various generators, which are based either on computer-agents technique or numerical solvers of stochastic differential equations. Varying constitutive equations which describe different trading strategies of interacting agents produce different time series to analyze. Numerical results of performed analysis are presented.
Czech name
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Czech description
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Project
<a href="/en/project/GA402%2F09%2F1536" target="_blank" >GA402/09/1536: Computational economics - analysis and modeling of financial market processes and dynamic business control structures using CA technique</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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