Smoothing of financial data by a filter based on fuzzy transform

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F10%3A10225544" target="_blank" >RIV/61989100:27510/10:10225544 - 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
Smoothing of financial data by a filter based on fuzzy transform
Original language description
In literature, we can find many different smoothing and filter types that are based, for example, on the stochastic processes, kernel regression, integral or wavelet transforms, or on the techniques of the fuzzy set theory. These filters are regularly used in statistics and image or signal processing, to smooth a data set, i.e. to create an approximating function that attempts to capture important patterns in the data, while leaving out noise or other fine-scale structures/rapid phenomena. In this paperwe apply a recently suggested filter based on the fuzzy transform technique for returns of financial assets. We study the performance of this alternative technique and compare it to more standard kernel-based approach.
Czech name
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Czech description
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Project
<a href="/en/project/GA402%2F08%2F1237" target="_blank" >GA402/08/1237: Application of complex Lévy processes in modeling of financial assets prices</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

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

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