Wavelet Concepts in stock prices analysis
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21630%2F17%3A00328862" target="_blank" >RIV/68407700:21630/17:00328862 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Wavelet Concepts in stock prices analysis
Original language description
In this paper, wavelet concepts are used to analyze stock prices and compare them with Geometric Brownian motion which is often used to model financial processes. Discrete Wavelet Transformation is used to obtain distribution of wavelet coefficients power spectrum among different frequency bands for stock data and Geometric Brownian motion. Apart from wavelet spectra, we also calculate the wavelet correlation coefficients to analyze correlation dependency on scale and wavelet coefficients variance to indicate fundamental changes about data generating mechanism. Geometric Brownian motion distribution is compared with stock data power distribution to measure the probability of effectiveness market of stock prices.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Mathematical Methods in Economics MME 2017
ISBN
978-80-7435-678-0
ISSN
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e-ISSN
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Number of pages
5
Pages from-to
650-654
Publisher name
Univerzita Hradec Králové
Place of publication
Hradec Králové
Event location
Hradec Králové
Event date
Sep 13, 2017
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000427151400111