Godkända
En tillämpning av kontinuerlig wavelet-transform för finansiella tidsserier
Klas Eliasson (03)
Start
2008-06-02
Presentation
2017-12-15 10:00
Plats:
E:2349
Avslutat:
2018-03-27
Examensrapport:
Sammanfattning
Wavelet theory, which shares fundamental concepts with windowed Fourier analy- sis, introduces the notion of scale in an effort to aid in joint time-frequency analysis. The concept has century-old roots, but much of the essential research on the sub- ject of wavelets was conducted during the 1970s and 1980s. Despite being a rather young toolset, wavelets have shown to be very useful when studying signals with transient, non-stationary, characteristics. This thesis focuses on the continuous wavelet transform (CWT) in the one- dimensional case from a practical implementation standpoint. It also contains sections on general wavelet history, development, and the theoretical fundamentals of the concept. The presented implementation contains a computer software with a graphical user interface that was developed in the context of financial trading in the currency markets. More specifically, the implementation contains a C++ based code library developed to expose an application programming interface (API) that is called from a retail desktop forex trading software where it can aid in market analysis visualization.
Handledare: Stefan Höst (EIT)
Examinator: Maria Kihl (EIT)