Wavelet Detection of Jump Points and Its Application to Exchange Rates

Acta Scientiarum Naturalium Universitatis Pekinensis

Previous Articles Next Articles

Wavelet Detection of Jump Points and Its Application to Exchange Rates

WONG Heung¹, IP Wai cheung¹, LUAN Yihui², XIE Zhongjie²

¹Department of Applied Mathematics, The Hong Kong Polytechnic University Kowloon, Hong Kong; ²Department of Probability and Statistics, Peking University, Beijing, 100871

Received:1996-12-23 Online:1997-05-20 Published:1997-05-20

跳跃点统计检测的小波方法及其在金融汇率中的应用

黄香¹, 叶维彰¹, 栾贻会², 谢衷洁²

¹香港理工大学应用数学系，香港，九龙; ²北京大学数学学院概率统计系，北京，100871

Abstract

Abstract: We propose a method for jump point detection by wavelets. The observation model is assumed to be a deterministic function with an additive stationary noise. The detecting method is applied to the daily exchange rate of the US Dollar against Deutsche Mark in the period 1989-08-01 to 1991-07-31. All the points detected by our method reflect very strong economic and political impacts.

Key words: wavelets, jump points detection, exchange rate

关键词: 小波, 跃点检测, 汇率

CLC Number:

O211
O212

WONG Heung,IP Wai cheung,LUAN Yihui,XIE Zhongjie. Wavelet Detection of Jump Points and Its Application to Exchange Rates[J]. Acta Scientiarum Naturalium Universitatis Pekinensis.

黄香, 叶维彰, 栾贻会, 谢衷洁 . 跳跃点统计检测的小波方法及其在金融汇率中的应用[J]. 北京大学学报（自然科学版）.

[1]	CHEN Yanna,LIU Yu,SHEN Yanan. The Construction of 4-Band Symmetric Biorthogonal Wavelets [J]. Acta Scientiarum Naturalium Universitatis Pekinensis, 2008, 44(6): 835-838.
[2]	XIE Zhongjie,WONG Heung,IP Wai-Cheung,LIU Yali. Artificial Neuron Network and Its Application to Financial Forecasting [J]. Acta Scientiarum Naturalium Universitatis Pekinensis, 2001, 37(3): 421-425.

Wavelet Detection of Jump Points and Its Application to Exchange Rates

跳跃点统计检测的小波方法及其在金融汇率中的应用

Knowledge

Abstract

Cite this article

share this article

References

Related Articles 2

Recommended Articles

Metrics