Wavelet Detection of Jump Points and Its Application to Exchange Rates

Acta Scientiarum Naturalium Universitatis Pekinensis

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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）.

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URL: https://xbna.pku.edu.cn/EN/

https://xbna.pku.edu.cn/EN/Y1997/V33/I3/380

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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

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