An Introduction to Wavelet Theory in Finance: A Wavelet Multiscale Approach
By: Sangbae Kim (author), Francis In (author)Hardback
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This book offers an introduction to wavelet theory and provides the essence of wavelet analysis - including Fourier analysis and spectral analysis; the maximum overlap discrete wavelet transform; wavelet variance, covariance, and correlation - in a unified and friendly manner. It aims to bridge the gap between theory and practice by presenting substantial applications of wavelets in economics and finance.This book is the first to provide a comprehensive application of wavelet analysis to financial markets, covering new frontier issues in empirical finance and economics. The first chapter of this unique text starts with a description of the key features and applications of wavelets. After an overview of wavelet analysis, successive chapters rigorously examine the various economic and financial topics and issues that stimulate academic and professional research, including equity, interest swaps, hedges and futures, foreign exchanges, financial asset pricing, and mutual fund markets.This detail-oriented text is descriptive and designed purely for academic researchers and financial practitioners.
It assumes no prior knowledge of econometrics and covers important topics such as portfolio asset allocation, asset pricing, hedging strategies, new risk measures, and mutual fund performance. Its accessible presentation is also suitable for post-graduates in a variety of disciplines - applied economics, financial engineering, international finance, financial econometrics, and fund management. To facilitate the subject of wavelets, sophisticated proofs and mathematics are avoided as much as possible when applying the wavelet multiscaling method. To enhance the reader's understanding in practical applications of the wavelet multiscaling method, this book provides sample programming instruction backed by Matlab wavelet code.
Introduction to Wavelet Analysis; The Multiscale Hedge Ratio between the Stock and Futures Markets; Modeling the International Links between the US Dollar, Euro, and Yen Interest Rate Swap Markets; Long Memory in LIBOR Rates and Volatilities; Cross-Listing and Transmission of the Pricing Information of Dual-Listed Stocks; On the Relation between Stock Returns and Risk Factors; Risk Factors and the Cross Section of Average Stock Returns in the Long Run; Multiscale Relations between Stock Returns and Inflation; Mutual Fund Performance and Investment Horizons; A New Assessment of US Mutual Fund Returns through a Multiscaling Approach.
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- ID: 9789814397834
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