A wavelet exploration of the BVL index

Detalhes bibliográficos
Autor(a) principal: Brito, Paulo
Data de Publicação: 2001
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/9935
Resumo: Wavelets allow for a more flexible characterization of time series than both spectral and classical time series methods, by representing them with basis functions that separate between time and scale. In this paper, we briefly present the the main definitions and results of both wavelet and wavelet packet analysis and apply some of them to the Lisbon stock exchange index (IBVL). We denoise the series, separate trend and cycle, and present a Monte carlo estimation of the fractal dimension of the series.
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spelling A wavelet exploration of the BVL indexWaveletLisbon stock exchangeWavelets allow for a more flexible characterization of time series than both spectral and classical time series methods, by representing them with basis functions that separate between time and scale. In this paper, we briefly present the the main definitions and results of both wavelet and wavelet packet analysis and apply some of them to the Lisbon stock exchange index (IBVL). We denoise the series, separate trend and cycle, and present a Monte carlo estimation of the fractal dimension of the series.Instituto Superior de Economia e GestãoRepositório da Universidade de LisboaBrito, Paulo2015-10-29T14:41:50Z20012001-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/9935engBrito, Paulo (2001). "A wavelet exploration of the BVL index". Estudos de Gestão, VI(1):3-22info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:40:20Zoai:www.repository.utl.pt:10400.5/9935Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:56:30.636113Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv A wavelet exploration of the BVL index
title A wavelet exploration of the BVL index
spellingShingle A wavelet exploration of the BVL index
Brito, Paulo
Wavelet
Lisbon stock exchange
title_short A wavelet exploration of the BVL index
title_full A wavelet exploration of the BVL index
title_fullStr A wavelet exploration of the BVL index
title_full_unstemmed A wavelet exploration of the BVL index
title_sort A wavelet exploration of the BVL index
author Brito, Paulo
author_facet Brito, Paulo
author_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Brito, Paulo
dc.subject.por.fl_str_mv Wavelet
Lisbon stock exchange
topic Wavelet
Lisbon stock exchange
description Wavelets allow for a more flexible characterization of time series than both spectral and classical time series methods, by representing them with basis functions that separate between time and scale. In this paper, we briefly present the the main definitions and results of both wavelet and wavelet packet analysis and apply some of them to the Lisbon stock exchange index (IBVL). We denoise the series, separate trend and cycle, and present a Monte carlo estimation of the fractal dimension of the series.
publishDate 2001
dc.date.none.fl_str_mv 2001
2001-01-01T00:00:00Z
2015-10-29T14:41:50Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/9935
url http://hdl.handle.net/10400.5/9935
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Brito, Paulo (2001). "A wavelet exploration of the BVL index". Estudos de Gestão, VI(1):3-22
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Instituto Superior de Economia e Gestão
publisher.none.fl_str_mv Instituto Superior de Economia e Gestão
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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