Volatility Dynamics of Wavelet-Filtered Stock Prices

Details Volatility Dynamics of Wavelet-Filtered Stock Prices Volatility Dynamics of Wavelet-Filtered Stock Prices

2006-12-18

arxiv.org/abs/physics/0612170v1

Physics

Physics and Society

Scientific paper

Volatility dynamics of wavelet - filtered stock price time series is studied.
Using the universal thresholding method of wavelet filtering and a principle of
minimal linear autocorrelation of noise component we find that the quantitative
characteristics of volatility dynamics of denoised series are noticeably
different from those of the raw data and the noise.

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