Bøker av Ramazan (Simon Fraser University Gencay

Presents a unified view of filtering techniques with a focus on wavelet analysis in finance and economics. This title emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series.

Provides a framework for the analysis, modelling, and inference of high-frequency financial time series. Emphasizing foreign exchange markets, currency, interest rate and bond futures markets, it investigates price formation processes and reviews systematic trading models for financial assets.