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You're reading from  Learning Quantitative Finance with R

Product typeBook
Published inMar 2017
Reading LevelIntermediate
PublisherPackt
ISBN-139781786462411
Edition1st Edition
Languages
R
Concepts
Financial Technology
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Authors (2):
Dr. Param Jeet
Dr. Param Jeet
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Dr. Param Jeet

Dr. Param Jeet is a Ph.D. in mathematics from one of India's leading technological institute in Madras (IITM), India. Dr. Param Jeet has a couple of mathematical research papers published in various international journals. Dr. Param Jeet has been into the analytics industry for the last few years and has worked with various leading multinational companies as well as consulted few of companies as a data scientist.
Read more about Dr. Param Jeet

PRASHANT VATS
PRASHANT VATS
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PRASHANT VATS

Prashant Vats is a masters in mathematics from one of India's leading technological institute, IIT Mumbai. Prashant has been into analytics industry for more than 10 years and has worked with various leading multinational companies as well as consulted few of companies as data scientist across several domain.
Read more about PRASHANT VATS

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Wavelet analysis

Time series information is not always sufficient to get insight into the data. Sometimes the frequency content of the data also contains important information about the data. In the time domain, Fourier transformation (FT) captures the frequency-amplitude of the data but it does not show when in time this frequency has happened. In the case of stationary data, all frequency components exist at any point in time but this is not true for non-stationary data. So, FT does not fit for non-stationary data. Wavelet transformation (WT) has the capacity to provide time and frequency information simultaneously in the form of time-frequency. WT is important to analyze financial time series as most of the financial time series are non-stationary. In the remainder of this chapter, wavelet analysis (WT), I will help you understand how to solve non-stationary data in R using wavelets analysis. Stock price/index data requires certain techniques or transformations to obtain further information...

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Learning Quantitative Finance with R
Published in: Mar 2017Publisher: PacktISBN-13: 9781786462411
© 2017 Packt Publishing Limited All Rights Reserved

Authors (2)

author image
Dr. Param Jeet

Dr. Param Jeet is a Ph.D. in mathematics from one of India's leading technological institute in Madras (IITM), India. Dr. Param Jeet has a couple of mathematical research papers published in various international journals. Dr. Param Jeet has been into the analytics industry for the last few years and has worked with various leading multinational companies as well as consulted few of companies as a data scientist.
Read more about Dr. Param Jeet

author image
PRASHANT VATS

Prashant Vats is a masters in mathematics from one of India's leading technological institute, IIT Mumbai. Prashant has been into analytics industry for more than 10 years and has worked with various leading multinational companies as well as consulted few of companies as data scientist across several domain.
Read more about PRASHANT VATS

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