基于小波消噪的经济金融高频时间序列研究  

Research on Economic and Financial High Frequency Time Series Based on Wavelet De-noising

作　　者：吕卫平 黄婧[2] 马奕[2] LÜWeiping;HUANG Jing;MA Yi(Longyan University,Longyan,Fujian 364000,China)

机构地区：[1]龙岩学院数学与信息工程学院,福建龙岩364000 [2]龙岩学院,福建龙岩364000

出　　处：《龙岩学院学报》2021年第2期4-9,共6页Journal of Longyan University

摘　　要：以上证综合指数收益率序列R_(t)为例,利用基于多分辨分析的小波消噪法对高频含噪信号R_(t)进行消噪处理,处理后的信号平稳,去噪效果理想,为后续精确预测收益率序列R_(t)走势提供了保障和支持。Taking the R_(t)of Shanghai composite index return series as an example,the wavelet de-noising method based on multi-resolution analysis is used to denoise the high-frequency noisy signal R_(t).The processed signal is stable and the de-noising effect is ideal,which provides guarantee and support for the subsequent accurate prediction of return series R_(t)trend.

关 键 词：多分辨分析 高频时间序列 小波变换 阈值 

分 类 号：O129[理学—数学]