Modeling Futures Prices by Wavelet Methodology

Modeling Futures Prices by Wavelet Methodology

碩士 === 國立高雄第一科技大學 === 財務管理研究所 === 100 === The thesis studies that modeling futures prices by wavelet methodology. In this paper, we use the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) futures contracts provided by Taiwan Futures Exchange (TAIFEX). We use the TX futures intra-da...

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Main Authors: Jyun-De Li, 李俊德
Other Authors: Ming-Hsien Chen
Format: Others
Language:en_US
Published: 2012
Online Access:http://ndltd.ncl.edu.tw/handle/24434509718322874637
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spelling ndltd-TW-100NKIT53050122015-10-13T20:52:00Z http://ndltd.ncl.edu.tw/handle/24434509718322874637 Modeling Futures Prices by Wavelet Methodology 小波分析法在高頻期貨交易之實證 Jyun-De Li 李俊德 碩士 國立高雄第一科技大學 財務管理研究所 100 The thesis studies that modeling futures prices by wavelet methodology. In this paper, we use the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) futures contracts provided by Taiwan Futures Exchange (TAIFEX). We use the TX futures intra-day data to do analyze by wavelet multiresolution analysis. It shows the discontinuousness and the long-run tendency. Ming-Hsien Chen 陳明憲 2012 學位論文 ; thesis 15 en_US
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language en_US
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sources NDLTD
description 碩士 === 國立高雄第一科技大學 === 財務管理研究所 === 100 === The thesis studies that modeling futures prices by wavelet methodology. In this paper, we use the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) futures contracts provided by Taiwan Futures Exchange (TAIFEX). We use the TX futures intra-day data to do analyze by wavelet multiresolution analysis. It shows the discontinuousness and the long-run tendency.
author2 Ming-Hsien Chen
author_facet Ming-Hsien Chen
Jyun-De Li
李俊德
author Jyun-De Li
李俊德
spellingShingle Jyun-De Li
李俊德
Modeling Futures Prices by Wavelet Methodology
author_sort Jyun-De Li
title Modeling Futures Prices by Wavelet Methodology
title_short Modeling Futures Prices by Wavelet Methodology
title_full Modeling Futures Prices by Wavelet Methodology
title_fullStr Modeling Futures Prices by Wavelet Methodology
title_full_unstemmed Modeling Futures Prices by Wavelet Methodology
title_sort modeling futures prices by wavelet methodology
publishDate 2012
url http://ndltd.ncl.edu.tw/handle/24434509718322874637
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AT lǐjùndé xiǎobōfēnxīfǎzàigāopínqīhuòjiāoyìzhīshízhèng
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