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http://hdl.handle.net/11422/8593
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Campo DC | Valor | Lengua/Idioma |
---|---|---|
dc.contributor.author | Almeida, Victor Thadeu Xavier de | - |
dc.contributor.author | Moriconi, Luca | - |
dc.date.accessioned | 2019-07-01T15:34:06Z | - |
dc.date.available | 2023-12-21T03:06:08Z | - |
dc.date.issued | 2012-05-22 | - |
dc.identifier.issn | 0378-4371 | pt_BR |
dc.identifier.uri | http://hdl.handle.net/11422/8593 | - |
dc.description.abstract | We perform wavelet decomposition of high frequency financial time series into large and small time scale components. Taking the FTSE100 index as a case study, and working with the Haar basis, it turns out that the small scale component defined by most (≃99.6%) of the wavelet coefficients can be neglected for the purpose of option premium evaluation. The relevance of the hugely compressed information provided by low-pass wavelet-filtering is related to the fact that the non-gaussian statistical structure of the original financial time series is essentially preserved for expiration times which are larger than just one trading day. | en |
dc.language | eng | pt_BR |
dc.publisher | Elsevier | en |
dc.relation.ispartof | Physica A: Statistical Mechanics and its Applications | en |
dc.rights | Acesso Aberto | pt_BR |
dc.subject | Dynamical hedgingN | en |
dc.subject | on-gaussian markets | en |
dc.subject | Financial time series analysis | en |
dc.title | Option pricing from wavelet-filtered financial series | en |
dc.type | Artigo | pt_BR |
dc.identifier.doi | 10.1016/j.physa.2012.05.030 | pt_BR |
dc.description.resumo | Indisponível. | pt_BR |
dc.publisher.country | Brasil | pt_BR |
dc.publisher.department | Núcleo Interdisciplinar de Dinâmica dos Fluidos | pt_BR |
dc.subject.cnpq | CNPQ::CIENCIAS EXATAS E DA TERRA::FISICA::AREAS CLASSICAS DE FENOMENOLOGIA E SUAS APLICACOES::DINAMICA DOS FLUIDOS | pt_BR |
dc.citation.volume | 391 | pt_BR |
dc.citation.issue | 20 | pt_BR |
dc.citation.spage | 4850 | pt_BR |
dc.citation.epage | 4854 | pt_BR |
dc.embargo.terms | 365 dias | pt_BR |
Aparece en las colecciones: | Engenharias |
Ficheros en este ítem:
Fichero | Descripción | Tamaño | Formato | |
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2012_MORICONI_PA_v391_p4850-4854-min.pdf | 161.69 kB | Adobe PDF | Visualizar/Abrir |
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