Wavelet Analysis of Financial Time Series

Kılıç, Deniz Kenan
Uğur, Ömür


Wavelet Multivariate Adaptive Regression Splinesand Their Application to the UK Electricity Market
Yıldırım, Miray Hanım; Bayrak, Özlem Türker; Kestel, Sevtap Ayşe; G Wilhelm, Weber (null; 2015-05-16)
The growing effect of electricity prices on energy markets appeals for more accurate forecasting techniques since the market suffers from high volatility, high frequency, nonstationarity and multiple seasonality. Aiming at maximum utilities under highly-volatile conditions, both the supplier and the consumer sides seek to monitor and response to the ongoing changes of the electricity prices. In this study, we use a new hybrid approach, called Wavelet - Multivariate Adaptive Regression Splines (W MARS), to f...
Wave propagation in random elastic media.
Karaesmen, Engin; Gürpınar, Aybars; Department of Engineering Sciences (1976)
Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market
Savku, E.; Weber, Gerhard Wilhelm (Springer Science and Business Media LLC, 2020-08-01)
We apply dynamic programming principle to discuss two optimal investment problems by using zero-sum and nonzero-sum stochastic game approaches in a continuous-time Markov regime-switching environment within the frame work of behavioral finance. We represent different states of an economy and, consequently, investors' floating levels of psychological reactions by aD-state Markov chain. The first application is a zero-sum game between an investor and the market, and the second one formulates a nonzero-sum sto...
Monte Carlo methods for stochastic time-optimal control.
Yurtseven, H Öner; Department of Electrical Engineering (1969)
Metamodeling complex systems using linear and nonlinear regression methods
Kartal, Elçin; Batmaz, İnci; Department of Statistics (2007)
Metamodeling is a very popular approach for the approximation of complex systems. Metamodeling techniques can be categorized according to the type of regression method employed as linear and nonlinear models. The Response Surface Methodology (RSM) is an example of linear regression. In classical RSM metamodels, parameters are estimated using the Least Squares (LS) Method. Robust regression techniques, such as Least Absolute Deviation (LAD) and M-regression, are also considered in this study due to the outli...
Citation Formats
D. K. Kılıç and Ö. Uğur, “Wavelet Analysis of Financial Time Series,” 2015, Accessed: 00, 2021. [Online]. Available: https://hdl.handle.net/11511/79057.