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Research on application of fractional calculus in signal analysis and processing of stock market

Author

Listed:
  • Yu, Miao
  • Yu, Keshu
  • Han, Tianze
  • Wan, Yuming
  • Zhao, Dongwei

Abstract

The linkage effect of stock returns is the basis for investors to conduct industry asset allocation and portfolio risk control. Traditionally, time-domain correlation-based stock signal analysis does not consider the dependence of the rate of return on frequency. However, the recent study of linkage in the spectrum analysis framework ignores the correlation of the rate of return over time on different frequency scales. The change. Wavelet analysis theory evolved from the Fourier analysis of fractional calculus. Using wavelet analysis fractional integration to analyze continuous wavelet transform, multi-scale wavelet transforms and s-for wavelet transform is an effective way to study stock market signals. algorithm. In order to overcome the limitations of the above-mentioned methods for industry linkage analysis, this paper uses wavelet coherence and wavelet phase difference based on continuous wavelet transform to quantitatively analyze the linkage effect of stock signal returns in time-frequency domain.

Suggested Citation

  • Yu, Miao & Yu, Keshu & Han, Tianze & Wan, Yuming & Zhao, Dongwei, 2020. "Research on application of fractional calculus in signal analysis and processing of stock market," Chaos, Solitons & Fractals, Elsevier, vol. 131(C).
    • Handle: RePEc:eee:chsofr:v:131:y:2020:i:c:s096007791930414x
    DOI: 10.1016/j.chaos.2019.109468
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    References listed on IDEAS

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    1. Heni Boubaker, 2016. "A Comparative Study of the Performance of Estimating Long-Memory Parameter Using Wavelet-Based Entropies," Computational Economics, Springer;Society for Computational Economics, vol. 48(4), pages 693-731, December.
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