Alternative Financial Timeseries Risk Indicator Estimation by using North-East Volatility Wind Effect

Журнал научных публикаций аспирантов и докторантов 2014
Andrejs Pučkovs

This paper illustrates alternative indicator for risk estimation. This indicator is beneficial for financial market instability prediction on early stages. Alternative risk measure is based on North-East Volatility Wind Effect and its helical (spiral) structure investigation in frequency domain. Research is based on regularity research of spiral (helical) structure of obtained Fourier coefficients. According research alternative risk measure for financial time series is acquired. This measure could be used for volatility indicator forecasts.

Atslēgas vārdi
North-East Volatility Wind Effect, Volatility, Wavelet filtration, Continuouse Wavelet Transform, timeseries analysis, risk estimation, Fourier transform, frequency domain, time domain, Volatility wave, Neural networks
Hipersaite
http://jurnal.org/articles/2014/ekon76.html

Pučkovs, A. Alternative Financial Timeseries Risk Indicator Estimation by using North-East Volatility Wind Effect. Журнал научных публикаций аспирантов и докторантов, 2014, No.7, 19.-25.lpp. ISSN 1991-3087.

Publikācijas valoda
English (en)