Empirical Mode Decomposition of Financial Data
Konstantinos E. Drakakis, Ucd Casl · 2008
We propose a novel method of analysis of financial data through the Empirical Mode Decomposition, a well established technique in Sig-nal Processing that generalizes the Fourier expansion through the use of a posteriori trigonometric-like bases. We subsequently apply this technique on the Dow-Jones volume and make some inferences on its frequency content.