High-Frequency Financial Data Calendar Effects' Wavelet Neural Network Analysis
Zhang Shi-ying · Shuxue de shijian yu renshi · 2007
High-frequency financial data analysis and modeling is a new research field in financial econometrics,and the calendar effects are most important discovery in financial market microstructure field.But market microstructure theory is qualitative,how to study calendar effects quantitative is a big problem to know financial market.The paper proposes application of Wavelet Neural Network in high-frequency data calendar effects' study,and empirical study shows WNN is good method to describe calendar effects.