The Application of Wavelets on the Correlation of Futures Time Series
Donghua Zhu · Shuxue de shijian yu renshi · 2007
The finance time series are often non-stability and auto-regression.ARIMA model can be made to fit the financial time series,but the result often be affected by a little random perturbation motion,The article tries combining with the character of wavelet transform and ARIMA model.WARIMA model is put forward to fit the series of the different frequency,and the result reveals that the error can be reduced obviously.