An Introduction to Wavelets and Other Filtering Methods in Finance and Economics

INDEX

A

Abrupt changes, 2

Activation function, 275, 276, 281, 283

hyperbolic tangent, 279

logistic, 278

piecewise-linear, 276, 277

sigmoidal, 276–278

signum, 278–280

squashing, 277

threshold, 276, 280

Adaptive estimation, 284

Adaptive features, 301

Adaptive nonlinear model, 275

Admissibility condition, 101, 103

Aggregate heterogeneity trader classes, 10

Akaike Information Criteria, 195, 294

Alias, 107, 166

Aliasing, 107

Almon lag, 24

Amplitude, 26, 27, 29

Amplitude spectrum, 270

Analysis equation, 30, 103

Approximation, 276

function, 273

Artificial neural network, 272

Artificial neuron, 276

Asymmetry cross-correlation, 10

Augmented Dickey-Fuller test, 150, 152

Autocorrelation, 55

correlogram, 62

definition of, 61

in practice, 62, 63

pitfalls, ...