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| Author: | Ramsey, J. Zhang, Z. |
| Title: | The analysis of foreign exchange data using waveform dictionaries |
| Journal: | Journal of Empirical Finance
1997 : DEC, VOL. 4:4, p. 341-372 |
| Index terms: | FOREIGN EXCHANGE DATA BASES FINANCE |
| Language: | eng |
| Abstract: | This paper uses waveform dictionaries to decompose the signals contained within three foreign exchange rates using tick-by-tick observations obtained world-wide. The three exchange rates examined are the Japanese Yen and the German Deutsche Mark against the U.S. dollar and the Deutsche Mark against the Yen. The data were provided by Olsen Associates. A waveform dictionary is a class of transforms that generalizes both windowed Fourier transforms and wavelets. Each waveform is parametrized by location, frequency, and scale. |
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