About: Application of empirical mode decomposition to analyze simulated financial time series

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Paper is focused on application of empirical mode decomposition technique to analyze time series generated by financial simulators. EMD technique like Fourier or wavelet method decomposes a signal into a series of simpler functions. These functions are known as intrinsic mode functions. The most advantage of IMF is that they are filtered directly from the original time series. Implementation and algorithmic details of EMD technique is discussed in detail. Simulations of financial time series are performed by various generators, which are based either on computer-agents technique or numerical solvers of stochastic differential equations. Varying constitutive equations which describe different trading strategies of interacting agents produce different time series to analyze. Numerical results of performed analysis are presented. Paper is focused on application of empirical mode decomposition technique to analyze time series generated by financial simulators. EMD technique like Fourier or wavelet method decomposes a signal into a series of simpler functions. These functions are known as intrinsic mode functions. The most advantage of IMF is that they are filtered directly from the original time series. Implementation and algorithmic details of EMD technique is discussed in detail. Simulations of financial time series are performed by various generators, which are based either on computer-agents technique or numerical solvers of stochastic differential equations. Varying constitutive equations which describe different trading strategies of interacting agents produce different time series to analyze. Numerical results of performed analysis are presented. (en)
Title	Application of empirical mode decomposition to analyze simulated financial time series Application of empirical mode decomposition to analyze simulated financial time series (en)
skos:prefLabel	Application of empirical mode decomposition to analyze simulated financial time series Application of empirical mode decomposition to analyze simulated financial time series (en)
skos:notation	RIV/49777513:23510/10:00503847!RIV11-GA0-23510___
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(GA402/09/1536)
http://linked.open...vai/riv/dodaniDat	2011
http://linked.open...aciTvurceVysledku	Lukáš, Ladislav
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Západočeská univerzita v Plzni / Fakulta ekonomická
http://linked.open...dnocenehoVysledku	247412
http://linked.open...ai/riv/idVysledku	RIV/49777513:23510/10:00503847
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	empirical mode decomposition; intrinsic mode functions; time series analysis; simulation; foreign exchange rate models (en)
http://linked.open.../riv/klicoveSlovo	empirical mode decomposition foreign exchange rate models intrinsic mode functions simulation time series analysis
http://linked.open...ontrolniKodProRIV	[B462F4C5FD22]
http://linked.open...v/mistoKonaniAkce	České Budějovice
http://linked.open...i/riv/mistoVydani	České Budějovice
http://linked.open...i/riv/nazevZdroje	Mathematical Methods in Economics 2010
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Computational economics - analysis and modeling of financial market processes and dynamic business control structures using CA technique
http://linked.open...UplatneniVysledku	2010
http://linked.open...iv/tvurceVysledku	Lukáš, Ladislav
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2010-01-01 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	University of South Bohemia
https://schema.org/isbn	978-80-7394-218-2
http://localhost/t...ganizacniJednotka	23510
is http://linked.open...avai/riv/vysledek of	Application of empirical mode decomposition to analyze simulated financial time series Application of empirical mode decomposition to analyze simulated financial time series Application of empirical mode decomposition to analyze simulated financial time series

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