Analysis of the dependence structure in econometric time series

Aurélien Hazan () and Vincent Vigneron ()
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Aurélien Hazan: IBISC - Informatique, Biologie Intégrative et Systèmes Complexes - UEVE - Université d'Évry-Val-d'Essonne - CNRS - Centre National de la Recherche Scientifique
Vincent Vigneron: IBISC - Informatique, Biologie Intégrative et Systèmes Complexes - UEVE - Université d'Évry-Val-d'Essonne - CNRS - Centre National de la Recherche Scientifique

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Abstract: The various scales of a signal maintain relations of dependence the on es with the others. Those can vary in time and reveal speed changes in the studied phenomenon. In the goal to establish these changes, one shall compute first the wavelet transform of a signal, on various scales. Then one shall study the statistical dependences between these transforms thanks to an estimator of mutual information. One shall then propose to summarize the resulting network of dependences by a graph of dependences by thresholding the values of the mutual information or by quantifying its values. The method can be applied to several types of signals, such as fluctuations of market indexes for instance the S&P 500, or high frequency foreign exchange (FX) rates.

Keywords: wavelet; dependence; mutual information; financial; time-series; FX (search for similar items in EconPapers)
Date: 2008-06-05
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Published in Modèles et Apprentissages en Sciences Humaines et Sociales, Jun 2008, Créteil, France. pp.1-1

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