FUNCTIONAL APPROXIMATION IN MULTISCALE COMPLEX SYSTEMS

Enrico Capobianco ()
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Enrico Capobianco: CWI, Kruislaan 413, 1098 SJ Amsterdam, The Netherlands

Advances in Complex Systems (ACS), 2003, vol. 06, issue 02, 177-204

Abstract: One common approach for exploring, approximating and estimating complex system dynamics refers to models based on elementary or atomic building block components of easier interpretation and efficient computation. We adopt a combination of wavelets, greedy approximation and subspace techniques to investigate complex systems such as speculative financial markets. These systems are endowed with multiscale and non-stationary dynamics that we aim to artificially learn by using functional approximation and optimization theory. We show that volatility dynamics are embedded in a sequence of nested informative scales and thus a multiscale estimation approach is indicated to deal with them.

Keywords: Atomic dictionaries; wavelets; subspace decomposition; greedy approximation (search for similar items in EconPapers)
Date: 2003
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DOI: 10.1142/S0219525903000840

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