Research on application of fractional calculus in signal analysis and processing of stock market. (February 2020)

• Record Type: Journal Article
• Authors: Yu, Miao; Yu, Keshu; Han, Tianze; Wan, Yuming; Zhao, Dongwei
• Is Part Of: Chaos, solitons and fractals. Volume 131(2020)
• Publication Date: 2020-02
• Subjects: Fractional calculus -- Stock market -- Wavelet analysis -- Stock signal analysis; 34C15 -- 37D45; Chaotic behavior in systems -- Periodicals; Solitons -- Periodicals; Fractals -- Periodicals; Chaotic behavior in systems; Fractals; Solitons; Periodicals; 003.7
• DOI: 10.1016/j.chaos.2019.109468
• Languages: English
• ISSNs: 0960-0779

Abstract

Abstract: The linkage effect of stock returns is the basis for investors to conduct industry asset allocation and portfolio risk control. Traditionally, time-domain correlation-based stock signal analysis does not consider the dependence of the rate of return on frequency. However, the recent study of linkage in the spectrum analysis framework ignores the correlation of the rate of return over time on different frequency scales. The change. Wavelet analysis theory evolved from the Fourier analysis of fractional calculus. Using wavelet analysis fractional integration to analyze continuous wavelet transform, multi-scale wavelet transforms and s-for wavelet transform is an effective way to study stock market signals. algorithm. In order to overcome the limitations of the above-mentioned methods for industry linkage analysis, this paper uses wavelet coherence and wavelet phase difference based on continuous wavelet transform to quantitatively analyze the linkage effect of stock signal returns in time-frequency domain.