de Almeida, V.T.X.; Moriconi, L. - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 20, pp. 4850-4854
We perform wavelet decomposition of high frequency financial time series into large and small time scale components. Taking the FTSE100 index as a case study, and working with the Haar basis, it turns out that the small scale component defined by most (≃99.6%) of the wavelet coefficients can...