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Using big financial data for the price dynamics of U.S. equities, we investigate the impact that market microstructure noise has on modeling volatility of the returns. Based on wavelet transforms (DWT and MODWT) for decomposing the systematic pattern and noise, we propose a new wavelet-based...
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perturbation theory. The decomposition series analytic solution of the problem is quickly obtained by observing the existence of …
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perturbation theory. The decomposition series analytic solution of the problem is quickly obtained by observing the existence of …
Persistent link: https://www.econbiz.de/10012925999