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Wavelet Transform and its Application in Time Series Analysis of Various Foreign Exchange Rates

Gupta, Dhananjay Kumar (2015) Wavelet Transform and its Application in Time Series Analysis of Various Foreign Exchange Rates. Masters thesis, Indian Institute of Science Education and Research Kolkata.

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    Abstract

    Wavelet Transform based multi-resolution analysis has been used previously to study the time series from various areas of science and economics. Here we try to analyze various foreign exchange rates over the last 14 years with the help of wavelet transforms. We carefully study the variations to find out the various periodicities present in the data and correlation properties. For this purpose we use the Daubechies 4 and the Morlet wavelet to carry out the discrete and the continuous wavelet transforms respectively. We use the discrete wavelet transform to de-noise the series to some extent and remove some of the very high frequency components and get an approximation of the original dataset. We then use continuous wavelet transform on this approximation to analyze the behavior of this time series at different frequencies and extract the periodic nature from it.

    Item Type: Thesis (Masters)
    Additional Information: Supervisor: Prof. Prasanta Panigrahi
    Uncontrolled Keywords: Foreign Exchange Rates; Time Series Analysis; Wavelet Transform
    Subjects: Q Science > QC Physics
    Divisions: Department of Physical Sciences
    Depositing User: IISER Kolkata Librarian
    Date Deposited: 15 Jan 2015 13:22
    Last Modified: 15 Jan 2015 13:22
    URI: http://eprints.iiserkol.ac.in/id/eprint/215

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