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>From Jurik's site ...
... "Specifically, the discrete wavelet transform can be used to decompose a
signal into several scales, while maintaining time localization of events in
each scale. In terms of financial time series, we can conceptually think of
each of these scales as the dynamics associated with information and traders
of each investment time horizon. For instance, long term traders, such as
institutional investors, basing their trades on long term information, form
the low-frequency component of the market. Once we have extracted out these
scales we can view each as a stationary time series, which can be modeled,
analyzed and predicted individually, either independently, or in conjunction
with other scales and data that is relevant to that scale.
For you pioneers out there, a great database of downloadable postscript
files on wavelet research is located at
http://www.ee.nus.sg/~hejun/wavepaper.html. " ...
==========
Has anyone worked through this site in their investigation of Moving
Averages.
"Wavelet Resources
Welcome to the MathSoft Wavelet Resources page: your site for One-Stop
Shopping for wavelet papers. This page is a list of many preprints on the
subject of wavelets and their various applications in the worlds of
mathematics, engineering and physics. Many of these sources were tracked
down through the Wavelet Digest which is a clearinghouse for wavelet
information of all sorts. As a convenience, we now provide links to some of
the tools you need to view papers in this list. " ... etc.
==========
www.jurikres.com/index.htm
JMA is shown as a significant improvement in the charts of Jurik's
"Evolution of Moving Averages" article. However in the "Why use JMA" article
when you print it out, the labels on the charts print double, i.e.,
over-print. They describe to same plot line as first AMA and then as JMA.
... ???
However, it is a nice comparison of JMA, TEMA VIDYA, DEMA, T3, and Kaufman's
AMA, etc.
Best regards
Walter
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