Multiresolution Signal Processing of Financial Market Objects
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Financial markets are among the most complex entities in our environment, yet mainstream quantitative models operate at predetermined scale, rely on linear correlation measures, and struggle to recognize non-linear or causal structures. In this paper, we combine neural networks known to capture non-linear associations with a multiscale decomposition approach to facilitate a better understanding of financial market data substructures. Quantization keeps our decompositions calibrated to market at every scale. We illustrate our approach in the context of a wide spectrum of applications.
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