Search results for "wavelet."
showing 10 items of 327 documents
A wavelet-based tool for studying non-periodicity
2010
This paper presents a new numerical approach to the study of non-periodicity in signals, which can complement the maximal Lyapunov exponent method for determining chaos transitions of a given dynamical system. The proposed technique is based on the continuous wavelet transform and the wavelet multiresolution analysis. A new parameter, the \textit{scale index}, is introduced and interpreted as a measure of the degree of the signal's non-periodicity. This methodology is successfully applied to three classical dynamical systems: the Bonhoeffer-van der Pol oscillator, the logistic map, and the Henon map.
Interest rate changes and stock returns: A European multi-country study with wavelets
2016
Abstract This paper investigates the linkage between changes in 10-year government bond yields and stock returns for the major European countries in the time-frequency domain by using a number of cross-wavelet tools in the framework of the continuous wavelet transform, mainly the wavelet coherence and phase-difference. The results reveal that the degree of connection between 10-year bond rate movements and stock returns differs considerably among countries and also varies over time and depending on the time horizon considered. In particular, the UK shows the greatest interdependence between long-term interest rates and equity returns across time and frequencies, while the relationship is mu…
Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?
2017
This paper investigates the presence of time-varying causal linkages in mean and variance between oil price changes and stock returns for six major oil-importing countries (France, Germany, Italy, Spain, the UK and the US) in a multiscale framework that combines wavelet analysis and a modified version of the dynamic causality test of Lu, Hong, Wang, Lai, and Liu (2014). The results show significant bidirectional causal relations between oil and stock markets at the different time horizons for all countries. The causal links tend to be stronger at coarser scales and in periods of financial turmoil, mainly during the recent global financial and European sovereign debt crises. This evidence pr…
Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility
2019
The file attached to this record is the author's final peer reviewed version. The Publisher's final version can be found by following the DOI link. This paper investigates the causal linkages in volatility between crude oil prices and six major bilateral exchange rates against the U.S. dollar in the time-frequency space using high-frequency intraday data. Special attention is paid to the potential asymmetries in the causal effects between oil and forex markets. The wavelet-based Granger causality method proposed by Olayeni (2016) is applied to quantify the causal relations in the time and frequency domains simultaneously. Moreover, the realized semivariance approach of Barndoff-Nielsen et a…
Volatility co-movements: a time-scale decomposition analysis
2015
In this paper, we are interested in detecting contagion from US to European stock market volatilities in the period immediately after the Lehman Brothers collapse. The analysis is based on a factor decomposition of the covariance matrix, in the time and frequency domain, using wavelets. The analysis aims to disentangle two components of volatility contagion (anticipated and unanticipated by the market). Once we focus on standardized factor loadings, the results show no evidence of contagion (from the US) in market expectations (coming from implied volatility) and evidence of unanticipated contagion (coming from the volatility risk premium) for almost any European country. Finally, the estim…
A wavelet analysis of the ripple effect in UK regional housing markets
2021
Abstract The paper aims at gaining insights on the spatio-temporal mechanism of house price spillovers, also known as ripple effect, among 12 UK regional housing markets, over the period 1973–2018. From a policy perspective, it is essential to discriminate if the effects of a shock decay more slowly along the geographical dimension as compared to the decay along the time dimension. We enter the debate in a novel manner by using some wavelet analysis tools (wavelet coherence and phase differences amongst others) which reveal the spectral characteristics of a series and show how different periodic components of housing returns evolve over time. Results are interesting. Spillovers from London …
QUANTIFICATION OF MUSCLE FATIGUE WITHWAVELET ANALYSIS BASED ON EMG DURING MYOELECTRICAL STIMULATION
2012
6; International audience; We propose a device dedicated to real time analysis of electromyograms (EMG) under myoelectrical stimulation (ES). The muscular fatigue analysis, which is obtained by the use of a dedicated analog circuit and a processing part, is the main purpose of this study. The description of a hardware device which incorporates an electro-stimulator and an electromyogram amplifier combined to a computer is detailed. Then, we present a muscular fatigue analysis part based on wavelet decomposition in order to extract a fatigue index, which is confronted with synthetic and experimental data. We conclude that the CWT index applies well to M waves. The noise sensitivity is invest…
Absence Seizure Detection Algorithm for Portable EEG Devices
2021
Absence seizures are generalized nonmotor epileptic seizures with abrupt onset and termination. Transient impairment of consciousness and spike-slow wave discharges (SWDs) in EEG are their characteristic manifestations. This type of seizure is severe in two common pediatric syndromes: childhood (CAE) and juvenile (JAE) absence epilepsy. The appearance of low-cost, portable EEG devices has paved the way for long-term, remote monitoring of CAE and JAE patients. The potential benefits of this kind of monitoring include facilitating diagnosis, personalized drug titration, and determining the duration of pharmacotherapy. Herein, we present a novel absence detection algorithm based on the propert…
An Advanced Numerical Model in Solving Thin-Wire Integral Equations by Using Semi-Orthogonal Compactly Supported Spline Wavelets
2003
Abstract—In this paper, the semi-orthogonal compactly sup- ported spline wavelets are used as basis functions for the efficient solution of the thin-wire electric field integral equation (EFIE) in frequency domain. The method of moments (MoM) is used via the Galerkin procedure. Conventional MoM directly applied to the EFIE, leads to dense matrix which often becomes computation- ally intractable when large-scale problems are approached. To overcome these difficulties, wavelets can be used as a basis set so obtaining the generation of a sparse matrix; this is due to the local supports and the vanishing moments properties of the wavelets. In the paper, this technique is applied to analyze elec…
An approach based on wavelet analysis for feature extraction in the electroretinogram
2011
Most biomedical signals are non-stationary. The knowledge of their frequency content and temporal distribution is then useful in a clinical context. The wavelet analysis is appropriate to achieve this task. The present paper uses this method to reveal hidden characteristics and anomalies of the human a-wave, an important component of the electroretinogram since it is a measure of the functional integrity of the photoreceptors. We here analyse the time–frequency features of the a-wave both in normal subjects and in patients affected by Achromatopsia, a pathology disturbing the functionality of the cones. The results indicate the presence of two or three stable frequencies that, in the pathol…