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Where did it all go wrong?: Wilmott Magazine Article (Excerpt)
Paul Wilmott 3103 Views

Dr. Paul Wilmott on how mathematical finance has become both boring and dangerous.


Software issues in wavelet analysis of financial data: Finance Focus lecture
Robert Tong - NAG Ltd 15938 Views

Wavelet Multiresolution Analysis (WMA) is a technique that is widely applied in many areas of data processing, including financial time series. By revealing the structure of the data at multiple scales, the results of WMA can be used to challenge or confirm underlying assumptions of market models. In many cases, the software used to compute the analysis will have been provided by a third party. The requirements this imposes on the design and implementation of such software are examined, together with possible limitations which need to be taken into account by the user. An important consideration is the desirability for consistent output to be produced by different implementations of the wavelet algorithms, to enable valid comparisons to be made. The needs of users to choose an appropriate wavelet basis and produce results relevant to their application must be translated into efficient software in terms of scalability and the pre- and post-processing of data sets. These issues are illustrated with reference to applications such as Foreign Exchange pricing.

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