Effective decorrelation and space dimensionality reduction of multiscaling volatility

Research output: Contribution to journalConference articlepeer-review


We consider an approach for modeling non-stationary and non-Gaussian curves which has a natural impact on financial time series analysis due to the characteristic features of volatility processes. Provided that one can approximate the signal of interest, in this case stock index returns, with a greedy approximation scheme based on wavelet-like functions, an effective space dimensionality reduction of the problem can be found by a decomposition technique which selects the scales according to an energy-based optimization scheme and finds the most informative sources of the underlying multiscaling volatility process.

Original languageEnglish (US)
Pages (from-to)340-346
Number of pages7
JournalPhysica A: Statistical Mechanics and its Applications
Issue number1-3
StatePublished - Sep 1 2004
Externally publishedYes
EventNews and Expectations in Thermostaistics - Villasimius (Cagliaria), Italy
Duration: Sep 21 2003Sep 28 2003


  • Greedy approximation
  • Independent components
  • Multiscaling
  • Volatility
  • Wavelet decorrelation

ASJC Scopus subject areas

  • Statistics and Probability
  • Condensed Matter Physics


Dive into the research topics of 'Effective decorrelation and space dimensionality reduction of multiscaling volatility'. Together they form a unique fingerprint.

Cite this