English, Article edition: FUNCTIONAL APPROXIMATION IN MULTISCALE COMPLEX SYSTEMS ENRICO CAPOBIANCO

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Bookmark: http://trove.nla.gov.au/version/143973
Physical Description
  • article
Language
  • English

Edition details

Title
  • FUNCTIONAL APPROXIMATION IN MULTISCALE COMPLEX SYSTEMS
Author
  • ENRICO CAPOBIANCO
Physical Description
  • article
Notes
  • One common approach for exploring, approximating and estimating complex system dynamics refers to models based on elementary or atomic building block components of easier interpretation and efficient computation. We adopt a combination of wavelets, greedy approximation and subspace techniques to investigate complex systems such as speculative financial markets. These systems are endowed with multiscale and non-stationary dynamics that we aim to artificially learn by using functional approximation and optimization theory. We show that volatility dynamics are embedded in a sequence of nested informative scales and thus a multiscale estimation approach is indicated to deal with them.
  • Atomic dictionaries, wavelets, subspace decomposition, greedy approximation
  • RePEc:wsi:acsxxx:v:06:y:2003:i:02:p:177-204
Language
  • English
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