Time aggregation problems in Financial Time Series.PDF
نویسنده
چکیده
The aim of this communication is to analyse the process of estimation of the adequate time unit in financial series. The problem in time aggregation is the loss of information, that will be acceptable if it is possible to fit a financial model. We present an example of time aggregation problems in Financial Time series over the daily Deutsche Aktienindex (DAX) using three comparative methods: descriptive statistics, Fourier analysis and Artificial Neural Networks.
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