The Study Of Application Of Wavelet In Analyzing Stock Market Data

Since the open of Shanghai Stock Exchange in December 1990 and Shenzhen Stock Exchange in March 1991, China has made a rapid development in stock market. Stock is studied mostly with statistics analysis and Fourier analysis (FA). But FA can't analyze partly signal in tune field. Because of "self-adaptable" and "focus-adjustable", wavelet analysis (WA) is called "mathematics microscope" and plays an important role in processing the non-stationary signal. Multiresolution analysis expresses the reduced space based on the characteristics. WA has been applied in many fields since independence from mathematics in the late eighties of 20 centuries. It is in near years that WA is applied to economy. In the background,inherent laws of stock market are studied--fractal, singularity, circularity,predictability, validity. As a result, it is practicable to quantitatively analyze the system of society economy with WA. The writer of this paper aims his energy to the following questions:1. Aiming at the stock market data (SMD) increasing infinitely, being short, noised seriously, three algorithms are presented to pretreat SMD. They don't reduce the useful information but also eliminate the noise;2. The characteristic of wavelet singularity detection is analyzed. One algorithm is introduced to measure the singularity; The fractal character of SMD is studied by the algorithm; Finally, the other algorithm is proposed to detect the singularity of SMD with WT and statistics analysis;3. The period of stock market is studied by wavelet decomposition;4. One algorithm is introduced to predict the trend of stock market with wavelet analysis and AR model;5. Finally, the validity of Chinese stock market is discussed; Shanghai stock market and Shenzhen stock market are compared;...