Multi-time scale analysis of precipitation variation in Guyuan, China： 1957-2005

Morlet wavelet transformation is used in this paper to analyze the multi-time scale characteristics of precipitation data series from 1957 to 2005 in Guyuan region. The results showed that （1） the annual precipitation evolution process had obvious multi-time scale variation characteristics of 15-25 years. 7-12 years and 3-6 years, and different time scales had different oscillation energy densities; （2） the periods at smaller time scales changed more frequently, which often nested in a biggish quasi periodic oscillations, so the concrete time domain should be analyzed if necessary; （3） the precipitation had three main periods （22-year, 9-year and 4-year） and the 22-year period was especially outstanding, and the analysis of this main period reveals that the precipitation would be in a relative high water period until about 2012.     

Dependent relationships between Chinese commodity markets and the international financial market: Evidence from quantile time-frequency analysis

In this article, the quantile time–frequency method is utilized to study the dependence of Chinese commodities on the international financial market. The impacts of risk management and diversification benefits of different portfolios are examined by calculating the reduction in downside risk. Moreover, we estimate and compare Sharpe Ratios (SRs) and Generalized Sharpe Ratios (GSRs) based on the frequencies of the investigated portfolios. Our empirical results reveal a strong asymmetric response from Chinese commodity markets. Specifically, we find that gold is a safe-haven asset, and due to negative correlations found at lower quantiles in medium and long term, an increase in the USD index damages bull commodity markets but boosts bear conditions under long-term investments, and negative (positive) tail correlations with interest rates (IRs) in bull (bear) markets are observed. It is proven that WTI can decrease short-run risks while USD and GOLD are more efficient in the diversification of downside risk. Adding international commodities may not improve the returns of Chinese commodities at given risk levels in the short and medium term through SRs and GSRs. In brief, investors should consider these dependence structures and modes of risk management in terms of time and frequency.     

Analysing the performance of managed funds using the wavelet multiscaling method

We propose a new approach for investigating the performance of managed funds using wavelet analysis and apply it to an Australian dataset. This method, applied to a multihorizon Sharpe ratio, shows that the wavelet variance at the short scale is higher than that of the longer scale, implying that an investor with a short investment horizon has to respond to every fluctuation in the realized returns, while for an investor with a much longer horizon, the long-run risk associated with unknown expected returns is not as important as the short-run risk. Using multihorizon Sharpe ratios of six groups of managed funds, we find that none of the fund groups are dominant over all time scales.

Modelling the asymmetric linkages between spot gold prices and African stocks

We model the asymmetric linkages between returns of spot gold prices and African stock markets using wavelets and quantile regression techniques. The maximal overlap discrete wavelet transform technique was employed to decompose the returns into short-, medium-, and long-term series and the quantile regression was employed to explore the nexus by matching their conditional distributions along 0.05 quantile intervals. We find that the relationship between gold and African stocks is frequency-dependent and asymmetric in nature across the various timescales and quantiles. We find a mixture of negative and positive connections across the various quantiles in the short- and medium-terms. In the long-term, whereas the effect of gold is positive for Ghana, Mauritius, and Nigeria; it is negative for Egypt, Morocco, South Africa, and Tunisia. The results possess important implications for risk management as dependencies are not only studied over the entire conditional distribution at once but based on quantiles and further at different frequencies. Investors can make well-informed decisions to mitigate trade risks as they closely match the time heterogeneity in the markets.     

智能信息处理方法在股市研究中的应用

本主要介绍了智能信息处理方法在股市研究中的应用，着重介绍了基于模糊数学方法的政策因素综合评价研究、神经网络模型在股票价格分析中的应用和小波包在股票价格预测中的应用。     

Sovereign and bank dependence in the eurozone: A multi-scale approach using wavelet-network analysis

This study establishes time–frequency networks of sovereign and bank contagion in the eurozone over the period 2009–2021. By applying discrete wavelet transformation, daily CDS premia of sovereigns and systemically important banks are decomposed into multi-horizon components to specify directed and dependence-weighted networks. Dynamic analysis shows that the network connectivity and the strength of the dependencies are significantly lower after the introduction of the European Banking Union in 2014. While the strength effect is pronounced across all time horizons, the network connectivity only reduces in the short and medium run. This provides evidence that the new regulatory framework promotes financial stability but is more effective in the short and medium horizons. The consideration of the COVID-19 pandemic as a real-life stress test confirms these findings as the strength of the dependencies keeps at significantly lower levels.     

一种基于时间轴小波变换的鲁棒性水印算法研究

针对视频水印常见的攻击和视频压缩攻击,文章提出了一种时间轴小波域的视频水印算法。该算法选取每个场景中连续的8帧视频嵌入水印,让8帧视频图像进行3重时间轴小波变换得到一个低频帧,通过自适应的方式将水印嵌入低频帧的DCT中低频系数中,从而有效地保证了水印的抗攻击性。实验结果表明,该视频水印系统在不可见的同时具有很强的鲁棒性和安全性。     

Automatic stabilizers in the Japanese tax system

When studying the role of taxes as an automatic stabilizer, excluding the effects of discretionary tax reform is troublesome. A fruitful approach to identifying tax movements over business cycles would be to utilize cyclical information. From this perspective, we exploit wavelets in order to characterize the automatic response of taxes to output at business cycle frequencies in the postwar Japanese economy. We find the presence of automatic stabilizers in the Japanese tax system under the influence of relatively high output volatility but the absence of such stabilizers during the period of the “Great Moderation” in Japan in the 1980s.     

基于小波变换的形状识别方法

<正> 在我国的改革开放中,金融改革始终是国内外关注的一个焦点。自1996年12月1日起,我国政府开始接受国际货币基金组织(IMF)协定第八条的义务,实行人民币经常项目下的可兑换。在此以前不久,我国政府已经开始了允许外资银行经营人民币业务的试点;同时,正在考虑和即将开始允许外国投资基金进入我国资本市场的试点。这些都表明了我国金融市场正在扩大对外开放的程度,也表示了政府对金融自由化与国际化所持的积极态度。 在我国的金融自由化与国际化进程中,资本市场(这里主要指证券市场)的对外开放是一个十分复杂和风险较大的问题。总体上,这里涉及到三个方面的问题:一是我国资本市场对外开放所应选择的入口和顺序;二是我国资本市场开放的制度障碍;三是我国资本市场对外开放的风险控制。     

基于Morlet小波时频互相关的股指期货价格发现效率研究

本文采用Morlet小波时频互相关分析方法,从"时域"和"频域"两个维度检验了我国以及国际主要市场股指期货和现货价格序列的动态关联性,研究了股指期货价格发现效率的问题。研究表明,沪深300指数和股指期货在低频长周期范围内,呈现长时间高度相关、协同波动的特征;在高频短周期范围内,两者整体仍然具有协同波动特征,但时常出现短暂紊乱的情况,即期货与现货的交错引导现象。我国股指期货市场的价格发现效率较美国、英国成熟市场仍有较大差距,但强于日本。