基于零树小波编码的改进算法研究

本文主要从小波系数的合理组织、对重要系数的量化；以及新型小波滤波器的构造三个方面分析了基于零树小波编码的改进算法。理论分析和实验验证表明，它们在压缩比、编码速度及硬件实现方面均有较好的效果。本文对这些算法从原理到性能进行了比较和讨论，说明了基于零树小波图像编码的研究方向。     

The time-frequency analysis of conventional and unconventional monetary policy: Evidence from Japan

The effects of monetary policy on the aggregate economy is an important issue that has been addressed mainly in the time domain, and relatively little is known about how monetary policy affects the macroeconomy in the time-frequency space. With a continuous wavelet multiple coherency and partial coherency approach, this paper contributes to the literature by characterizing the macroeconomic effects of monetary policy across frequencies and over time using a monthly dataset from Japan, which is in the vanguard in the practice of unconventional monetary policy. The empirical results show that: First, interest rate changes could be largely captured by inflation fluctuations across frequencies before 1999 but only at low frequencies after 1999. Second, movements of M1 could well reflect the variations of industrial production at the scale of 2–4 years before 1999, but this relationship was reversed at the same scale after 1999. Third, changes in M2 could roughly mirror the fluctuations of inflation at the scale of 3–4 years between 1966 and 1969, and this relationship was reversed at the scale of 1–3 years between 2003 and 2007. This study indicates that in Japan conventional and unconventional monetary policy generate heterogeneous effects on the aggregate economy and the level of heterogeneity partially depends on the chosen instrument.     

Impact of the Covid-19 induced panic on the Environmental,Social and Governance leaders equity volatility: A time-frequency analysis

We apply wavelet analyses to study how the Covid-19 fueled panic influenced the volatility of ESG (environmental, social and governance) leaders’ indices encompassing the World, the USA, Europe, China, and the Emerging Markets. We document intervals of the low, medium, and high coherence between the Coronavirus Panic Index and the price moves of the ESG Leaders indices. The low coherence intervals signify the diversification potential of ESG investments during a systemic pandemic such as Covid-19. We document differences in the pattern exhibited by various geographical indices highlighting their potential role for designing cross-geography hedge strategies, both now and in the future.     

外汇储备、CPI与汇率的多尺度影响分析

论文首先运用db2小波对取对数后的数据分3层进行降噪,然后建立外汇储备、汇率以及CPI的VEC模型,并在VEC模型估计的基础上,使用脉冲响应和方差分解对他们的动态关系进行实证分析。结果表明,我国外汇储备与汇率之间不仅存在因果关系,还存在长期的协整关系;CPI与外汇储备之间不仅存在协整关系而且变动方向保持一致,外汇储备规模的快速增长对CPI上涨也产生一定的影响;汇率的变动对CPI也有一定的影响,但影响力度较小。     

Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns

This paper investigates the association between portfolio returns and higher-order systematic co-moments at different timescales obtained through wavelet multi-scaling, a technique that decomposes a given return series into timescales enabling investigation at different return intervals. In Australian industry portfolios, the relative risk positions indicated by systematic co-moments at some timescales are different from those revealed in daily returns. A strong positive (negative) linear association between beta and portfolio return and co-kurtosis and portfolio return in the up (down) market is observed in daily returns and at different timescales. The beta risk is priced in the up and down markets. Co-kurtosis is not priced when the beta is in the pricing model. Co-skewness appears to be priced at a relatively high timescale and this is observed only after the up and down separation of market returns.     

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。     

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.     

Phillips curve in US: New insights in time and frequency

The paper explores the co-movement between unemployment and inflation rates in US by using a battery of wavelet tools. The dataset covers the period 1945Q1–2017Q4, having quarterly frequency.The main findings reveal a not stable Phillips curve in US, depending on economic context, seasonality and time-persistence. The Phillips curve is not validated during economic turbulences, while it works over expansion economic periods. Even so, the trade-off between unemployment and inflation is unstable under seasonal growth components and time-persistence, running from short- to medium-term. No link between unemployment and inflation is found in the long-term.     

基于神经网络的综合方法的研究

对神经网络与其它智能控制技术相结合进行了综述,主要有神经网络与模糊逻辑技术、小波分析、可拓理论、遗传算法和混沌等技术相互结合从而形成新型神经网络。进而概述了小波网络、模糊网络、模糊小波神经网络、遗传神经网络、混沌神经网络和开拓神经网络等模型的研究现状,并展望了今后的发展趋势。     

The interrelationship between order flow,exchange rate,and the role of American economic news

The aim of this study is to investigate the comovement and interconnection between US economic news in seven different categories and the exchange rate of the US dollar against the currencies of seven developed countries, with the corresponding order flows. Our empirical investigation is based on using the Spearman correlation method to analyze the correlation between the economic news and exchange rate using order flows before, during, and after the financial news announcement. We use wavelet transform analysis to assess the comovement in the time–frequency domains. The bivariate outcomes demonstrate that changes in economic news impact price changes for only a short time, or even no time at all. Moreover, for longer time periods, the order flow is shown to have stronger coherency than economic news and a steady comovement against the exchange rate. Wavelet coherency reveals that the lead-lag effect of order flow changes on price changes starts in the medium frequency bands to low-frequency bands during the entire sample period. In addition, economic news weakens the correlation between exchange rate and order flow in the short run, which means that the combination of economic news and order flow can achieve a higher degree of consistency of exchange rate. The implication of this study is that macro policy makers, import and export enterprises, foreign exchange investors and exchange fund managers can predict the future exchange rate based on the order flow and choose hedging measures under different objectives.