Noise estimation by use of neighboring distances in Takens space and its applications to stock market data

Thumbnail Image

Date

Authors

Journal Title

Journal ISSN

Volume Title

Publisher

Abstract

Description

We present a method that uses distances between nearest neighbors in Takens space to evaluate a level of noise. The method is valid even for high noise levels. The method has been verified by estimation of noise levels in several chaotic systems. We have analyzed the noise level for Dow Jones and DAX indexes and we have found that the noise level ranges from 25 to 80 percent of the signal variance.
10 pages, 6 figures. See http://www.chaosandnoise.org

Keywords

Other Condensed Matter

Citation

URI

http://salesiana.dossiersoluciones.com/handle/123456789/25411

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/0412098
 http://arxiv.org/abs/cond-mat/0412098

Collections

arXiv