Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/67237
Title: Financial time series modelling in frequency domain
Authors: Tang, Wai Man
Advisors: Yiu, Ka Fai, Cedric (AMA)
Keywords: Time-series analysis.
Finance -- Mathematical models.
Finance -- Econometric models.
Issue Date: 2017
Publisher: The Hong Kong Polytechnic University
Abstract: In financial time series modelling, one problem is to identify a small number of potentially important factors and incorporate them into a multi-factor model in order to explain the variable in consideration. In this thesis, we propose a new factor search methodology in frequency domain, and select factors based on frequency peak patterns to obtain the final model. This ensures the key patterns in dependent variable be found and suitable factors be selected based on the peaks in common. It performs well even when the number of factors is greater than the sample size. In addition, the frequency domain provides flexibility in dealing with independent variables with different timeframes, and this could be valuable in finance and economic when traditional models usually can handle data in single sampling frequency only. Using the proposed method, we study three different types of applications. The first is to identify the constituents of an index or a mutual fund. We demonstrate that our method can identify most of the constituents based on the frequency fingerprints (key patterns) in the variables. The second is to develop multi-factor models based on macroeconomic factors for economic and financial indices. We show that it is important to include factors with different timeframes to achieve better fit. Finally, we study the influential technical analysis indicators that investors might be using in their trading decisions as reflected in the transacted volume, and compared the indicators selected for the same company traded in Hong Kong and Mainland stock exchange markets.
Description: PolyU Library Call No.: [THS] LG51 .H577M AMA 2017 Tang
139 pages :color illustrations
URI: http://hdl.handle.net/10397/67237
Rights: All rights reserved.
Appears in Collections:Thesis

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