Research Journal of Applied Sciences

Year: 2010
Volume: 5
Issue: 5
Page No. 352 - 360

A Comparison Between Haar Wavelet Transform and Fast Fourier Transform in Analyzing Financial Time Series Data

Authors : S. Al Wadi, Mohd Tahir Ismail and Samsul Ariffin Addul Karim

Abstract: Recently, the Fast Fourier Transforms (FFT) and the Discrete Wavelet Transforms (DWT) are two time series filtering methods that are used to represent the fluctuations of stocks market. In general the basic wavelet function, Haar wavelet transform is a mathematical function that cut off the data into different frequency components, satisfies some of mathematical requirements and it has better advantages than the traditional Fourier series in analyzing financial data. Fourier transform appears to have some problem associate with its transformation because it measures the data as a function of position (in frequency domain) without consider the time while wavelet transform displays their correlation as a function of scale and time (localized in both). In this study we use financial time series data taking from the Amman Stocks Market (Jordan) for a certain period of time in order to understand the similarities and dissimilarities between both of them. We look for point of abrupt changes, closing price and normalized data. In addition, some numerical results will be presented using Matlab programming.

How to cite this article:

S. Al Wadi, Mohd Tahir Ismail and Samsul Ariffin Addul Karim, 2010. A Comparison Between Haar Wavelet Transform and Fast Fourier Transform in Analyzing Financial Time Series Data. Research Journal of Applied Sciences, 5: 352-360.

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