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摘要翻译：
本文试图从时间-频率的角度来研究全球股票市场的结构和特征。基于这一框架的分析可以从不同的维度捕捉信息，而不是传统的时域分析，在时域分析中，金融市场的多尺度结构被清晰地提取出来。在金融时间序列中，多尺度特征因其存在的多个时域而表现出来。由于市场结构在不同的时间范围内不是同质的，多个时间范围的存在需要对每一个时间范围分别进行仔细研究。复杂程度不同的多个时间范围的存在，要求人们从异质市场的角度来研究金融时间序列，即市场参与者在不同的投资范围内运作。本文将基于时频小波技术的应用扩展到：（1）从异质投资者的角度分析全球股票市场的相互依存关系，并以印度股票市场为重点；（2）研究金融危机对印度股票市场的传染效应（如果有的话）；（3）利用基于小波的长记忆方法研究全球股票市场的分形和尺度特性，并分析印度股票市场的效率。
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英文标题：
《A wavelet analysis of inter-dependence, contagion and long memory among
global equity markets》
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作者：
Avishek Bhandari
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最新提交年份：
2020
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Physics 物理学
二级分类：Chaotic Dynamics 混沌动力学
分类描述：Dynamical systems, chaos, quantum chaos, topological dynamics, cycle expansions, turbulence, propagation
动力系统，混沌，量子混沌，拓扑动力学，循环展开，湍流，传播
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一级分类：Statistics 统计学
二级分类：Applications 应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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英文摘要：
This study attempts to investigate into the structure and features of global equity markets from a time-frequency perspective. An analysis grounded on this framework allows one to capture information from a different dimension, as opposed to the traditional time domain analyses, where multiscale structures of financial markets are clearly extracted. In financial time series, multiscale features manifest themselves due to presence of multiple time horizons. The existence of multiple time horizons necessitates a careful investigation of each time horizon separately as market structures are not homogenous across different time horizons. The presence of multiple time horizons, with varying levels of complexity, requires one to investigate financial time series from a heterogeneous market perspective where market players are said to operate at different investment horizons. This thesis extends the application of time-frequency based wavelet techniques to: i) analyse the interdependence of global equity markets from a heterogeneous investor perspective with a special focus on the Indian stock market, ii) investigate the contagion effect, if any, of financial crises on Indian stock market, and iii) to study fractality and scaling properties of global equity markets and analyse the efficiency of Indian stock markets using wavelet based long memory methods.
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PDF链接：
https://arxiv.org/pdf/2003.14110
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