电力系统突变信号检测的一种实时小波算法

在积分小波变换的基础上,以选择的复值小波为例,分析了一种实时递推小波算法,详细推导了算法的实现过程,该算法大大减少了现有双向递推算法的计算量,可用于电力系统各领域故障的这时检测,并能推广实现其他小波函数的快速递推算法,基于复值小波变换相位信息对奇异性的敏感,提出了利用复值小波快速递推算法的相位信息辅助幅值进行电力系统故障突变信号实时监测的方法,并通过算例论证了这种复值小波和其实时递推算法检测故障的     

Forecasting for the generation of trading signals in financial markets

In this paper we show that optimal trading results can be achieved if we can forecast a key summary statistic of future prices. Consider the following optimization problem. Let the return r_i (over time i=1, 2, ..., n) for the ith day be given and the investor has to make investment decision d_i on the ith day with d_i=1 representing a ‘long' position and d_i=0 a ‘neutral' position. The investment return is given by r=Σⁿ_i=1r_id_i−cΣⁿ⁺¹_i=1∣d_i−d_i−1∣, where c is the transaction cost. The mathematical programming problem of choosing d₁, ..., d_n to maximize r under a given transaction cost c is shown to have an analytic solution, which is a function of a key summary statistic called the largest change before reversal. The largest change before reversal is recommended to be used as an output in a neural network for the generation of trading signals. When neural network forecasting is applied to a dataset of Hang Seng Index Futures Contract traded in Hong Kong, it is shown that forecasting the largest change before reversal outperforms the k‐step‐ahead forecast in achieving higher trading profits. Copyright © 2000 John Wiley & Sons, Ltd.