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Financial Time Series Denoising using Wavelet

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Muhammad Nabiil Aujeemuddee
Commentato: Cong Ba il 31 Lug 2017
Hello, I got S&P 500 closing prices for the last 10 years. What Matlab package I need to denoise the data. I would then run further analysis on the denoised data like LSTM etc..
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Cong Ba
Cong Ba il 31 Lug 2017
To be honest I don't think there is any standard way to denoise financial data... There may be huge value in those "noises."
But if you insist I think you can start from here: https://www.mathworks.com/help/wavelet/ug/wavelet-denoising.html

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