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Title:
A New Signal Decomposition Method – Adaptive Fourier Decomposition and Its Application in Financial Data Analysis |
Abstract:
Adaptive Fourier decomposition (AFD) is a recently developed signal decomposition technique with a rigorous mathematical foundation, which generalizes the traditional Fourier decomposition by considering the Blaschke decomposition (BKD) theory in the complex analysis. It decomposes a given signal by adaptively selecting its associated basis from the Takenaka–Malmquist (TM) system. By achieving the maximal energy gain in each decomposition iteration, AFD decomposes a signal into several constitutional components known as mono-components. Those mono-components possess positive instantaneous frequencies (IFs) and no intersection occurs among any of them, which can be used to analyze the features of the signal. AFD has been applied in different signal and image processing fields, including cybernetics and system identification, image and video compression, image encryption, electrocardiogram (ECG) and electroencephalogram (EEG) signal processing, etc. Financial time series have rich characteristics, including trends, noise, structural breaks, and so on. The most common forms of financial time series include stock market indexes, commodity prices, foreign exchange rates, linkage between different marks, etc. Through the decomposition process in the time-frequency domain, the trend of a specific financial time series and the detailed components of different frequencies can be studied. This talk will give some examples on AFD based financial data analysis. |
Biography:
Liming Zhang received the B.S. degree in Computer Software at Nankai University, China and M.S. degree in Signal Processing at Nanjing University of Science and Technology, China. She received her PhD degree in image processing at University of New England, Australia. She is currently an assistant professor in Faculty of Science and Technology, University of Macau. Her research interests include Signal processing, Image processing, Computer vision and Multimedia computing. She has published over 40 SCI journal papers, including IEEE TIP, IEEE SP, Automatica, IEEE TGRS, etc. |