Applications of Hilbert–Huang transform to non‐stationary financial time series analysis
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Bibliographic record
Abstract
Abstract A new method, the Hilbert–Huang Transform (HHT), developed initially for natural and engineering sciences has now been applied to financial data. The HHT method is specially developed for analysing non‐linear and non‐stationary data. The method consists of two parts: (1) the empirical mode decomposition (EMD), and (2) the Hilbert spectral analysis. The key part of the method is the first step, the EMD, with which any complicated data set can be decomposed into a finite and often small number of intrinsic mode functions (IMF). An IMF is defined here as any function having the same number of zero‐crossing and extrema, and also having symmetric envelopes defined by the local maxima, and minima respectively. The IMF also thus admits well‐behaved Hilbert transforms. This decomposition method is adaptive, and, therefore, highly efficient. Since the decomposition is based on the local characteristic time scale of the data, it is applicable to non‐linear and non‐stationary processes. With the Hilbert transform, the IMF yield instantaneous frequencies as functions of time that give sharp identifications of imbedded structures. The final presentation of the results is an energy–frequency–time distribution, which we designate as the Hilbert Spectrum. Comparisons with Wavelet and Fourier analyses show the new method offers much better temporal and frequency resolutions. The EMD is also useful as a filter to extract variability of different scales. In the present application, HHT has been used to examine the changeability of the market, as a measure of volatility of the market. Published in 2003 by John Wiley & Sons, Ltd.
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Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.000 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.000 |
| Bibliometrics | 0.001 | 0.002 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
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Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it