• The Journal of Asian Finance, Economics and Business
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• v.7 no.11
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• pp.83-93
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• 2020

This empirical research aims to modeling and improving the forecasting accuracy of the volatility pattern by employing the Saudi Arabia stock market (Tadawul)by studying daily closed price index data from October 2011 to December 2019 with a number of observations being 2048. In order to achieve significant results, this study employs many mathematical functions which are non-linear spectral model Maximum overlapping Discrete Wavelet Transform (MODWT) based on the best localized function (Bl14), autoregressive integrated moving average (ARIMA) model and generalized autoregressive conditional heteroskedasticity (GARCH) models. Therefore, the major findings of this study show that all the previous events during the mentioned period of time will be explained and a new forecasting model will be suggested by combining the best MODWT function (Bl14 function) and the fitted GARCH model. Therefore, the results show that the ability of MODWT in decomposition the stock market data, highlighting the significant events which have the most highly volatile data and improving the forecasting accuracy will be showed based on some mathematical criteria such as Mean Absolute Percentage Error (MAPE), Mean Absolute Scaled Error (MASE), Root Means Squared Error (RMSE), Akaike information criterion. These results will be implemented using MATLAB software and R- software.

• ETRI Journal
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• v.44 no.3
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• pp.512-523
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• 2022

Random delay countermeasures introduce random delays into the execution flow to break the synchronization and increase the complexity of the side channel attack. A novel method for attacking devices with random delay countermeasures has been proposed by using a maximal overlap discrete wavelet transform (MODWT)-based power trace alignment algorithm. Firstly, the random delay in the power traces is sensitized using MODWT to the captured power traces. Secondly, it is detected using the proposed random delay detection algorithm. Thirdly, random delays are removed by circular shifting in the wavelet domain, and finally, the power analysis attack is successfully mounted in the wavelet domain. Experimental validation of the proposed method with the National Institute of Standards and Technology certified Advanced Encryption Standard-128 cryptographic algorithm and the SAKURA-G platform showed a 7.5× reduction in measurements to disclosure and a 3.14× improvement in maximum correlation value when compared with similar works in the literature.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.12
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• pp.1-10
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• 2020

This study investigates the problem of outlier detection based on discrete wavelet transform in the context of time series data where the identification and treatment of outliers constitute an important component. An outlier is defined as a data point that deviates so much from the rest of observations within a data sample. In this work we focus on the application of the traditional method suggested by Tukey (1977) for detecting outliers in the closed price series of the Saudi Arabia stock market (Tadawul) between Oct. 2011 and Dec. 2019. The method is applied to the details obtained from the MODWT (Maximal-Overlap Discrete Wavelet Transform) of the original series. The result show that the suggested methodology was successful in detecting all of the outliers in the series. The findings of this study suggest that we can model and forecast the volatility of returns from the reconstructed series without outliers using GARCH models. The estimated GARCH volatility model was compared to other asymmetric GARCH models using standard forecast error metrics. It is found that the performance of the standard GARCH model were as good as that of the gjrGARCH model over the out-of-sample forecasts for returns among other GARCH specifications.

• International conference on construction engineering and project management
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• 2009.05a
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• pp.388-392
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• 2009

Operation of LNG (Liquefied Natural Gas) plants requires an effective maintenance strategy. To this end, the long-term and short-term trend of faults, such as mechanical and electrical troubles, should be identified so as to take proactive approach for ensuring the smooth and productive operation. However, it is not an easy task to predict the fault trend in LNG plants. Many variables and unexpected conditions make it quite difficult for the facility manager to be well prepared for future faulty conditions. This paper presents a model to predict the fault trend in a LNG plant. ARIMA (Auto-Regressive Integrated Moving Average) model is combined with Wavelet Transform to enhance the prediction capability of the proposed model. Test results show the potential of the proposed model for the preventive maintenance strategy.

• Journal of Astronomy and Space Sciences
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• v.25 no.4
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• pp.395-404
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• 2008

We explore the linkage between the long term variability of the Sun and earth's climate change by analysing periodicities of time series of solar proxies and global temperature anomalies. We apply the power spectral estimation method named as the periodgram to solar proxies and global temperature anomalies. We also decompose global temperature anomalies and reconstructed total solar irradiance into each local variability components by applying the EMD (Empirical Mode Decomposition) and MODWT MRA (Maximal Overlap Discrete Wavelet Multi Resolution Analysis). Powers for solar proxies at low frequencies are lower than those of high frequencies. On the other hand, powers for temperature anomalies show the other way. We fail to decompose components which having lager than 40 year variabilities from EMD, but both residuals are well decomposed respectively. We determine solar induced components from the time series of temperature anomalies and obtain 39% solar contribution on the recent global warming. We discuss the climate system can be approximated with the second order differential equation since the climate sensitivity can only determine the output amplitude of the signal.

• Journal of Korea Port Economic Association
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• v.37 no.2
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• pp.119-131
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• 2021

Energy is an essential element in economic activity and people's lives, an important resource used by various industries, and the financialization of commodity markets has led to the growing importance of crude oil turning into the same asset as other assets. Accordingly, studies analyzing the correlation between energy prices and investor sentiment explain that investor sentiment affects oil prices through economic factors and speculation. In this study, we wanted to analyze whether the impact of the most representative changes in oil prices affects investor decision making, affecting investor sentiment, and applying wavelet consistency analysis to determine how energy prices relate to investor sentiment. Studies show that policies should be focused on policy and market changes because energy prices differ by time scale and investment sentiment should be more influential in the long term than in the short term.