High frequency quoting: programs

The analysis uses wavelet transforms for computational efficiency. These transforms are discussed from a time-series econometrician's perspective in (Percival, D.B., Walden, A.T., 2000. Wavelet Methods for Time Series Analysis. Cambridge University Press, Cambridge).

The computations are done in Matlab using a set of rouintes developed to go along with the Percival and Walden book: (Cornish, C., 2006. The WMTSA wavelet toolkit for MATLAB Department of Atmospheric Sciences, University of Washington, Seattle.)

I used the wmtsa package with a few additional routines. These routines, a driver program, and the original wmtsa package are available here: wmtsaHasbrouck.zip. The readme file contains further notes.

A cautionary note: different wavelet programs have different notational conventions and data structures. The wmtsa package, the P&W book, and Mathematica are consistent. The Mathworks wavelet toolbox, however, differs from wmtsa/Mathematica.