Overview: Wavelet Dll

The Application is realized as the dynamic library dll. The interaction with the library is carried out by means of two functions:

1. RUNWVL(&ArrayPrice[0],Scales, Threshold),

that carries out the direct and inverse Redundant Haar wavelet transformations.

The given function returns the filtered price series. Input parameters for function RUNWVL are

• Data file which we shall set below,
• Number of scales,
• Threshold value of the signal / noise ratio, as a rule.

Clearly that value of function RUNWVL(&ArrayPrice[0],Scales, 0) is the initial price series.

2. GetAllValues(Output, Scale),

which values according to the parameter Output value are

1. Redundant Haar wavelet coefficient (Output = 1),
2. Noise level (Output = 2),
3. Filtered Redundant Haar wavelet coefficient (Output = 3).

On the appropriate scale which is set by parameter Scale .

For example, GetAllValues(1, 5) is equal to the 5-th coefficient value Wavelet₅. GetAllValues(Output, ) ) provides the Residual term.