Predictive performance of denoising algorithms in S&P 500 and Bitcoin returns
Published in Expert Systems with Applications., 2025
Investigates Hankel matrix and Wavelet denoising for volatility datasets (squared returns) in S&P 500 and Bitcoin — preserving systemic impulses while filtering sporadic noise to improve post-sample forecasting accuracy.
Recommended citation: Emrah Gulay, Omer Burak Akgun, Korkut Bekiroglu, Okan Duru. "Predictive performance of denoising algorithms in S&P 500 and Bitcoin returns." Expert Systems with Applications 260 (2025): 125400. https://www.sciencedirect.com/science/article/abs/pii/S095741742402267X
