Category Archives: Fourier Transforms

Signal Processing and Sample Frequency –

The Importance of Sample Frequency Too often we apply a default time horizon for our trading, whether it below (daily, weekly) or higher (hourly, 5 minute) frequency.  Sometimes the choice is dictated by practical considerations, such as a desire to … Continue reading

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Alpha Spectral Analysis

One of the questions of interest is the optimal sampling frequency to use for extracting the alpha signal from an alpha generation function.  We can use Fourier transforms to help identify the cyclical behavior of the strategy alpha and hence … Continue reading

Posted in Forecasting, Fourier Transforms, High Frequency Finance, Pairs Trading, Principal Components Analysis, Signal Processing, Statistical Arbitrage | Tagged , , , , , | Comments Off on Alpha Spectral Analysis