Category Archives: Signal Processing

Alpha Extraction and Trading Under Different Market Regimes

Market Noise and Alpha Signals One of the perennial problems in designing trading systems is noise in the data, which can often drown out an alpha signal.  This is turn creates difficulties for a trading system that relies on reading the signal, … Continue reading

Posted in Alpha, Forecasting, Natural Gas Futures, Regime Shifts, Signal Processing, Systematic Strategies, Volatility Modeling | Leave a comment

Signal Processing and Sample Frequency – www.jonathankinlay.com

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

Posted in Commodity Futures, eMini Futures, Fourier Transforms, Futures, Signal Processing | Tagged , , , , | Comments Off on Signal Processing and Sample Frequency – www.jonathankinlay.com

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