Periodogram and Various Frequency Intervals

Animation 1: Click to view animation. Periodogram and Various Frequency Intervals.

Advertisements

The periodogram of the daily log-returns of GOOG. We fix a band-width of length .12 and sweep it accross the frequency range from [0,.12] all the way to [2.35,2.47], where the, periodogram of the output signal is compared to that or the original data. The difference is shaded in light blue. Optmal ranges for building trading signal are found near the spectral peaks of the periodogram between pi/6 and 3pi/6. The performance of these corresponding frequency intervals are found in the animation below.

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s