Periodogram and Various Frequency Intervals

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

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.


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