Alpha Spectral Analysis http://jonathankinlay.com/?p=412

(Last Updated On: May 30, 2011)

Alpha Spectral Analysis http://jonathankinlay.com/?p=412

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 determine the best time-frames for sampling and trading. Typically, these spectral analysis techniques will highlight several different cycle lengths where the alpha signal is strongest.


Very interesting idea, doing correlation analysis of the spectra and not the price data. Good work.



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