Quant analytics: What is the best causal filter? Wavelets? Mark Jurik’s JMA? …?

What is the best causal filter? Wavelets? Mark Jurik’s JMA? …? Hi, I’ve been doing some research on wavelets and they seem to show promise to filter intra-day fx time series because they can deal with non-periodicity (contrary to Fourier-based techniques). What is your experience with them? Are there better causal filters available?   — …

Quant analytics: What is the best causal filter? Wavelets? Mark Jurik’s JMA? …? Read More ┬╗