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

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 …

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