SI
SI
discoversearch

We've detected that you're using an ad content blocking browser plug-in or feature. Ads provide a critical source of revenue to the continued operation of Silicon Investor.  We ask that you disable ad blocking while on Silicon Investor in the best interests of our community.  If you are not using an ad blocker but are still receiving this message, make sure your browser's tracking protection is set to the 'standard' level.
Strategies & Market Trends : Neural Nets - A tool for the 90's
 Public ReplyPrvt ReplyMark as Last ReadFilePrevious 10Next 10PreviousNext  
To: Optim who wrote (650)9/3/1999 1:58:00 PM
From: Tim Krieg  Read Replies (1) of 871
 
Short FFT ramps and spike analysis

FFT & Wavelets can be a help, however they can be as
tricky (useless) as a 12 handed sprocket gizmo. Some of
the wavelet filters are not as well suited as others.
Don't get me wrong, by going from just frequency to time-
frequency domain they are extremely useful, however they
should carry the label don't try this at home. I enjoy
working with wavelet components and filters, however the
fft components have worked out better to build a better
$$$ model. Try ramping up the fft components over time,
summing fewer components on older data and using all of
the components on the most recent data. It will allow
fewer spikes to get through from special market conditions
that may no longer be valid. Take Y2K, it may cause some
spikes now that will have little impact 2002. Those spikes
now are important, and may not want to be smoothed out in
the near term. You may also try comparing the SFFT results
to the SFFT input and filter out completely the error of
various portions of your training set when the difference
is above a threshold. The approach has been used in an
opposite way in other domains, focusing or training to look
for the spikes.

Tim

Short FFT (SFFT) - a wavelet wannabe
Report TOU ViolationShare This Post
 Public ReplyPrvt ReplyMark as Last ReadFilePrevious 10Next 10PreviousNext  

HomeMailHotSubjectMarksPeopleMarksKeepersSettings
Terms Of UseContact UsCopyright/IP PolicyPrivacy PolicyAbout UsFAQAdvertise on SI
© 2026 Knight Sac Media.  Data provided by Twelve Data, Alpha Vantage, and CityFALCON News