Research method
Fourier analysis
Fourier analysis is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Conditional forecast or research filter
- Input
- Ordered price, volume or breadth observations
- Horizon
- A defined sampling interval and lookback
- Best use
- Compare an explicit quantitative baseline with an out-of-sample result.
- Input: Ordered price, volume or breadth observations.
- Output: forecast.
- Use boundary: Compare an explicit quantitative baseline with an out-of-sample result.
The graph3
How the method is built, and where it has been read
Depends on
Often reviewed together
Fast Fourier Transform9 readings
Often reviewed together
Spectral analysis16 readings
Often reviewed together
Dominant cycle detection17 readings
Read in the archive24 of 41 readings
1982Building FFT spectra to size cycle filters1982Critiquing Fourier, Elliott, and seasonal commodity models1982Evaluating half-hour crossovers with cycle priors and stops1984Constructing maximum-entropy spectra for dominant-cycle forecasts1984Building moving-window spectral cycle forecasts1986Why Fourier windows limit dominant-cycle resolution1988Fourier cycle models break in major swings1988Why a fitted dominant cycle is not a forecast1988Constructing moving average filters from price Fast Fourier Transforms1988Fourier cycles versus calendar seasonal regimes1989Constructing analog cycle signatures from price lows1989Staging Fast Fourier construction under memory limits1990Curve fits fail the forecast test1991Auditing moving-average length with Fourier spectra1991Closed-form phase for dominant-cycle spectra1993Evaluating windowed spectral forecasts of index turning points1994Window length for moving-window spectral forecasts1994Constructing a spreadsheet FFT power spectrum from daily prices1994Constructing WAMI power and phase spectra1994Fourier-tuned momentum filter design1994Constructing labeled cycle lengths from FFT spectra1994Aliasing, leakage, and dominant-cycle reads from sampled prices1995Constructing indicator lookbacks from Fourier spectra1996Constructing phase from a dominant-cycle sine and cosine pair
This registry entry describes a research method. It is not investment advice and does not make a performance claim.