Abstract
Trends are not everything: financial prices do have periodic components which, if properly identified, allow one to take correctly positions long/short.
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Notes
- 1.
N will always have to be an odd number: \( N = 2 \cdot q + 1 \).
- 2.
It is always used, the method of least squares which we have already mentioned in connection with the linear interpolation.
- 3.
It was necessary to employ some simplifications which, however, in practice do not affect too much the result.
References
Box GEP, Jenkins GM, Reinsel GC (1994) Time series analysis. Prentice Hall, Englewood Cliffs
Wylie CR (1960) Advanced engineering mathematics. McGraw-Hill, New York
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© 2013 Springer-Verlag Italia
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Di Lorenzo, R. (2013). Periodogram. In: Trading Systems. Perspectives in Business Culture. Springer, Milano. https://doi.org/10.1007/978-88-470-2706-0_9
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DOI: https://doi.org/10.1007/978-88-470-2706-0_9
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