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age 32
visits member for 3 years, 7 months
seen Aug 11 at 9:25

interested in signal processing for univariate time series.


Aug
5
comment Which size of constant range bar gives the most persistent chart?
@ Alexander: Because there is a difference. A constant volume bar closes after a certain number of contracts have been traded (i.e. 1000), a constant range bar closes after price has covered a certain range (i.e. 10 pips in forex), regardless of volume.
Mar
28
comment Digital Signal Processing in Trading
Hi fRed, which wavelet book did you use? Can you recommend a title?
Mar
28
comment Digital Signal Processing in Trading
Hi Jonathan, when you say: "There are some other bases that can be chosen that do better" which bases do you mean? I'm studying the subject now and haven't found anything useful in the usual suspects (Daub, Symm, ..).