I would like to reproduce the results in the paper "The scale of market quakes", from T. Bisig, But I am getting stuck at the computation of the Fourier Coefficients in equation (4). They are defined as the magnitude of the Fourier frequency computed from the discretized omega(t). I know how to compute a Discrete Fourier Transform but which omega(t) should I use? It's also not clear why you need a DFT at all. Is it to filter the signal?

  • $\begingroup$ Omega is the sampling period used in the discretization of the signal. Just substitute it by 2*pi*f, and then set the frequency. If it is closing date data, you could use 1/255, or the number of days your market may be open. Fast Fourier transform is based in analogue signals, and DFT for digital. If you need to apply any type of calculation, you will need to use DFT. I can't read the report you are refering to, but if it makes any calculation afterwards(maybe filtering), you need DFT. Hope I answer your question, if not, let me know. $\endgroup$ – arodrisa Sep 18 '14 at 7:28

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