Suppose I have a continuous signal for a futures in HFT context. The signal is noisy and continuous. I have tried using moving averages of the signal to make sense of it and to be able to use it, but have not been able to come up with anything worthwhile.

My question is 2 fold:

1.How do I reduce noise in the signal.

2.Is there any merit in converting the continuous signal into discrete and then using it for predictive analysis?

  • $\begingroup$ 1. Have you considered a Kalman filter? $\endgroup$ – Ian Ash Feb 8 at 23:12

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