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Machine Learning for Finance
book

Machine Learning for Finance

by James Le, Jannes Klaas
May 2019
Intermediate to advanced content levelIntermediate to advanced
456 pages
11h 38m
English
Packt Publishing
Content preview from Machine Learning for Finance

Fast Fourier transformations

Another interesting statistic we often want to compute about time series is the Fourier transformation (FT). Without going into the math, a Fourier transformation will show us the amount of oscillation within a particular frequency in a function.

You can imagine this like the tuner on an old FM radio. As you turn the tuner, you search through different frequencies. Every once in a while, you find a frequency that gives you a clear signal of a particular radio station. A Fourier transformation basically scans through the entire frequency spectrum and records at what frequencies there is a strong signal. In terms of a time series, this is useful when trying to find periodic patterns in the data.

Imagine that we found out ...

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Publisher Resources

ISBN: 9781789136364Supplemental Content