Thursday, August 26, 2010

What Fourier says about S&P500?

Based on the Fourier-based extrapolation of the current trend of S&P500, the stock market will raise or fall :)

I've implemented extrapolation of trend based on Fourier analysis, and - as you can see below - depending on the range of data used for calculations, S&P500 will raise or fall:

Fig 1. Fourier extrapolation of S&P500 based on 100 daily quotations

Fig. 2 Fourier extrapolation of S&P500 based on 400 daily quotations

In both cases, Quinn-Fernandes algorithm for frequency estimation was used and 20 harmonics matched.

(the code is not yet optimized for R)

1 comment:

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