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Fourier Analysis of S&P 500 Using Trigonometric Regression

Posted: Thu Apr 12, 2012 5:15 pm
by skiehawk11
This is my first analysis using spectral analysis techniques. I am posting it for informational use only.

Here is the chart:
Image

Method:
Excel columns:
time = t= 1+ tstart
e= 2*PI()*t/365
cos(e)
sin(e)
cos(2e)
sin(2e)
Regression (Price Pattern) = Intercept+X Variable 1*COS(2*PI()*t/365)+X Variable 2*COS(2*PI()*t/365)+X Variable 3*COS(4*PI()*t/365)+X Variable 4*COS(4*PI()*t/365)

Used regression analysis to obtain coefficients:
Coefficients
Intercept 406.5036175
X Variable 1 0.603012855
X Variable 2 2.426697184
X Variable 3 0.664379511
X Variable 4 -1.801693773

Re: Fourier Analysis of S&P 500 Using Trigonometric Regressi

Posted: Thu Apr 12, 2012 9:51 pm
by twingum
Ski - would you mind explaining what it means, what are variables 1-4, and how would you apply?

Re: Fourier Analysis of S&P 500 Using Trigonometric Regressi

Posted: Fri Apr 13, 2012 5:19 am
by Jahbulon
Yea, I need the kindergarten explanation Skie. You gonna make me sprain my brain.