Financial Signal Processing R 06942050 Outline Abstract Introduction

Financial Signal Processing R 06942050 電信所 許銘宸

Outline Abstract Introduction I. The relevance of signal processing in finance --A. The Fourier Transform --B. Noise --C. Filtering --D. Fast Algorithm II. Financial Singal Processing --A. Markov Chain --B. Hidden Markov Model Conclusion Reference

技術分析 n K線 n 均線 n KD n MACD n RSI

MACD EMA(N)=2/(N+1) * (C-EMA’)+EMA’ EX: EMA(12)=0. 1538 C+0. 8642 EMA’ DIF=EMA(12)-EMA(26) MACD=EMA(DIF, 9)

RSI (3+2+2+2)/6 = 1. 5 (4+1)/6=0. 83 RSI = 漲/ (漲+跌) *100

Now we talk about “ The relevance of signal processing in finance The Fourier Transform Noise Filtering Fast Algorithm ”

Fourier Transform

Noise

Similarity 台灣加權指數

Filtering

Filtering

Fast Algorithm Overlap add Overlap save

Now we talk about “ Financial Signal Processing application Markov Chain Hidden Markov Model (HMM) ”

Markov Chain Example P=0. 25 P=0. 375 P=0. 625 P=0. 50 P=0. 375 P=0. 25 P=0. 125 P=0. 375 P=0. 125

Hidden Markov Chain Example 初始狀態: Health: 0. 6 Fever: 0. 4 我們可能得到這麼一串結果：Normal Cold Dizzy 這串結果叫做可見狀態鏈。 隱含狀態鏈有可能是： Health Fever

Organization structure Signal Processing Markov chain Forward Hidden Markov Viterbi Forward-Backward

Reference [1] Wikipedia, site: en. wikipedia. org/wiki/ [2]Wikipedia, site: https: //zh. wikipedia. org/wiki/%E 7%BB%B 4%E 7%89 %B 9%E 6%AF%94%E 7%AE%97%E 6%B 3%95 [3] https: //read 01. com/zh-tw/e 0 d. Qm 0. html [4] fsp lab, http: //www. fsplab. com/ [5] Roland Priemer, Introductory Signal Processing, World Scientific. 1991 [6] "Aims and scope". IEEE Transactions on Signal Processing (IEEE). [7] SHITOSHNA NEPAL, Signal Processing in Finance, site: sites. tufts. edu/2015 [8] https: //www. zhihu. com/question/20962240

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