Document Type

Conference Paper

Rights

Available under a Creative Commons Attribution Non-Commercial Share Alike 4.0 International Licence

Publication Details

Irish Signals and Systems Conference, 2012 (Submitted), NUI Maynooth, 2012

Abstract

We consider a Green's function solution to the Classical Kolmogorov- Feller Equation which requires an iterative approach for which a sufficient convergence condition is derived. The solution obtained is applied to the simulation of signals whose spectral properties are determined by a Characteristic Function of the form j k j��q; q > 0 where k is the spatial frequency and q is the 'Fourier Dimension'. Using example macroeconomic financial time series (FTSE Close-of-Day and the Dow Jones Industrial Average), correlations are observed to exist between q and long term trends in the series using a standard moving window process. This result provides the potential for developing an accurate short term forecasting strategy.

DOI

10.1049/ic.2012.0168

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