Document Type

Conference Paper


This item is available under a Creative Commons License for non-commercial use only

Publication Details

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


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.