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Article
Spectral analysis informs the proper frequency in the sampling of financial time series data
Physica A: Statistical Mechanics and its Applications (2011)
  • Cleiton G Taufemback
  • Sergio da Silva
Abstract

Applied econometricians tend to show a long neglect for the proper frequency to be considered while sampling the time series data. The present study shows how spectral analysis can be usefully employed to fix this problem. The case is illustrated with ultra-high-frequency data and daily prices of four selected stocks listed on the Sao Paulo stock exchange.

Keywords
  • Spectral analysis; Aliasing; Applied econometrics; Econophysics
Publication Date
2011
Citation Information
Cleiton G Taufemback and Sergio da Silva. "Spectral analysis informs the proper frequency in the sampling of financial time series data" Physica A: Statistical Mechanics and its Applications Vol. 390 Iss. 11 (2011)
Available at: http://works.bepress.com/cgtaufemback/2/