Help Request from Someone Who Uses Fourier Transformations. Why is my Synthetic Data Positively Biased?

Basically, I'm using FFT to get magnitude/frequency values and then taking random draws between -pi and pi to create a synthetic dataset. I can attach code but I'm curious if anyone has seen this before. It's particularly bad for AMD.




I'm using log returns in the FFT and then using the previous close times the cumulative product of the exponential of the log returns. I use the same process with monte carlo and have not obtained results with anywhere near this level of bias.

Any help is appreciated!

Submitted October 31, 2020 at 05:37PM by boolean_10

Leave a Reply

Fill in your details below or click an icon to log in: Logo

You are commenting using your account. Log Out /  Change )

Google photo

You are commenting using your Google account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s