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