Analysis of financial data series using fractional Fourier transform and multidimensional scaling

The goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indexes during the period 2000–2009. We analyze, under a regional criterium, ten main indexes at a daily time horizon. The methods and algorithms that have been explored for the description of dynamical phenomena become an effective background in the analysis of economical data. We start by applying the classical concepts of signal analysis, fractional Fourier transform, and methods of fractional calculus. In a second phase we adopt the multidimensional scaling approach. Stock market indexes are examples of complex interacting systems for which a huge amount of data exists. Therefore, these indexes, viewed from a different perspectives, lead to new classification patterns.

Applications of Fourier methods to the analysis of some stochastic processes

Dissertação de Doutoramento em Matemática: Processos Estocásticos

Application of Continuous Wavelet Transform to the Analysis of the Modulus of the Fractional Fourier Transform Bands for Resolving Two Component Mixture

In this paper, the fractional Fourier transform (FrFT) is applied to the spectral bands of two component mixture containing oxfendazole and oxyclozanide to provide the multicomponent quantitative prediction of the related substances. With this aim in mind, the modulus of FrFT spectral bands are processed by the continuous Mexican Hat family of wavelets, being denoted by MEXH-CWT-MOFrFT. Four modulus sets are obtained for the parameter a of the FrFT going from 0.6 up to 0.9 in order to compare their effects upon the spectral and quantitative resolutions. Four linear regression plots for each substance were obtained by measuring the MEXH-CWT-MOFrFT amplitudes in the application of the MEXH family to the modulus of the FrFT. This new combined powerful tool is validated by analyzing the artificial samples of the related drugs, and it is applied to the quality control of the commercial veterinary samples.

Fourier self-deconvolution in coherent anti-Stokes Raman scattering spectrum analysis

Coherent anti-Stokes Raman scattering (CARS) microscopy is rapidly developing into a unique microscopic tool in biophysics, biology and the material sciences. The nonlinear nature of CARS spectroscopy complicates the analysis of the received spectra. There were developed mathematical methods for signal processing and for calculations spectra. Fourier self-deconvolution is a special high pass FFT filter which synthetically narrows the effective trace bandwidth features. As Fourier self-deconvolution can effectively reduce the noise, which may be at a higher spatial frequency than the peaks, without losing peak resolution. The idea of the work is to experiment the possibility of using wavelet decomposition in spectroscopic for background and noise removal, and Fourier transformation for linenarrowing.

Critical analysis of autoregressive and fast Fourier transform markers of cardiovascular variability in rats and humans

The autonomic nervous system plays an important role in physiological and pathological conditions, and has been extensively evaluated by parametric and non-parametric spectral analysis. To compare the results obtained with fast Fourier transform (FFT) and the autoregressive (AR) method, we performed a comprehensive comparative study using data from humans and rats during pharmacological blockade (in rats), a postural test (in humans), and in the hypertensive state (in both humans and rats). Although postural hypotension in humans induced an increase in normalized low-frequency (LFnu) of systolic blood pressure, the increase in the ratio was detected only by AR. In rats, AR and FFT analysis did not agree for LFnu and high frequency (HFnu) under basal conditions and after vagal blockade. The increase in the LF/HF ratio of the pulse interval, induced by methylatropine, was detected only by FFT. In hypertensive patients, changes in LF and HF for systolic blood pressure were observed only by AR; FFT was able to detect the reduction in both blood pressure variance and total power. In hypertensive rats, AR presented different values of variance and total power for systolic blood pressure. Moreover, AR and FFT presented discordant results for LF, LFnu, HF, LF/HF ratio, and total power for pulse interval. We provide evidence for disagreement in 23% of the indices of blood pressure and heart rate variability in humans and 67% discordance in rats when these variables are evaluated by AR and FFT under physiological and pathological conditions. The overall disagreement between AR and FFT in this study was 43%.

Remote gas detection and quantitative analysis from infrared emission spectra obtained by Fourier transform infrared spectroscopy

Techniques for obtaining quantitative values of the temperatures and concentrations of remote hot gaseous effluents from their measured passive emission spectra have been examined in laboratory experiments. The high sensitivity of the spectrometer in the vicinity of the 2397 cm-1 band head region of CO2 has allowed the gas temperature to be calculated from the relative intensity of the observed rotational lines. The spatial distribution of the CO2 in a methane flame has been reconstructed tomographically using a matrix inversion technique. The spectrometer has been calibrated against a black body source at different temperatures and a self absorption correction has been applied to the data avoiding the need to measure the transmission directly. Reconstruction artifacts have been reduced by applying a smoothing routine to the inversion matrix.

An analysis of real time implementation of Fourier transform-based frequency recognition algorithms

Frequency recognition is an important task in many engineering fields such as audio signal processing and telecommunications engineering, for example in applications like Dual-Tone Multi-Frequency (DTMF) detection or the recognition of the carrier frequency of a Global Positioning, System (GPS) signal. This paper will present results of investigations on several common Fourier Transform-based frequency recognition algorithms implemented in real time on a Texas Instruments (TI) TMS320C6713 Digital Signal Processor (DSP) core. In addition, suitable metrics are going to be evaluated in order to ascertain which of these selected algorithms is appropriate for audio signal processing(1).

Systematic analysis of the Fourier transform spectrum of (CH3OH)-C-13 between 400 and 950 cm(-1)

We have investigated a high-resolution Fourier transform (FT) absorption spectrum of the (CH3OH)-C-13 isotopomer of methanol from 400 to 950 cm(-1) with the Ritz program. We present the assignments of 7160 transitions, 3021 of which belong to Asymmetry, and 4139 to E-symmetry. These transitions occur between states labeled by K quantum numbers up to 14, and by torsional quantum numbers n up to 4. The Ritz program evaluated the energies of the 4684 involved levels with an accuracy of the order of 10(-4) cm(-1). All of the assigned lines correspond to transitions involving torsionally excited levels within the ground small-amplitude vibrational state. (c) 2005 Elsevier B.V. All rights reserved.

RITZ ANALYSIS OF THE FOURIER SPECTRUM OF CH3OH BETWEEN 350 AND 950 CM(-1)

A new ''Ritz'' program has been used for revising and expanding the assignment of the Fourier transform infrared and far-infrared spectrum of CH3OH. This program evaluates the energy levels involved in the assigned transitions by the Rydberg-Ritz combination principle and can tackle such perturbations as Fermi-type resonances or Coriolis interactions. Up to now this program has evaluated the energies of 2768 levels belonging to A-type symmetry and 4133 levels belonging to E-type symmetry of CH3OH. Here we present the assignment of almost 9600 lines between 350 and 950 cm(-1). The Taylor expansion coefficients for evaluating the energies of the levels involved in the transitions are also given. All of the lines presented in this paper correspond to transitions involving torsionally excited levels within the ground vibrational state. (C) 1995 Academic Press, Inc.

Development and validation of the quantitative analysis of ampicillin sodium in powder for injection by Fourier-transform infrared spectroscopy (FT-IR)

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Fractal descriptors based on Fourier spectrum applied to texture analysis

This work proposes the development and study of a novel technique lot the generation of fractal descriptors used in texture analysis. The novel descriptors are obtained from a multiscale transform applied to the Fourier technique of fractal dimension calculus. The power spectrum of the Fourier transform of the image is plotted against the frequency in a log-log scale and a multiscale transform is applied to this curve. The obtained values are taken as the fractal descriptors of the image. The validation of the proposal is performed by the use of the descriptors for the classification of a dataset of texture images whose real classes are previously known. The classification precision is compared to other fractal descriptors known in the literature. The results confirm the efficiency of the proposed method. (C) 2012 Elsevier B.V. All rights reserved.

Quantitative analysis of morphological changes in yeast colonies growing on solid medium: the eccentricity and Fourier indices

The colony shape of four yeast species growing on agar medium wasmeasured for 116 days by image analysis. Initially, all the colonies are circular, with regular edges. The loss of circularity can be quantitatively estimated by the eccentricity index, Ei, calculated as the ratio between their orthogonal vertical and horizontal diameters. Ei can increase from 1 (complete circularity) to a maximum of 1.17–1.30, depending on the species. One colony inhibits its neighbour only when it has reached a threshold area. Then, Ei of the inhibited colony increases proportionally to the area of the inhibitory colony. The initial distance between colonies affects those threshold values but not the proportionality, Ei/area; this inhibition affects the shape but not the total surface of the colony. The appearance of irregularities in the edges is associated, in all the species, not with age but with nutrient exhaustion. The edge irregularity can be quantified by the Fourier index, Fi, calculated by the minimum number of Fourier coefficients that are needed to describe the colony contour with 99% fitness. An ad hoc function has been developed in Matlab v. 7.0 to automate the computation of the Fourier coefficients. In young colonies, Fi has a value between 2 (circumference) and 3 (ellipse). These values are maintained in mature colonies of Debaryomyces, but can reach values up to 14 in Saccharomyces.All the species studied showed the inhibition of growth in facing colony edges, but only three species showed edge irregularities associated with substrate exhaustion. Copyright © 2014 John Wiley & Sons, Ltd.