{"title":"A new measure of risk using Fourier analysis","authors":"Michael Grabinski, Galiya Klinkova","doi":"arxiv-2408.10279","DOIUrl":null,"url":null,"abstract":"We use Fourier analysis to access risk in financial products. With it we\nanalyze price changes of e.g. stocks. Via Fourier analysis we scrutinize\nquantitatively whether the frequency of change is higher than a change in\n(conserved) company value would allow. If it is the case, it would be a clear\nindicator of speculation and with it risk. The entire methods or better its\napplication is fairly new. However, there were severe flaws in previous\nattempts; making the results (not the method) doubtful. We corrected all these\nmistakes by e.g. using Fourier transformation instead of discrete Fourier\nanalysis. Our analysis is reliable in the entire frequency band, even for\nfre-quency of 1/1d or higher if the prices are noted accordingly. For the\nstocks scrutinized we found that the price of stocks changes disproportionally\nwithin one week which clearly indicates spec-ulation. It would be an\ninteresting extension to apply the method to crypto currencies as these\ncurrencies have no conserved value which makes normal considerations of\nvolatility difficult.","PeriodicalId":501139,"journal":{"name":"arXiv - QuantFin - Statistical Finance","volume":"7 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Statistical Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2408.10279","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
We use Fourier analysis to access risk in financial products. With it we
analyze price changes of e.g. stocks. Via Fourier analysis we scrutinize
quantitatively whether the frequency of change is higher than a change in
(conserved) company value would allow. If it is the case, it would be a clear
indicator of speculation and with it risk. The entire methods or better its
application is fairly new. However, there were severe flaws in previous
attempts; making the results (not the method) doubtful. We corrected all these
mistakes by e.g. using Fourier transformation instead of discrete Fourier
analysis. Our analysis is reliable in the entire frequency band, even for
fre-quency of 1/1d or higher if the prices are noted accordingly. For the
stocks scrutinized we found that the price of stocks changes disproportionally
within one week which clearly indicates spec-ulation. It would be an
interesting extension to apply the method to crypto currencies as these
currencies have no conserved value which makes normal considerations of
volatility difficult.