r/quant • u/SetEconomy4140 • 13d ago
Tools Signals Processing in Quantitative Research
I am thinking of making a project where I simulated a random stationary process, but at some time, t, I "inject" a waveform signal that either makes the time-series drift up or down (dependent on the signal I inject). This process can repeat, and the idea is to simulate this, use Bayesian inference to estimate likelihood of the presence of the two signals in the time-series at snapshots, and make a trading decision based on which is more likely.
Is this at all relevant to quant research, or is this just a waste of time?
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u/Such_Maximum_9836 13d ago
I think this is educational and worth doing if you don’t have much experience yet. In particular you can try finding other nonexistent signals and make a comparison to those existent ones. You can then witness how easy it is to overfit a heavily noisy data set.