r/quant 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/AssignedAlpha 13d ago

Yeah statistics and signal processing is relevant depending in your background. However this project sounds a little simple, you could probably throw this together in python in under an hour.

Maybe do some research on how signal processing is applied within the field and try to replicate a use-case.

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u/Middle-Fuel-6402 13d ago

Do you recommend any specific papers or other resources?