Introduction to Fast Fourier Transform inFinance

ArXiv ID: ssrn-559416 “View on arXiv”

Authors: Unknown

Abstract

The Fourier transform is an important tool in Financial Economics. It delivers real time pricing while allowing for a realistic structure of asset returns, taki

Keywords: Fourier transform, asset pricing, financial economics, time series analysis, real-time pricing, Financial Derivatives

Complexity vs Empirical Score

• Math Complexity: 8.0/10
• Empirical Rigor: 3.0/10
• Quadrant: Lab Rats
• Why: The paper involves advanced mathematical concepts like Fourier transforms, complex numbers, and convolution, but it is a conceptual pedagogical piece focusing on methodology rather than providing empirical data, backtests, or implementation details for real-world trading.

  flowchart TD
    A["Research Goal: Use Fourier Transform<br>for Real-Time Financial Pricing"] --> B["Key Methodology: Fast Fourier Transform<br>FFT Algorithm"]
    B --> C["Data Inputs: Asset Return Time Series<br>& Market Data"]
    C --> D["Computational Process: FFT of<br>Return Distributions to Price Derivatives"]
    D --> E["Key Findings: Efficient Real-Time Pricing<br>Model for Financial Derivatives"]