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Spectral Finance & Harmonic Signal Decomposition [#1020381]
Spectral Finance & Harmonic Signal Decomposition: Extracting Cycles, Frequencies, and Market Microstructure from Price Data by Helena K. Marwood, Hayden Van Der Post, Alice Schwartz
English | January 10, 2026 | ISBN: N/A | ASIN: B0GG5MKB16 | 463 pages | EPUB | 0.62 Mb
Reactive Publishing
Price is not only a stochastic process; it carries structure in the form of cycles, frequencies, resonances, and microstructural harmonics. Spectral methods offer a rigorous mathematical lens to decompose market data into energy, frequency, and time components, revealing patterns that traditional time-domain models cannot detect. These tools bridge quantitative finance with signal processing, harmonic analysis, and non-stationary time-frequency representations to extract tradeable structure from noisy environments.
This book presents a comprehensive spectral framework for quant finance, integrating Fourier analysis, wavelets, Hilbert-Huang transforms, empirical mode decomposition, multitaper spectral estimation, and time-frequency operators. Through systematic examples and Python implementations, readers learn how to identify cyclical components, uncover latent periodicities, detect volatility and liquidity regimes, quantify microstructure deformation, and convert spectral signatures into predictive systematic strategies.
Topics include spectral denoising, resonance extraction, spectral factor models, microstructure harmonic indicators, frequency-domain volatility forecasting, multiscale trend detection, and hybrid spectral-statistical systems for trading. The text links theoretical machinery to practical edge generation, from intraday microstructure signals to macro-cycle decomposition for global asset classes.
Key Topics Covered:
* Harmonic analysis and spectral viewpoints on financial time series
* Fourier methods for periodicity, seasonality, and energy spectra
* Wavelet and multiresolution decompositions for multi-horizon structure
* Hilbert-Huang and empirical mode decomposition for non-stationary data
* Multitaper and advanced spectral estimation techniques
* Frequency-domain indicators, microstructure features, and volatility extraction
* Spectral factor models and multi-scale systematic trading signals
* Turning spectral structure into systematic strategy design
* Full Python implementations for real datasets
Spectral Finance & Harmonic Signal Decomposition equips quants, data scientists, and systematic traders with rigorous spectral tools for modeling markets in the frequency domain. The result is an expanded modeling worldview, where markets are not only stochastic, but harmonic systems with extractable structure.
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