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Seasonality with Fourier Transform

June 2021

DOI:10.13140/RG.2.2.14153.06240

Languages: R

Authors:

Kaloyan Petkov

ABIR Analytic

Quick and easy way to spot seasonality patterns in stock returns using Fourier Transform algorithm in R/RStudio

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Seasonality with Fourier Trans

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This study examines call and put option returns from 1983 to 1985 for the presence of a January seasonal effect, a monthly effect, and a day-of-the-week effect. Results indicate the presence of seasonality in call returns, with returns significantly higher in early January and significantly lower on Mondays. Put returns generally exhibit less seasonality, although out-of-the-money put options are ... [Show full abstract] significantly lower in January and in-the-money put options are significantly lower in early January. These results are generally consistent with stock return patterns. Copyright 1989 by MIT Press.

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Last Updated: 05 Jul 2022

Seasonality with Fourier Transform

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