Re: Basic DSP Question

On Tue, 20 May 2008 07:40:05 -0800, glen herrmannsfeldt
<gah@xxxxxxxxxxxxxxxx> wrote:

Rune Allnor wrote:

(snip)

Well stock market data are discrete time, not continuous.
Even if there are huge amounts of transactions going on,
the number is finite. So stock market data ader discrete
in nature. No anti-alias filter required.

The price of a stock is a continuous function of time
with a discontiguous derivative. Assuming time is
a continuous variable (there are still some quantum
mechanics questions here), a stock price can change at
any time.

-- glen

I think this can easily get into a philosophical/semantic/quantum
argument. Stocks are "priced" only when trades are made, and the
"price" shown in between trades is only the price of the last trade
instant, via a zero-order hold. The next trade can/may/will set a new
price.

So Schraedinger is on the trading floor in some sense, in that you
won't know the price of the next trade until it happens, and what you
observe is only the price of the last trade. Forcing an observation
of the "price" (via a trade) may not tell you much about the price at
the next trade.

And then the market closes down completely for nights and weekends and
holidays. So it's a discrete-time system with irregularly spaced
samples (trades) and some big gaps in time.

The rest of the world, the events of which affect what people are
willing to pay for stock issues, runs on continuous time as near as we
can tell, though.

I'm not sure I'd agree that the price is continuous. I think I'm
more with Rune on this one.

Eric Jacobsen
Minister of Algorithms
Abineau Communications
http://www.ericjacobsen.org

Blog: http://www.dsprelated.com/blogs-1/hf/Eric_Jacobsen.php
.

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