Digital Signal Processing – Defining & Using the Difference Equation
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Hi GraHal,
I hope you understand that I can’t reveal my algorithm because it took me 20 years to come to this point but you are in the right direction, it has similarities to the theory of wave frequencies and filters.
Black and Scholes also used a difference equation for option pricing (only continue instead of discreet).
I can tell you that ALL price action is discreet, lineair and time invariant. Such a system is called a LTD -system.
The general difference equation for a LTD -system is:
![{\displaystyle y[n]=\sum _{k=0}^{N}a_{k}\,x[n-k]+\sum _{i=1}^{M}b_{i}\,y[n-i]}](data:image/svg+xml,%3Csvg%20xmlns='http://www.w3.org/2000/svg'%20viewBox='0%200%200%200'%3E%3C/svg%3E)
It is not that hard, if i can do it you can do it.
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Hi GraHal,
Have you any idea how PRT works, what happens when you (for example) use a simple moving average and how it is calculated by PRT?
This is how PRT calculate a SMA:
N = number of samples (or time period)
Xi = Close[n]
Mu or y[n] is the variable
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Hi GraHal,
this might be an interesting read
https://eng.libretexts.org/Bookshelves/Electrical_Engineering/Signal_Processing_and_Modeling/Book%3A_Signals_and_Systems_(Baraniuk_et_al.)/12%3A_Z-Transform_and_Discrete_Time_System_Design/12.08%3A_Difference_Equations
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![{\displaystyle y[n]=\sum _{k=0}^{N}a_{k}\,x[n-k]+\sum _{i=1}^{M}b_{i}\,y[n-i]}](https://wikimedia.org/api/rest_v1/media/math/render/svg/65e91d48665524f120acfb6bbe0243e42f9b2a15)
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