OPTIMUM FINITE IMPULSE RESPONSE (FIR) LOW-PASS FILTERING OF MARKET DATA

摘要

The goal of this contribution is to compare 9 cases of FIR (Finite Impulse Response) type filters, by using approximation theory based norms for the following output parameters: delay and correlation between input and output, and "smoothness" of the output derivative. It was found that the most commonly used rectangular shape of impulse response is in general not an optimum solution. Indications concerning the optimum shape of impulse response subject to the assumed criteria are shortly presented and the triangular shape of impulse response is recommended.