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At 05:44 PM 8/15/2004, Alex Matulich wrote:
>I have completed compiling the recipes and test results for
>Butterworth, Bessel, and Critically-Damped filters, both low-pass
>and high-pass.
Very impressive work!
I will do some testing of the filters when I get some time.
One comment:
I have found that for trading applications, the time domain response is much
more important than the frequency response (they are related, obviously). So
I usually do most of my filter design work in the time domain.
Most of the classical analog filter work was done by communications
engineers trying to filter information signals (usually band-limited) from
noise. As a result, they mostly worked in the frequency domain. These
resulted in the Butterworth, Bessel, Chebyshev and Elliptic-Function filters.
It might be interesting to try and convert some of the classical analog
time-domain filters to digital filters as well. Many of these were derived
for thing like Radar where pulse-integrity was the objective. I suspect
this has been done but am not aware of it.
Wavelet filters also look interesting for this purpose but I have not had
time to study them.
Thanks again.
Bob Fulks
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