Loading web-font TeX/Math/Italic
On a Moving Average with Internal Degrees of Freedom | IEEE Conference Publication | IEEE Xplore
Scheduled Maintenance: On Monday, 27 January, the IEEE Xplore Author Profile management portal will undergo scheduled maintenance from 9:00-11:00 AM ET (1400-1600 UTC). During this time, access to the portal will be unavailable. We apologize for any inconvenience.

On a Moving Average with Internal Degrees of Freedom


Abstract:

A new type of moving average is developed. Whereas a regular moving average (e.g. of price) has a built-in internal time scale (time-window, exponential weight, etc.), th...Show More

Abstract:

A new type of moving average is developed. Whereas a regular moving average (e.g. of price) has a built-in internal time scale (time-window, exponential weight, etc.), the moving average developed in this paper has the weight as the product of a polynomial by window factor. The polynomial is the square of a wavefunction obtained from an eigenproblem corresponding to other observable (e.g. execution flow I=dV/dt, the number of shares traded per unit time). This allows to obtain an immediate “switch” without lagging typical for regular moving average.
Date of Conference: 20-21 October 2022
Date Added to IEEE Xplore: 24 November 2022
ISBN Information:

ISSN Information:

Conference Location: St. Petersburg, Russian Federation

References

References is not available for this document.