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On a Moving Average with Internal Degrees of Freedom

Author

Listed:
  • Linda Boudjemila
  • Alexander Bobyl
  • Vadim Davydov
  • Vladislav Malyshkin

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.

Suggested Citation

  • Linda Boudjemila & Alexander Bobyl & Vadim Davydov & Vladislav Malyshkin, 2022. "On a Moving Average with Internal Degrees of Freedom," Papers 2211.14075, arXiv.org.
    • Handle: RePEc:arx:papers:2211.14075
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    References listed on IDEAS

    as
    1. Tran, Ky Quan, 2021. "Exponential contraction of switching jump diffusions with a hidden Markov chain," Statistics & Probability Letters, Elsevier, vol. 178(C).
    2. Vladislav Gennadievich Malyshkin & Mikhail Gennadievich Belov, 2022. "Market Directional Information Derived From (Time, Execution Price, Shares Traded) Sequence of Transactions. On The Impact From The Future," Papers 2210.04223, arXiv.org.
    3. Savas Dayanik & Kazutoshi Yamazaki, 2022. "Detection and identification of changes of hidden Markov chains: asymptotic theory," Statistical Inference for Stochastic Processes, Springer, vol. 25(2), pages 261-301, July.
    4. Gao-Feng Gu & Wei-Xing Zhou, 2010. "Detrending moving average algorithm for multifractals," Papers 1005.0877, arXiv.org, revised Jun 2010.
    5. Vladislav Gennadievich Malyshkin, 2019. "Market Dynamics: On Directional Information Derived From (Time, Execution Price, Shares Traded) Transaction Sequences," Papers 1903.11530, arXiv.org, revised May 2019.
    Full references (including those not matched with items on IDEAS)

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