On a Moving Average with Internal Degrees of Freedom
Computational Finance
2022-11-28 v1 Numerical Analysis
Numerical Analysis
Trading and Market Microstructure
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.
Keywords
Cite
@article{arxiv.2211.14075,
title = {On a Moving Average with Internal Degrees of Freedom},
author = {Linda Boudjemila and Alexander Bobyl and Vadim Davydov and Vladislav Malyshkin},
journal= {arXiv preprint arXiv:2211.14075},
year = {2022}
}
Comments
arXiv admin note: substantial text overlap with arXiv:2210.04223