Related papers: Exponential moving average versus moving exponenti…
The exponential moving average (EMA) is a commonly used statistic for providing stable estimates of stochastic quantities in deep learning optimization. Recently, EMA has seen considerable use in generative models, where it is computed with…
The ability to predict the behavior of a wireless channel in terms of the frame delivery ratio is quite valuable, and permits, e.g., to optimize the operating parameters of a wireless network at runtime, or to proactively react to the…
Exponential moving average (EMA) has recently gained significant popularity in training modern deep learning models, especially diffusion-based generative models. However, there have been few theoretical results explaining the effectiveness…
We examine two different techniques for parameter averaging in GAN training. Moving Average (MA) computes the time-average of parameters, whereas Exponential Moving Average (EMA) computes an exponentially discounted sum. Whilst MA is known…
The use of moving averages is pervasive in macroeconomic monitoring, particularly for tracking noisy series such as inflation. The choice of the look-back window is crucial. Too long of a moving average is not timely enough when faced with…
This paper develops a rigorous functional-analytic framework for the MACD (Moving Average Convergence Divergence) indicator, a classical tool in technical analysis. We show that MACD, commonly defined as the difference between two moving…
An exponentially weighted moving model (EWMM) for a vector time series fits a new data model each time period, based on an exponentially fading loss function on past observed data. The well known and widely used exponentially weighted…
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…
Classical technical analysis methods of stock evolution are recalled, i.e. the notion of moving averages and momentum indicators. The moving averages lead to define death and gold crosses, resistance and support lines. Momentum indicators…
In this paper, we investigate trading strategies based on exponential moving averages (ExpMAs) of an underlying risky asset. We study both logarithmic utility maximization and long-term growth rate maximization problems and find closed-form…
The possibility that price dynamics is affected by its distance from a moving average has been recently introduced as new statistical tool. The purpose is to identify the tendency of the price dynamics to be attractive or repulsive with…
What exactly do efficient sequence models gain over simple temporal averaging? We use exponential moving average (EMA) traces, the simplest recurrent context (no gating, no content-based retrieval), as a controlled probe to map the boundary…
The exponentially weighted moving average (EMWA) could be labeled as a competitive volatility estimator, where its main strength relies on computation simplicity, especially in a multi-asset scenario, due to dependency only on the decay…
Weight averaging of Stochastic Gradient Descent (SGD) iterates is a popular method for training deep learning models. While it is often used as part of complex training pipelines to improve generalization or serve as a `teacher' model,…
The Detrending Moving Average (DMA) algorithm has been widely used in its several variants for characterizing long-range correlations of random signals and sets (one-dimensional sequences or high-dimensional arrays) either over time or…
Many applications require that we learn the parameters of a model from data. EM is a method used to learn the parameters of probabilistic models for which the data for some of the variables in the models is either missing or hidden. There…
Averaging, or smoothing, is a fundamental approach to obtain stable, de-noised estimates from noisy observations. In certain scenarios, observations made along trajectories of random dynamical systems are of particular interest. One popular…
Several phenomena are available representing market activity: volumes, number of trades, durations between trades or quotes, volatility - however measured - all share the feature to be represented as positive valued time series. When…
We make the comparative study of scaling range properties for detrended fluctuation analysis (DFA), detrended moving average analysis (DMA) and recently proposed new technique called modified detrended moving average analysis (MDMA). Basic…
Exponential smoothers are a simple and memory efficient way to compute running averages of time series. Here we define and describe practical properties of exponential smoothers for signals observed at constant and variable intervals.