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Abstract

This paper proposes a new and optimal moving average model that reduces the problems of alternative models. The random (noisy) nature of financial time series creates difficulties when modelling with any method. The most common linear model to deal with this issue of noise is the moving average. These filters come with the drawback of lag, a delay between the model output and the financial data. As more noise reduction is demanded from the models the lag increases. This lag is a hindrance in a market place where individuals are competing for timely and quality information. This paper derives an optimal moving average model which reduces the lag and increases the level of noise reduction. The proposed model was compared against four of the common moving averages and shown to be superior in both lag reduction and noise reduction.
Original languageEnglish
Title of host publicationProceedings of the 2012 International Joint Conference on Neural Networks (IJCNN)
Place of PublicationUnited States
PublisherIEEE, Institute of Electrical and Electronics Engineers
Pages1-8
Number of pages8
ISBN (Electronic)9781467314909
DOIs
Publication statusPublished - 2012
EventIEEE International Joint Conference on Neural Networks: IJCNN 2012 - Brisbane Convention Centre, Brisbane, Australia
Duration: 10 Jun 201215 Jun 2012
https://web.archive.org/web/20120510232940/http://www.ieee-wcci2012.org/ (Conference website)

Publication series

Name
ISSN (Print)2161-4393

Conference

ConferenceIEEE International Joint Conference on Neural Networks
CountryAustralia
CityBrisbane
Period10/06/1215/06/12
OtherThe 2012 IEEE World Congress on Computational Intelligence (IEEE WCCI 2012) is the largest technical event in the field of computational intelligence. It will host three conferences: the 2012 International Joint Conference on Neural Networks (IJCNN 2012), the 2012 IEEE International Conference on Fuzzy Systems (FUZZ-IEEE 2012), and the 2012 IEEE Congress on Evolutionary Computation (IEEE CEC 2012). IEEE WCCI 2012 will be held in Brisbane, a awe-inspiring city situated along the Brisbane River and the eastern coast line of Australia. The congress will provide a stimulating forum for scientists, engineers, educators, and students from all over the world to discuss and present their research findings on computational intelligence.
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