Smoothing Security Prices

Adrian Letchford, Junbin Gao, Lihong Zheng

Research output: Book chapter/Published conference paperConference paper

Abstract

Asset prices fluctuate up and down chaotically.Traders, investors and fund managers comb the chaos forexploitable patterns with methods such as moving averages fromthe realm of technical analysis. In this paper we focus on linearmoving averages which aim to smooth asset prices removingfluctuations. First, we will develop a method to measure thesmoothness for a linear filter. We will also discuss how to measureestimation lag. We will develop a new linear filter and show that,for short to medium time frames, it is smoother than competing filters.
Original languageEnglish
Title of host publicationICPR 2014: 22nd International Conference on Pattern Recognition
Place of PublicationUnited States
PublisherIEEE, Institute of Electrical and Electronics Engineers
Pages1037-1042
Number of pages6
ISBN (Electronic)9781479952083
DOIs
Publication statusPublished - 2014
EventICPR 2014: International Conference on Pattern Recognition - Stockholm Waterfront, Stockholm, Sweden
Duration: 24 Aug 201428 Aug 2014
http://www.iapr.org/archives/icpr2014/

Conference

ConferenceICPR 2014
CountrySweden
CityStockholm
Period24/08/1428/08/14
OtherWelcome to the 22nd International Conference on Pattern Recognition in Stockholm, August 2014, hosted by the Swedish Society for Automated Image Analysis (SSBA). ICPR 2014 will be an international forum for discussions on recent advances in the fields of Pattern Recognition; Machine Learning and Computer Vision; and on applications of these technologies in various fields.
Internet address

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