Smoothing Security Prices

Adrian Letchford; Junbin Gao; Lihong Zheng

doi:10.1109/ICPR.2014.188

Smoothing Security Prices

Adrian Letchford, Junbin Gao, Lihong Zheng

Research output: Book chapter/Published conference paper › Conference paper › peer-review

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 language	English
Title of host publication	ICPR 2014: 22nd International Conference on Pattern Recognition
Place of Publication	United States
Publisher	IEEE, Institute of Electrical and Electronics Engineers
Pages	1037-1042
Number of pages	6
ISBN (Electronic)	9781479952083
DOIs	https://doi.org/10.1109/ICPR.2014.188
Publication status	Published - 2014
Event	2014 22nd International Conference on Pattern Recognition - Stockholm Waterfront, Stockholm, Sweden Duration: 24 Aug 2014 → 28 Aug 2014 Conference number: 22 http://www.iapr.org/archives/icpr2014/

Conference

Conference	2014 22nd International Conference on Pattern Recognition
Country/Territory	Sweden
City	Stockholm
Period	24/08/14 → 28/08/14
Other	Welcome 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	http://www.iapr.org/archives/icpr2014/

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10.1109/ICPR.2014.188

Cite this

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title = "Smoothing Security Prices",

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.",

keywords = "Data Preprocessing, Moving Averages, Signal Processing, Stock Market, Technical Analysis, Time Series Filtering",

author = "Adrian Letchford and Junbin Gao and Lihong Zheng",

note = "Imported on 03 May 2017 - DigiTool details were: publisher = United States: IEEE, 2014. Event dates (773o) = August 24-28, 2014; Parent title (773t) = 22nd International Conference on Pattern Recognition.; 2014 22nd International Conference on Pattern Recognition ; Conference date: 24-08-2014 Through 28-08-2014",

year = "2014",

doi = "10.1109/ICPR.2014.188",

language = "English",

pages = "1037--1042",

booktitle = "ICPR 2014: 22nd International Conference on Pattern Recognition",

publisher = "IEEE, Institute of Electrical and Electronics Engineers",

address = "United States",

url = "http://www.iapr.org/archives/icpr2014/",

}

TY - GEN

T1 - Smoothing Security Prices

AU - Letchford, Adrian

AU - Gao, Junbin

AU - Zheng, Lihong

N1 - Conference code: 22

PY - 2014

Y1 - 2014

N2 - 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.

AB - 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.

KW - Data Preprocessing

KW - Moving Averages

KW - Signal Processing

KW - Stock Market

KW - Technical Analysis

KW - Time Series Filtering

U2 - 10.1109/ICPR.2014.188

DO - 10.1109/ICPR.2014.188

M3 - Conference paper

SP - 1037

EP - 1042

BT - ICPR 2014: 22nd International Conference on Pattern Recognition

PB - IEEE, Institute of Electrical and Electronics Engineers

CY - United States

T2 - 2014 22nd International Conference on Pattern Recognition

Y2 - 24 August 2014 through 28 August 2014

ER -

Smoothing Security Prices

Abstract

Conference

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