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 |
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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 | |
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 |
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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 |