MOVING AVERAGES AND PRICE DYNAMICS

R. Baviera, M. Pasquini (), J. Raboanary and M. Serva
Additional contact information
R. Baviera: Departement Finance & Economie, Groupe HEC, Rue de la Liberation 1, F-78351 Jouy-en-Josas, France
M. Pasquini: Istituto Nazionale di Fisica della Materia, I-67010 Coppito, L'Aquila, Italy
J. Raboanary: Institute Superieur Polytecnique de Madagascar, Lot G III 32 Bis, Soamandrariny, Antananarivo, Madagascar
M. Serva: Dipartimento di Matematica, Università dell'Aquila, I-67010 Coppito, L'Aquila, Italy

International Journal of Theoretical and Applied Finance (IJTAF), 2002, vol. 05, issue 06, 575-583

Abstract: We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. The future price is linearly influenced by the difference between the moving average and the current price, together with a noise component. Our model is tested against financial datasets, showing an extremely good agreement with them.

Keywords: Price dynamics; moving average; Nasdaq index; foreign exchange markets (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (1)

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DOI: 10.1142/S0219024902001560

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