The moving averages demystified

N Vandewalle, Marcel Ausloos and Ph Boveroux

Physica A: Statistical Mechanics and its Applications, 1999, vol. 269, issue 1, 170-176

Abstract: A common method in technical analysis is the construction of moving averages along time series of stock prices. We show that they present a practical interest for physicists, and raise new questions on fundamental ground. Indeed, self-affine signals characterized by a defined roughness exponent H can be investigated through moving averages. The density ρ of crossing points between two moving averages is shown to be a measure of long-range power-law correlations in a signal. Finally, we present a specific transform with which various structures in a signal, e.g. trends, cycles, noise, etc. can be investigated in a systematic way.

Keywords: Econophysics; Moving averages (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:269:y:1999:i:1:p:170-176

DOI: 10.1016/S0378-4371(99)00090-4

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