Systematic tuning of optimal weighted-moving-average of yen-dollar market data

Takaaki Ohnishi, Takayuki Mizuno, Kazuyuki Aihara, Misako Takayasu and Hideki Takayasu
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Takaaki Ohnishi: The University of Tokyo
Takayuki Mizuno: Chuo University
Kazuyuki Aihara: The University of Tokyo
Misako Takayasu: Tokyo Institute of Technology
Hideki Takayasu: Sony Computer Science Laboratories Inc.

A chapter in Practical Fruits of Econophysics, 2006, pp 62-66 from Springer

Abstract: Abstract We introduce a weighted-moving-average analysis for the tick-by-tick data of yen-dollar exchange market: price, transaction interval and volatility. The weights are determined automatically for given data by applying the Yule-Walker formula for autoregressive model. Although the data are non-stationary the resulting moving average gives a quite nice property that the deviation around the moving-average becomes a white noise.

Keywords: White Noise; Autocorrelation Function; Autoregressive Model; Weight Decay; Tick Data (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-4-431-28915-9_10

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DOI: 10.1007/4-431-28915-1_10

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