On a Moving Average with Internal Degrees of Freedom

Linda Boudjemila, Alexander Bobyl, Vadim Davydov and Vladislav Malyshkin

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Abstract: A new type of moving average is developed. Whereas a regular moving average (e.g. of price) has a built-in internal time scale (time-window, exponential weight, etc.), the moving average developed in this paper has the weight as the product of a polynomial by window factor. The polynomial is the square of a wavefunction obtained from an eigenproblem corresponding to other observable (e.g. execution flow I=dV/dt , the number of shares traded per unit time). This allows to obtain an immediate "switch" without lagging typical for regular moving average.

Date: 2022-11
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Published in 2022 International Conference on Electrical Engineering and Photonics (EExPolytech)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2211.14075

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