منابع مشابه
Moving Averages
More generally, weighted averages may also be used. Moving averages are also called running means or rolling averages. They are a special case of “filtering”, which is a general process that takes one time series and transforms it into another time series. The term “moving average” is used to describe this procedure because each average is computed by dropping the oldest observation and includi...
متن کاملParallel Implementation of Moving Averages and Stock Market Prediction
In recent years, graphics processing units have made parallel processing affordable with the price of personal desktop computers. This report investigates the computational aspects of calculating simple moving average and exponential moving average operations, two of the most popular financial indicators. In this report, we also investigate the usage of GPU to run artificial neural network as a...
متن کاملBrownian Moving Averages
1.1. Overview. It is well known (see Soner, Shreve and Cvitanić [8], Levental and Skorokhod [6], Cherny [2]) that in the Black–Scholes–Merton model with proportional transaction costs the superreplication price of a European call option is equal to its trivial upper bound. The same is true for any European type contingent claim in this model (see Cvitanić, Pham and Touzi [3]). In the recent pap...
متن کاملGaussian Moving Averages and Semimartingales
In the present paper we study moving averages (also known as stochastic convolutions) driven by a Wiener process and with a deterministic kernel. Necessary and sufficient conditions on the kernel are provided for the moving average to be a semimartingale in its natural filtration. Our results are constructive meaning that they provide a simple method to obtain kernels for which the moving avera...
متن کاملLévy Moving Averages and Spatial Statistics
in collaboration with Nicky Best and Katja Ickstadt 1 ' & $ % Moving Averages One common and flexible way of constructing stationary time series (discrete-time stochastic processes) is to begin with an i.i.d. X i ≡ j b j ζ i−j where j typically runs from 0 to some finite q ∈ N (or occasionally from 0 to ∞ or even from −∞ to ∞). It is straightforward to compute the mean and covariance of X i and...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2018
ISSN: 1556-5068
DOI: 10.2139/ssrn.3180614