1 research outputs found
On a Moving Average with Internal Degrees of Freedom
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.Comment: arXiv admin note: substantial text overlap with arXiv:2210.0422