Systematic tuning of optimal weighted-moving-average of yen-dollar market data
T Ohnishi, T Mizuno, K Aihara, M Takayasu… - Practical Fruits of …, 2006 - Springer
Practical Fruits of Econophysics: Proceedings of the Third Nikkei Econophysics …, 2006•Springer
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.
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.
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.
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