MOVING AVERAGES AND PRICE DYNAMICS-Reference-Cited by-同舟云学术

MOVING AVERAGES AND PRICE DYNAMICS

Published:2002-09 Issue:06 Volume:05 Page:575-583
ISSN:0219-0249
Container-title:International Journal of Theoretical and Applied Finance
language:en
Short-container-title:Int. J. Theor. Appl. Finan.

Author:

BAVIERA R.¹,PASQUINI M.²,RABOANARY J.³,SERVA M.⁴

Affiliation:

1. Departement Finance & Economie, Groupe HEC, Rue de la Liberation 1, F-78351 Jouy-en-Josas, France

2. Istituto Nazionale di Fisica della Materia, I-67010 Coppito, L'Aquila, Italy

3. Institute Superieur Polytecnique de Madagascar, Lot G III 32 Bis, Soamandrariny, Antananarivo, Madagascar

4. Dipartimento di Matematica, Università dell'Aquila, I-67010 Coppito, L'Aquila, Italy

Abstract

We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. The future price is linearly influenced by the difference between the moving average and the current price, together with a noise component. Our model is tested against financial datasets, showing an extremely good agreement with them.

Publisher

World Scientific Pub Co Pte Lt

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219024902001560

Reference12 articles.

1. Tests of technical trading strategies in the emerging equity markets of Latin America and Asia

2. Random Walks and Market Efficiency Tests of Latin American Emerging Equity Markets: A Revisit

3. Some properties of a simple moving average when applied to forecasting a time series

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