Determination of the Best Simple Moving Average By Stochastic Processes
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Date
2017
Authors
İlalan, Deniz
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Abstract
In this study, we consider one of the most popular technical indicators and try to determine the best fitting simple moving average to a given data. Here we utilize from a general mean reverting stochastic process where the mean is time dependent. We propose an identification algorithm which mainly concentrates
on the normality of the residual terms after the data is demeaned from simple moving average and also provide evidence that our algorithm works quite well for determination of the “best” simple moving average.
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Keywords
Stock Returns, Simple Moving Average, Mean Reverting Stochastic Processes, Normality Test
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Citation
İlalan, Deniz. (2017). "Determination of the Best Simple Moving Average By Stochastic Processes", Finansal Araştırmalar ve Çalışmalar Dergisi, Vol.9, No.16, pp.59-67.
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Source
Finansal Araştırmalar ve Çalışmalar Dergisi
Volume
9
Issue
16
Start Page
59
End Page
67