%0 Journal Article %1 vandewalle99 %A Vandewalle, N %A Ausloos, M %A Boveroux, Ph %D 1999 %J Physica A: Statistical Mechanics and its Applications %K finance moving.average stock %N 1 %P 170--176 %R 10.1016/S0378-4371(99)00090-4 %T The Moving Averages Demystified %V 269 %X A common method in technical analysis is the construction of moving averages along time series of stock prices. We show that they present a practical interest for physicists, and raise new questions on fundamental ground. Indeed, self-affine signals characterized by a defined roughness exponent H can be investigated through moving averages. The density ρ of crossing points between two moving averages is shown to be a measure of long-range power-law correlations in a signal. Finally, we present a specific transform with which various structures in a signal, e.g. trends, cycles, noise, etc. can be investigated in a systematic way.

@article{vandewalle99, abstract = {A common method in technical analysis is the construction of moving averages along time series of stock prices. We show that they present a practical interest for physicists, and raise new questions on fundamental ground. Indeed, self-affine signals characterized by a defined roughness exponent H can be investigated through moving averages. The density ρ of crossing points between two moving averages is shown to be a measure of long-range power-law correlations in a signal. Finally, we present a specific transform with which various structures in a signal, e.g. trends, cycles, noise, etc. can be investigated in a systematic way. }, added-at = {2016-06-10T09:30:35.000+0200}, author = {Vandewalle, N and Ausloos, M and Boveroux, Ph}, biburl = {https://www.bibsonomy.org/bibtex/2382c9705f70ea84c1159f40b236ac07d/ytyoun}, doi = {10.1016/S0378-4371(99)00090-4}, interhash = {ec7a8ebd171d465a25e1f4e343e92cbf}, intrahash = {382c9705f70ea84c1159f40b236ac07d}, issn = {0378-4371}, journal = {Physica A: Statistical Mechanics and its Applications }, keywords = {finance moving.average stock}, number = 1, pages = {170--176}, timestamp = {2016-08-20T11:04:13.000+0200}, title = {The Moving Averages Demystified }, volume = 269, year = 1999 }