Search results for "Moving average"
showing 10 items of 41 documents
Monitoring Water Surface and Level of a Reservoir Using Different Remote Sensing Approaches and Comparison with Dam Displacements Evaluated via GNSS
2018
Remote sensing allowed monitoring the reservoir water level by estimating its surface extension. Surface extension has been estimated using different approaches, employing both optical (Landsat 5 TM, Landsat 7 ETM+ SLC-Off, Landsat 8 OLI-TIRS and ASTER images) and Synthetic Aperture Radar (SAR) images (Cosmo SkyMed and TerraSAR-X). Images were characterized by different acquisition modes, geometric and spectral resolutions, allowing the evaluation of alternative and/or complementary techniques. For each kind of image, two techniques have been tested: The first based on an unsupervised classification and suitable to automate the process, the second based on visual matching with contour lines…
Trading in Other Financial Markets
2017
This chapter tests the profitability of various moving average trading rules in different financial markets: stocks, bonds, currencies, and commodities. The results of these tests allow us to better understand the properties of the moving average trading strategies and find out which trading rules are profitable in which markets. The chapter concludes with a few practical recommendations for traders testing the profitability of moving average trading rules. The analysis presented in this chapter also suggests a hypothesis about simultaneous existence, in the same financial market, of several trends with different durations.
Technical Trading Rules
2017
This chapter reviews the most common trend-following rules that are based on moving averages of prices. It also discusses the principles behind the generation of trading signals in these rules. This chapter also illustrates the limitations of these rules and argues that the moving average trading rules are advantageous only when the trend is strong and long-lasting.
Trading the Standard and Poor’s Composite Index
2017
This chapter utilizes the longest historical sample of data on the SP whether the choice of moving average influences the performance of trading rules; how accurately the trading rules identify the bullish and bearish stock market trends; whether there is any advantage in trading daily rather than monthly; and how persistent is the outperformance delivered by the moving average trading rules. The results of this study allow us to revisit the myths regarding the superior performance of the moving average trading rules in this well-known stock market and fully understand their advantages and disadvantages.
Trend Following with Momentum Versus Moving Average: A Tale of Differences
2018
Despite the ever-growing interest in trend following and a series of publications in academic journals, there is still a great shortage of theoretical results on the properties of trend following rules. Our paper fills this gap by comparing and contrasting the two most popular trend following rules, the Momentum (MOM) and Moving Average (MA) rules, from a theoretical perspective. Our approach is based on the return-based formulation of trading rules and modelling the price trends by an autoregressive return process. We provide theoretical results on the similarity between various trend following rules and the forecast accuracy of trading rules. Our results show that the similarity between t…
Timing the US Stock Market Using Moving Averages and Momentum Rules: An Extensive Study
2017
Master's thesis Business Administration BE501 - University of Agder 2017 In this thesis we investigate the performance of moving average and momentum strategies by simulating returns, both in-sample and out-of-sample, while simultaneously taking into account important market frictions. We do so for two stock indices and four stock portfolios, at daily and monthly frequency, in the period from 1928 to 2015. This is carried out in order to examine if the active strategies outperform the passive benchmark on a risk-adjusted basis, and to see if the trading rules pro table when tested in-sample also are pro table out-of-sample. In addition, and for the rst time, we examine the relevance of data…
Drivers of Competitiveness in European High-Tech Industries
2019
Our paper builds on the importance of high-tech manufacturing and knowledge-intensive services as significant competitiveness and economic growth drivers in the European Union and offers a fresh approach of the study on the competitiveness of secondary and tertiary high-tech industries across EU member states. Our analysis covers the 2008–2015 period and includes twelve old and new EU members. We opt for a balanced panel data approach in OLS and ARIMA frameworks to investigate the competitiveness of high-technology industries in the EU with the aim of uncovering the nature of the main explanatory factors behind their performance. Our results show that the number of persons employed and the …
Assessing the Beneficial Effects of Economic Growth: The Harmonic Growth Index
2011
In this paper we introduce the multidimensional notion of harmonic growth as a situation of diffused well-being associated to an increase of per capita GDP. We say that a country experienced a harmonic growth if during the observed period all the key indicators, proxies of the endogenous and exogenous forces driving population well-being, show a significantly common pattern with the income dynamics. The notion is operationalized via an index of time series harmony which follows the functional data analysis approach. This Harmonic Growth Index (HGI) is based on comparisons between the coefficients from cubic B-splines interpolation. Such indices are then synthesized in order to provide the g…
Memory‐type control charts for censored reliability data
2023
Control charts are commonly used to monitor a process to detect undesirable changes. The main goal of this work is to propose exponentially weighted moving average (EWMA) and cumulative sum (CUSUM) control charts to track a process by utilizing type-I censored generalized exponential (GE) distributed data. In particular, the censored data are replaced with the conditional expected value (CEV). A comparison between CUSUM and CUSUM ignoring unobserved covariates (CUSUM-IUC) charts is also a part of this study. The GE distribution is considered due to its application in reliability analysis. The performance of the charts is evaluated by using the average run length along with the standard devi…
COVID-19 Infection Process in Italy and Spain: Are Data Talking? Evidence From ARMA and Vector Autoregression Models
2020
COVID-19 (coronavirus disease 2019) has spread successfully worldwide in a matter of weeks. After the example of China, all the affected countries are taking hard-confinement measures to control the infection and to gain some time to reduce the significant amount of cases that arrive at the hospital. Although the measures in China reduced the percentages of new cases, this is not seen in other countries that have taken similar measures, such as Italy and Spain. After the first weeks, the worry was whether or not the healthcare system would collapse rather than its response to the patient's needs who are infected and require hospitalization. Using China as a mirror of what could happen in ou…