Search results for "Moving"
showing 10 items of 182 documents
Performance Measurement and Outperformance Tests
2017
This chapter explains how to evaluate the performance of a trading strategy and how to carry out a statistical test of the hypothesis that a moving average trading strategy outperforms the corresponding buy-and-hold strategy. In particular, it argues that there is no unique performance measure, reviews the most popular performance measures, and points to the limitations of these measures. The chapter then surveys the parametric methods of testing the outperformance hypothesis and the current “state of the art” non-parametric methods.
Dynamic response of beams excited by moving oscillators: Approximate analytical solutions for general boundary conditions
2023
In this paper, the dynamic response of an Euler-Bernoulli beam with general boundary conditions (BCs) and subject to a moving oscillator is examined. Notably, novel approximate closed-form expressions are determined for the vertical responses of both the beam and the moving oscillator, specifically considering the effect of damping in these systems, commonly omitted in standard approaches in the literature. In this regard, a modal superposition procedure is adopted and combined with an appropriate expansion-based approach of the dynamic response of the system, which naturally arises considering the oscillator-beam mass ratio to be reasonably small. Further, general boundary conditions are t…
Fooled by Data-Mining: The Real-Life Performance of Market Timing with Moving Averages
2013
In this paper, we revisit the myths regarding the superior performance of market timing strategies based on moving average and time-series momentum rules. These active timing strategies are very appealing to investors because of their extraordinary simplicity and because they promise substantial advantages over their passive counterparts (see, for example, the paper by M. Faber (2007) "A Quantitative Approach to Tactical Asset Allocation" published in the Journal of Wealth Management). However, the ``too good to be true" reported performance of these market timing rules raises a legitimate concern as to whether this performance is realistic and whether investors can expect that future perfo…
On the moving load problem in Euler–Bernoulli uniform beams with viscoelastic supports and joints
2016
This paper concerns the vibration response under moving loads of Euler–Bernoulli uniform beams with translational supports and rotational joints, featuring Kelvin–Voigt viscoelastic behaviour. Using the theory of generalized functions to handle the discontinuities of the response variables at the support/joint locations, exact beam modes are obtained from a characteristic equation built as determinant of a (Formula presented.) matrix, for any number of supports/joints. Based on pertinent orthogonality conditions for the deflection modes, the response under moving loads is built in the time domain by modal superposition. Remarkably, all response variables are built in a closed analytical for…
Trend following with momentum versus moving averages: a tale of differences
2020
Despite the ever-growing interest in trend following and a series of publications in academic journals, there is a dearth of theoretical results on the properties of trend-following rules. Our pape...
Motion Analysis for Dynamic 3D Scene Reconstruction and Understanding
2017
This thesis studies the problem of dynamic scene 3D reconstruction and understanding using a calibrated 2D-3D camera setup mounted on a mobile platform via the analysis of objects' motions. For static scenes, the sought 3D map reconstruction can be obtained by registering the point cloud sequence. However, with dynamic scenes, we require a prior step of moving object elimination, which yields to the motion detection and segmentation problems. We provide solutions for the two practical scenarios, namely the known and unknown camera motion cases, respectively. When camera motion is unknown, our 3D-SSC and 3D-SMR algorithms segment the moving objects by analysing their 3D feature trajectories.…
Market Timing with Moving Averages: Anatomy and Performance of Trading Rules
2015
The underlying concept behind the technical trading indicators based on moving averages of prices has remained unaltered for more than half of a century. The development in this field has consisted in proposing new ad-hoc rules and using more elaborate types of moving averages in the existing rules, without any deeper analysis of commonalities and differences between miscellaneous choices for trading rules and moving averages. The first contribution of this paper is to uncover the anatomy of market timing rules with moving averages. Our analysis offers a new and very insightful reinterpretation of the existing rules and demonstrates that the computation of every trading indicator can equiva…
Effect of C/N shock variation on the performances of a moving bed membrane bioreactor.
2015
Abstract The effect of a sharp variation of C/N ratio in a moving bed membrane bioreactor (MB-MBR) pilot plant treating high strength wastewater has been investigated. The experimental campaign was divided into two periods, each characterized by a different C/N ratio (namely, 2.5 and 15, Period 1 and Period 2, respectively). The MB-MBR system was analyzed in terms of organic carbon removal, nitrification efficiency, biokinetic activity and fouling behavior. The results showed that the nitrification process was severely affected by lower C/N value and by high concentration of ammonia. It was noticed an extensive stress effect on the autotrophic bacteria. Furthermore, it was observed an incre…
A genetic algorithm for scratch removal in static images
2002
This paper investigates the removal of line scratches from old moving pictures and gives a twofold contribution. First, it presents a simple technique for detecting the scratches, based on an analysis of the statistics of the grey levels. Second, the scratch removal is approached as an optimisation problem, which is solved by using a genetic algorithm. The method can be classified as a static approach, as it works independently on each single frame of the sequence. It does not require any a-priori knowledge of the absolute position of the scratch, nor an external starting population of chromosomes for the genetic algorithm. The central column of the line scratch once detected is changed wit…
Imputation Strategies for Missing Data in Environmental Time Series for An Unlucky Situation
2005
After a detailed review of the main specific solutions for treatment of missing data in environmental time series, this paper deals with the unlucky situation in which, in an hourly series, missing data immediately follow an absolutely anomalous period, for which we do not have any similar period to use for imputation. A tentative multivariate and multiple imputation is put forward and evaluated; it is based on the possibility, typical of environmental time series, to resort to correlations or physical laws that characterize relationships between air pollutants.