Following a trend with an exponential moving average: analytical results for a Gaussian model

DOI10.1016/j.physa.2013.10.007zbMath1402.91951arXiv1308.5658OpenAlexW2140456315MaRDI QIDQ1782520

Denis S. Grebenkov, Jeremy Serror

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1308.5658

zbMATH Keywords

quadratic formstrend followingcorrelated returnsdistribution of profits and lossesGaussian market modelsystematic trading

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Related Items (3)

An improved moving average technical trading rule ⋮ Optimal allocation of trend following strategies ⋮ Detailed study of a moving average trading rule

Cites Work

• Unnamed Item
• Forecasting Sales by Exponentially Weighted Moving Averages
• Critical market crashes
• An Introduction to Fluid Dynamics
• Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
• Theory of Financial Risk and Derivative Pricing
• More stylized facts of financial markets: leverage effect and downside correlations

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