We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. The future price is linearly influenced by the difference between the moving average and the current price, together with a noise component. Our model is tested against financial datasets, showing an extremely good agreement with them.

Moving averages and price dynamics

SERVA, Maurizio
2002-01-01

Abstract

We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. The future price is linearly influenced by the difference between the moving average and the current price, together with a noise component. Our model is tested against financial datasets, showing an extremely good agreement with them.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11697/21648
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