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Market timing with moving averages for fossil fuel and renewable energy stocks
Energy Reports, 2020 The paper examines whether the Moving Average (MA) technique can outperform random market timing in the energy sector, compiled of fossil and renewable energy producers.
Chia-Lin Chang +3 more
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Technical trading rules' profitability and dynamic risk premiums of cryptocurrency exchange rates [PDF]
Journal of Capital Markets Studies, 2022 Purpose – The study considers time-varying risk premium in investigating the capability of technical analysis (TA) to predict and outperform a buy–hold strategy in Bitcoin exchange rate returns. Design/methodology/approach – The study tests the technical
Khumbulani L. Masuku, Thabo J. Gopane
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Bounds for the covariance of functions of infinite variance stable random variables with applications to central limit theorems and wavelet-based estimation [PDF]
, 2007 We establish bounds for the covariance of a large class of functions of infinite variance stable random variables, including unbounded functions such as the power function and the logarithm.
Abry, Patrice +2 more
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A new measure of volatility using induced heavy moving averages
Technological and Economic Development of Economy, 2019 The volatility is a dispersion technique widely used in statistics and economics. This paper presents a new way to calculate volatility by using different extensions of the ordered weighted average (OWA) operator.
Ernesto León-Castro +4 more
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Optimal Length of Moving Average to Forecast Futures Basis
Journal of Agricultural and Resource Economics, 2010 The question addressed in this study is which length of historical moving average provides the best forecast of futures basis. Differences in observed forecast accuracy among the different moving averages are usually less than a cent per bushel, and most
Robert B. Hatchett +2 more
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Self-similarity of higher order moving averages [PDF]
, 2011 In this work, higher-order moving average polynomials are defined by straightforward generalization of the standard moving average. The self-similarity of the polynomials is analyzed for fractional Brownian series and quantified in terms of the Hurst ...
Anna Carbone +3 more
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International Journal of Technology, 2020 This study combines a fundamental analysis of the rationale for conservative investors’ transactions, as well as long-term, low-risk strategies, and a technical analysis of the search for entry points into short-term, high-risk speculation.
Lyukevich Igor Nickolaevich +2 more
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Computing (R, S) policies with correlated demand [PDF]
, 2018 This paper considers the single-item single-stocking non-stationary stochastic lot-sizing problem under correlated demand. By operating under a nonstationary (R, S) policy, in which R denote the reorder period and S the associated order-up-to-level, we ...
Martin-Barragan, Belen +3 more
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A 2-D Extension of the Trend Concept Applicable to Images, Surfaces and Space-Time Signals
Bulletin of the Polytechnic Institute of Jassy: Constructions, Architechture Section, 2022 The analysis of highly irregular processes is often based on the search for a trend, an average curve representing the general pattern of the phenomenon observed.
Padet Jacques
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, 2020 For a stationary moving average random field, a non-parametric low frequency estimator of the L\'evy density of its infinitely divisible independently scattered integrator measure is given.
Glück, Jochen +2 more
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