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Dynamical analysis of S&P500 momentum

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  • Ivanova, K
  • Wille, L.T

Abstract

The dynamics of the S&P500 price signal is studied using a moving average technique. Particular attention is paid to intersections of two moving averages with different time horizons. The distributions of the slopes and angle between two moving averages at intersections is analyzed, as well as that of the waiting times between intersections. In addition, the distribution of maxima and minima in the moving average signal is investigated. In all cases, persistent patterns are observed in these probability measures and it is suggested that such variables be considered for better analysis and possible prediction of the trends of the signal.

Suggested Citation

  • Ivanova, K & Wille, L.T, 2002. "Dynamical analysis of S&P500 momentum," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 313(3), pages 625-639.
    • Handle: RePEc:eee:phsmap:v:313:y:2002:i:3:p:625-639
    DOI: 10.1016/S0378-4371(02)00967-6
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