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Systematic tuning of optimal weighted-moving-average of yen-dollar market data

In: Practical Fruits of Econophysics

Author

Listed:
  • Takaaki Ohnishi

    (The University of Tokyo)

  • Takayuki Mizuno

    (Chuo University)

  • Kazuyuki Aihara

    (The University of Tokyo
    ERATO Aihara Complexity Modelling Project)

  • Misako Takayasu

    (Tokyo Institute of Technology)

  • Hideki Takayasu

    (Sony Computer Science Laboratories Inc.)

Abstract

We introduce a weighted-moving-average analysis for the tick-by-tick data of yen-dollar exchange market: price, transaction interval and volatility. The weights are determined automatically for given data by applying the Yule-Walker formula for autoregressive model. Although the data are non-stationary the resulting moving average gives a quite nice property that the deviation around the moving-average becomes a white noise.

Suggested Citation

  • Takaaki Ohnishi & Takayuki Mizuno & Kazuyuki Aihara & Misako Takayasu & Hideki Takayasu, 2006. "Systematic tuning of optimal weighted-moving-average of yen-dollar market data," Springer Books, in: Hideki Takayasu (ed.), Practical Fruits of Econophysics, pages 62-66, Springer.
    • Handle: RePEc:spr:sprchp:978-4-431-28915-9_10
    DOI: 10.1007/4-431-28915-1_10
    as

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