Thursday, November 6, 2014

Statistical physics in foreign exchange currency and stock moving average http://technicalanalysis.org.uk/moving-averages/Ausl00.pdf

http://technicalanalysis.org.uk/moving-averages/Ausl00.pdf

Statistical physics in foreign exchange currency and stock ...
technicalanalysis.org.uk/moving-averages/Ausl00.pdf
Let two moving averages y 1 and y 2 be calculated, respectively, over e.g. T1 and T2

intervals such that T2>T1. If y(t) increases for a long period before decreasing rapidly,

y 1 will cross y 2 from above. In empirical nance this event is called a death cross



because the signal measured on a short-time interval decreases faster than the overall

trend, as measure by the average in the longer interval [23]. This leads to pessimism

concerning the behavior of the signal which should later hit some minimum. On the

contrary, if y 1 crosses y 2 from below, the crossing point coincides with an upsurge of

the signal y(t), { such a crossing is called a gold cross by optimism; it occurs before

a maximum. The density of crossing points between any two moving averages is



obviously a measure of long-range power-law correlations in the signal.
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