Physics – Condensed Matter
Scientific paper
2002-05-11
Physics
Condensed Matter
17 pages, 9 figures; to be published in Physica A
Scientific paper
10.1016/S0378-4371(02)00967-6
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.
Ivanova Krassimira
Wille Luc T.
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