Dynamical analysis of S&P500 momentum

Details Dynamical analysis of S&P500 momentum Dynamical analysis of S&P500 momentum

2002-05-11

arxiv.org/abs/cond-mat/0205241v1

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.

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