Determination of the Best Simple Moving Average By Stochastic Processes

Yıl 2017, Cilt: 9 Sayı: 16, 59 - 67, 01.01.2017

Deniz İlalan

https://doi.org/10.14784/marufacd.305567

Öz

In this study, we consider one of the most popular technical indicators and try to determine the best fitting
simple moving average to a given data. Here we utilize from a general mean reverting stochastic process
where the mean is time dependent. We propose an identification algorithm which mainly concentrates
on the normality of the residual terms after the data is demeaned from simple moving average and also provide
evidence that our algorithm works quite well for determination of the “best” simple moving average.

Anahtar Kelimeler

tock Returns, Simple Moving Average, Mean Reverting Stochastic Processes, Normality Test

Stokastik Süreçlerle En İyi Basit Hareketli Ortalamanın Belirlenmesi

Öz

Bu çalışmada en gözde teknik analiz indikatörlerinden birisi incelenmiş ve veriye en iyi uyan basit hareketli
ortalama belirlenmeye çalışılmıştır. Burada, ortalamanın zamana bağlı olduğu genel bir ortalamaya
dönen stokastik süreçten faydalanılmıştır. Veri basit hareketli ortalamadan arındırıldıktan sonra kalan terimlerin
normal dağılımına odaklanan bir algoritma sunulmuştur. En iyi hareketli ortalamayı belirleyen algoritmamızın
çalıştığı bir örnek verilmiştir.

Anahtar Kelimeler

Hisse Getirileri, Basit Hareketli Ortalama, Ortalamaya Dönen Stokastik Süreçler, Normallik Testi

Kaynakça

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