Following a trend with an exponential moving average: analytical results for a Gaussian model (Q1782520)
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scientific article; zbMATH DE number 6939629
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| English | Following a trend with an exponential moving average: analytical results for a Gaussian model |
scientific article; zbMATH DE number 6939629 |
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Following a trend with an exponential moving average: analytical results for a Gaussian model (English)
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20 September 2018
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trend following
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systematic trading
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distribution of profits and losses
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correlated returns
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Gaussian market model
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quadratic forms
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0.82997024
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0.81430656
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0.8124908
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0.81213576
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