Dynamical analysis of S\& P500 momentum

DOI10.1016/S0378-4371(02)00967-6zbMATH0998.91014OpenAlexW1975883294MaRDI QIDQ699137FDOQ699137

Authors M. C. Fu

Publication date 6 October 2002

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/cond-mat/0205241

zbMATH Keywords

moving average techniqueprice signalprobability measure patterns

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Abstract: 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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Cited in

(5)

• Sense, nonsense and the S\&P500
• \(n\)-tuple S\&P patterns across decades, 1950--2011
• Five years of phase space dynamics of the Standard \& Poor's 500
• Statistical inference and modelling of momentum in stock prices
• MOVING AVERAGES AND PRICE DYNAMICS

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