Skip to main content
main-content
Top

Hint

Swipe to navigate through the articles of this issue

01-04-2013 | Original Article | Issue 2/2013

International Journal of Machine Learning and Cybernetics 2/2013

Filtering financial time series by least squares

Journal:
International Journal of Machine Learning and Cybernetics > Issue 2/2013
Authors:
Adrian Letchford, Junbin Gao, Lihong Zheng

Abstract

Modeling of financial time series with artificial intelligence is difficult due to the random nature of the data. The moving average filter is a common and simple form of filter to reduce this noise. There are several of these noise reduction methods used throughout the financial security trading community. The major issue with these filters is the lag between the filtered data and the noisy data. This lag only increases as more noise reduction is desired. In the present marketplace, where investors are competing for quality and timely information, lag can be a hindrance. This paper proposes a new moving average filter derived with the aim of maximizing the level of noise reduction at each delay. Comparison between five different methods has been done and experiment results have shown that our method is a superior noise reducer to the alternatives over short and middle range lag periods.

Please log in to get access to this content

To get access to this content you need the following product:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

  • über 69.000 Bücher
  • über 500 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Umwelt
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Maschinenbau + Werkstoffe
  • Versicherung + Risiko

Testen Sie jetzt 30 Tage kostenlos.

Springer Professional "Technik"

Online-Abonnement

Mit Springer Professional "Technik" erhalten Sie Zugriff auf:

  • über 50.000 Bücher
  • über 380 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Umwelt
  • Maschinenbau + Werkstoffe




Testen Sie jetzt 30 Tage kostenlos.

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

  • über 58.000 Bücher
  • über 300 Zeitschriften

aus folgenden Fachgebieten:

  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Versicherung + Risiko




Testen Sie jetzt 30 Tage kostenlos.

Literature
About this article

Other articles of this Issue 2/2013

International Journal of Machine Learning and Cybernetics 2/2013 Go to the issue