Dynamic Moving Average Over a Significant Interval to Derive Average Cost:An Application to Light Crude Oil
In financial technical analysis, moving average is the primary technical indicator used to analyze the price movement of financial instruments.One of the key issues to the success of any technical indicator is the selection of parameters.This paper presents a dynamic moving average, in which the length parameter of moving average is based on one of the vital market reality,which is the average cost over a significant interval.The evaluation was done on one of the most representative commodities,the light crude oil during its historical surge from early 2007 to mid 2008.The support level of crude oil price was studied using the conventional moving average in comparison to the purposed dynamic moving average.The result reveals an improvement to accuracy and precision in identifying support level during the strong up trend move.This study introduced a new way of interpreting and applying a technical indicator from fundamental reality underneath a financial instrument instead of relying purely on mathematical or statistical interpretation.The findings could open up a new dimension of technical analysis in financial time-series analysis,and allow more reliable interpretation and analysis of financial instruments.
Time series analysis statistical analysis data mining data analysis business information system financial engineering
Sim Kwan Hua
School of Engineering,Computing and Science Swinburne University of Technology(Campus Sarawak)Malaysia
国际会议
The 10th International Conference on Intelligent Technologies(第十届智慧科技国际会议 InTech09)
桂林
英文
171-175
2009-12-12（万方平台首次上网日期，不代表论文的发表时间）