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Momentum is the change in an N-day simple moving average (SMA) between yesterday and today, with a scale factor N+1, i.e. + = This is the slope or steepness of the SMA line, like a derivative. This relationship is not much discussed generally, but it's of interest in understanding the signals from the indicator.
In finance, MIDAS (an acronym for Market Interpretation/Data Analysis System) is an approach to technical analysis initiated in 1995 by the physicist and technical analyst Paul Levine, PhD, [1] and subsequently developed by Andrew Coles, PhD, and David Hawkins in a series of articles [2] and the book MIDAS Technical Analysis: A VWAP Approach to Trading and Investing in Today's Markets. [3]
In statistics, a moving average (rolling average or running average or moving mean [1] or rolling mean) is a calculation to analyze data points by creating a series of averages of different selections of the full data set. Variations include: simple, cumulative, or weighted forms. Mathematically, a moving average is a type of convolution.
The simple moving average (SMA) is a literal average of prices over time. Taking the example of a 200-day simple moving average, you would add up the closing price of the stock over the past 200 ...
Because interest rate caps/floors are equivalent to bond puts and calls respectively, the above analysis shows that caps and floors can be priced analytically in the Hull–White model. Jamshidian's trick applies to Hull–White (as today's value of a swaption in the Hull–White model is a monotonic function of today's short rate). Thus ...
RAOs are computed in tandem with the generation of a hydrodynamic database, which is a model of the effects of water pressure upon the ship's hull under a wide variety of flow conditions. Together, the RAOs and hydrodynamic database provide (inasmuch as this is possible within modelling and engineering constraints) certain assurances about the ...
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