论文标题
具有内部自由度的移动平均水平
On a Moving Average with Internal Degrees of Freedom
论文作者
论文摘要
开发了一种新型的移动平均值。尽管常规的移动平均值（例如价格）具有内置的内部时间尺度（时间窗口，指数重量等），但本文开发的移动平均值的权重是按窗口因子的多项式的产物。多项式是从与其他可观察到的特征问题获得的波函数的平方（例如，执行流i = dv/dt，每单位时间交易的股票数）。这允许立即获得即时的“开关”，而无需限制常规移动平均线。
A new type of moving average is developed. Whereas a regular moving average (e.g. of price) has a built-in internal time scale (time-window, exponential weight, etc.), the moving average developed in this paper has the weight as the product of a polynomial by window factor. The polynomial is the square of a wavefunction obtained from an eigenproblem corresponding to other observable (e.g. execution flow I=dV/dt , the number of shares traded per unit time). This allows to obtain an immediate "switch" without lagging typical for regular moving average.
