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Questions tagged [moving-average]

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5
votes
2answers
786 views

Is there a non-recursive way of calculating the exponential moving average?

I want to calculate the exponential moving average for many stocks in a large investable universe. To do this, I've seen the following formula: Because it references the previous day's exponential ...
19
votes
2answers
4k views

How to update an exponential moving average with missing values?

Say you have an Exponential Moving Average being continuously updated over a time series using 1-second-long time periods. What should happen if there is no value for the next second, e.g. there were ...
1
vote
1answer
95 views

Derivation (or proof) of commonly used formula showing relationship between time and smoothing factor in exponential smoothing

I am using simple exponential smoothing on historical market prices. There is a commonly held view (among market practitioners), that there is a simple relation between the period over which the data ...
1
vote
1answer
157 views

What is the fastest common moving average?

I am trying to find what standard moving average would give me the fastest adjustment or strongest weight to most recent data, but without changing the number of periods. Here is some sample data and ...