| Full text | |
| Author(s): |
Leles, Michel C. R.
;
Cardoso, Adriano S. V.
;
Moreira, Mariana G.
;
Sbruzzi, Elton F.
;
Nascimento, Cairo L., Jr.
;
Guimaraesf, Homero N.
;
IEEE
Total Authors: 7
|
| Document type: | Journal article |
| Source: | 12TH ANNUAL IEEE INTERNATIONAL SYSTEMS CONFERENCE (SYSCON2018); v. N/A, p. 5-pg., 2018-01-01. |
| Abstract | |
A comparison between Moving Averages (MA) and two versions of Singular Spectrum Analysis (SSA) methodology - the Caterpillar and the Toeplitz - is presented. Caterpillar had already been studied in this manner but the same is not true for the Toeplitz SSA. Toeplitz SSA assumes the stationarity of the time-series, which means that the process needs to be mean-reverting. However, such assumption is not a necessary condition for the Caterpillar SSA. In this paper both approaches are applied to a trend estimation problem in order to be used as an indicator in trend-following technical rules design. Similarities and differences between these techniques are addressed. The obtained results suggest that, although SSA approaches provides more flexibility to achieve a desired trend resolution compared to the traditional MA, the Toeplitz SSA exhibit some issues that might put it off its use in this particular application. (AU) | |
| FAPESP's process: | 17/20248-8 - Employing computational intelligence techniques and Big Data analytics in a multi-agent system experiment of finance |
| Grantee: | Michel Carlo Rodrigues Leles |
| Support Opportunities: | Scholarships in Brazil - Post-Doctoral |
| FAPESP's process: | 16/04992-6 - Employing computational intelligence techniques and Big Data analytics in a multi-agent system experiment of finance |
| Grantee: | Cairo Lúcio Nascimento Júnior |
| Support Opportunities: | Research Grants - eScience and Data Science Program - Regular Program Grants |