V.11:3 (103-111): SIDEBAR: MATHEMATICA

V.11:3 (103-111): SIDEBAR: MATHEMATICA
Item# \V11\C03\SIDEMAT.PDF
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One measure of price volatility is to compute s, averaging the square difference between current closing prices and a smoothing filter, yi, and taking the square root that is,


with ci denoting the current closing price and yi denoting the current value of a data filter such as an N-point moving average. The s uses a longer 2N data length because there is much greater noise variability when we compute the square error.

First, we examine data lag versus moving average length N for a standard moving average. Suppose that the input sequence of values is a linear trend, as in ci = i. Then the moving average response is given by:


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