Generalized exponential moving average (EMA) model with particle filtering and anomaly detection

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• 作者：Masafumi Nakano^a ; ^{msfmnakano325@gmail.com} ; Akihiko Takahashi ; ^b ; ^{akihikot@e.u-tokyo.ac.jp} ; Soichiro Takahashi^a ; ^{s7takahashi1255@gmail.com}
• 关键词：Particle filtering ; Anomaly detection ; Exponential moving averages ; Stochastic volatility ; State space models ; Global financial assets
• 刊名：Expert Systems with Applications
• 出版年：2017
• 出版时间：1 May 2017
• 年：2017
• 卷：73
• 期：Complete
• 页码：187-200
• 全文大小：1769 K
• 卷排序：73

文摘

We propose a new exponential moving average (EMA) model in a state space framework. We develop 3 anomaly detectors with a particle filter used for investment decision. We implement investment analysis with our method by using global asset price data. Our scheme outperforms practically well-known strategies including standard EMAs.