ESTUDIO DE LAS APROXIMACIONES A LOS PROMEDIOS MÓVILES Y LAS VOLATILIDADES EXPONENCIALES

Abstract

n this paper different approaches are studied, for defining moving averages and volatiles from the exponential point of view that is, giving a larger weight to the more recent data. It is obtained that different approaches, appearing in the literature, have different definition problems. A method is proposed for defining a complete weighting system for correcting some of the problems present in these approaches. A recurrent formula that converges to the real moving average and the exponential volatile is proposed.
Finally, upper bounds are studied for the approximation error appearing when the studied formulae are used.