RE: Investing

From: gts (
Date: Fri Jun 13 2003 - 13:30:15 MDT

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    Gary Miller wrote:

    > Is there any theory on the correct incorporation of weighting
    > for the temporal data in the model creation.

    Weighted moving averages accomplish this. For example if the value for the
    moving average is 100, and we want to add a new data point of 125, we can
    calculate the new weighted moving average as 125x + 100(1-x), where x is
    some number between 0 and 1. The sensitivity of the average to recent data
    is determined by the value we choose for x.


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