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Scala: Guide for Data Science Professionals by Patrick R. Nicolas, Arun Manivannan, Pascal Bugnion

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Moving averages

Moving averages provide data analysts and scientists with a basic predictive model. Despite its simplicity, the moving average method is widely used in the technical analysis of financial markets to define a dynamic level of support and resistance for the price of a given security.

Note

Let's consider a time series xt= x(t) and a function f(xt-p, xt-1) that reduces the last p observations into a value or average. The prediction or estimation of the observation at t+1 is defined by the following formula:

Moving averages

Here, f is an average reducing function from the previous p data points.

The simple moving average

Simple moving average, a smoothing ...

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