- Volume 22 Issue 2
The Bollinger Band indicating the current price position in the recent price action range is obtained by adding/substracting the simple standard deviation (SSD) to/from the simple moving average (SMA). In this paper, we first compare the characteristics of the SMA and the exponential moving average (EMA) in the operator's point of view. A basic equation is obtained between the interval length N of the SMA operator and the weighting factor
Bollinger Band;ESD(Exponential Standard Deviation);Simple standard deviation;Discrete time fourier transform;Exponential moving average
- A.Papoulis and S.U.Pillai, Probability, "Random Variables and Stochastic Processes," 4th edition, McGraw Hill, 2002.
- A. V. Oppenheim . R. W. Schafer and J. R. Buck, "Discrete-time signal processing," Prentice Hall, 1999.
- Bollinger., Available at "http://en.wikipedia.org/wiki /Bollinger_Bands, (Downloaded 2 February, 2016).
- Kim Hyun-Ji., U-Jin Jang, "Trading strategies using an exponential moving average line," Joint Conference on Industrial Engineering Journal in Spring 2010, 2010.06, 1124-1130.
- Kwon Sang-Joo., "Robust Kalman Filtering with Perturbation Estimation Process-for Uncertain Systems, Journal of Institute of Control," Robotics and Systems, Vol.12, Iss. 3, 2006, 201-207.
- Kwon Seong-Ki, Dong-Myung Lee, "Performance Analysis of Compensation Algorithm for Localization Using the Equivalent Distance Rate and the Kalman Filter," The Journal of Korean Institute of Communications and Information Sciences, Vol.37, Iss. 5B, 2012, 370-376. https://doi.org/10.7840/KICS.2012.37B.5.370
- Lee Jae-Won, "Astock Trading System based on Supervised Learning of Highly Volatile Stock Price Patterns," Korean Institute of Information Scientists And Engineers, Computing Practices and Letters Article 19, No.1(2013), 23-29.
- Lee Jung-Youn, Hwang Sun-Myung, "Efficient Utilization Condition of MACD and Nontrend Status Detecting Index," Korean Institute of Information Scientists And Engineers, Korea Computer Conference in 2015, 2015, 630-632
- Oh Won-Seok, "Systematic future trading with a composition strategy," Korea Academic Society of Businee Administration, Conference and Annual General Meeting, 2008, 510-513.
- Rhee, Jung-Soo, "A note for hybrid Bollinger bands," Journal of the Korean Data and Information Science Society, Vol.21, Iss. 4, 2010, 777-782.
- S.J.Orfanidis., "Introduction to Signal Processing," Prentice Hall Inc, 2010.