final case class EWMA(value: Double, alpha: Double) extends Product with Serializable

The exponentially weighted moving average (EWMA) approach captures short-term movements in volatility for a conditional volatility forecasting model. By virtue of its alpha, or decay factor, this provides a statistical streaming data model that is exponentially biased towards newer entries.

http://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average

An EWMA only needs the most recent forecast value to be kept, as opposed to a standard moving average model.

value

the current exponentially weighted moving average, e.g. Y(n - 1), or, the sampled value resulting from the previous smoothing iteration. This value is always used as the previous EWMA to calculate the new EWMA.

alpha

decay factor, sets how quickly the exponential weighting decays for past data compared to new data, see http://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average

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@SerialVersionUID()
Source
EWMA.scala
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Instance Constructors

  1. new EWMA(value: Double, alpha: Double)

    value

    the current exponentially weighted moving average, e.g. Y(n - 1), or, the sampled value resulting from the previous smoothing iteration. This value is always used as the previous EWMA to calculate the new EWMA.

    alpha

    decay factor, sets how quickly the exponential weighting decays for past data compared to new data, see http://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average

Value Members

  1. final def !=(arg0: Any): Boolean
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  2. final def ##(): Int
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    AnyRef → Any
  3. def +(other: String): String
    Implicit
    This member is added by an implicit conversion from EWMA to any2stringadd[EWMA] performed by method any2stringadd in scala.Predef.
    Definition Classes
    any2stringadd
  4. def ->[B](y: B): (EWMA, B)
    Implicit
    This member is added by an implicit conversion from EWMA to ArrowAssoc[EWMA] performed by method ArrowAssoc in scala.Predef.
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    ArrowAssoc
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    @inline()
  5. def :+(xn: Double): EWMA

    Calculates the exponentially weighted moving average for a given monitored data set.

    Calculates the exponentially weighted moving average for a given monitored data set.

    xn

    the new data point

    returns

    a new EWMA with the updated value

  6. final def ==(arg0: Any): Boolean
    Definition Classes
    AnyRef → Any
  7. val alpha: Double
  8. final def asInstanceOf[T0]: T0
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    Any
  9. def clone(): AnyRef
    Attributes
    protected[java.lang]
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    @native() @HotSpotIntrinsicCandidate() @throws( ... )
  10. def ensuring(cond: (EWMA) ⇒ Boolean, msg: ⇒ Any): EWMA
    Implicit
    This member is added by an implicit conversion from EWMA to Ensuring[EWMA] performed by method Ensuring in scala.Predef.
    Definition Classes
    Ensuring
  11. def ensuring(cond: (EWMA) ⇒ Boolean): EWMA
    Implicit
    This member is added by an implicit conversion from EWMA to Ensuring[EWMA] performed by method Ensuring in scala.Predef.
    Definition Classes
    Ensuring
  12. def ensuring(cond: Boolean, msg: ⇒ Any): EWMA
    Implicit
    This member is added by an implicit conversion from EWMA to Ensuring[EWMA] performed by method Ensuring in scala.Predef.
    Definition Classes
    Ensuring
  13. def ensuring(cond: Boolean): EWMA
    Implicit
    This member is added by an implicit conversion from EWMA to Ensuring[EWMA] performed by method Ensuring in scala.Predef.
    Definition Classes
    Ensuring
  14. final def eq(arg0: AnyRef): Boolean
    Definition Classes
    AnyRef
  15. def formatted(fmtstr: String): String
    Implicit
    This member is added by an implicit conversion from EWMA to StringFormat[EWMA] performed by method StringFormat in scala.Predef.
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    StringFormat
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    @inline()
  16. final def getClass(): Class[_]
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    @native() @HotSpotIntrinsicCandidate()
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  18. final def ne(arg0: AnyRef): Boolean
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  19. final def notify(): Unit
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    @native() @HotSpotIntrinsicCandidate()
  20. final def notifyAll(): Unit
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    @native() @HotSpotIntrinsicCandidate()
  21. final def synchronized[T0](arg0: ⇒ T0): T0
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  22. val value: Double
  23. final def wait(arg0: Long, arg1: Int): Unit
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    @throws( ... )
  24. final def wait(arg0: Long): Unit
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  25. final def wait(): Unit
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    @throws( ... )
  26. def [B](y: B): (EWMA, B)
    Implicit
    This member is added by an implicit conversion from EWMA to ArrowAssoc[EWMA] performed by method ArrowAssoc in scala.Predef.
    Definition Classes
    ArrowAssoc

Deprecated Value Members

  1. def finalize(): Unit
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    @Deprecated @deprecated @throws( classOf[java.lang.Throwable] )
    Deprecated

    (Since version ) see corresponding Javadoc for more information.

Inherited from Serializable

Inherited from Serializable

Inherited from Product

Inherited from Equals

Inherited from AnyRef

Inherited from Any

Inherited by implicit conversion any2stringadd from EWMA to any2stringadd[EWMA]

Inherited by implicit conversion StringFormat from EWMA to StringFormat[EWMA]

Inherited by implicit conversion Ensuring from EWMA to Ensuring[EWMA]

Inherited by implicit conversion ArrowAssoc from EWMA to ArrowAssoc[EWMA]

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