A new measure of volatility using induced heavy moving averages

A new measure of volatility using induced heavy moving averages

The volatility is a dispersion technique widely used in statistics and economics. This paper presents a new way to calculate volatility by using different extensions of the ordered weighted average (OWA) operator. This approach is called the induced heavy ordered weighted moving average (IHOWMA) vo...

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Main Authors: Ernesto León-Castro, Luis Fernando Espinoza-Audelo, Ezequiel Aviles-Ochoa, José M. Merigó, Janusz Kacprzyk
Format: Article
Language:English
Published: Vilnius Gediminas Technical University 2019-05-01
Series:Technological and Economic Development of Economy
Subjects:
volatility
IHOWMA operator
exchange rate
moving average
Online Access:https://bme.vgtu.lt/index.php/TEDE/article/view/9374
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spelling doaj-df704b22b8dd49bfbc112cc37fb941452021-07-02T13:10:53ZengVilnius Gediminas Technical UniversityTechnological and Economic Development of Economy2029-49132029-49212019-05-0125410.3846/tede.2019.9374A new measure of volatility using induced heavy moving averagesErnesto León-Castro0Luis Fernando Espinoza-Audelo1Ezequiel Aviles-Ochoa2José M. Merigó3Janusz Kacprzyk4Faculty of Economics and Business Administration, Universidad Católica de la Santísima Concepción, 4070129 Concepción, ChileUniversity of Occidente, Blvd. Lola Beltrán s/n esq. Circuito Vial, Culiacán 80200, MéxicoUniversity of Occidente, Blvd. Lola Beltrán s/n esq. Circuito Vial, Culiacán 80200, MéxicoSchool of Systems, Management and Leadership, Faculty of Engineering and Information Technology, University of Technology Sydney, Ultimo, 2007 NSW, Australia; Department of Management Control and Information Systems, School of Economics and Business, University of Chile, Av. Diagonal Paraguay 257, 8330015 Santiago, ChileSystems Research Institute, Polish Academy of Sciences, Neweleska 6 street, 01-447, Warsaw, Poland The volatility is a dispersion technique widely used in statistics and economics. This paper presents a new way to calculate volatility by using different extensions of the ordered weighted average (OWA) operator. This approach is called the induced heavy ordered weighted moving average (IHOWMA) volatility. The main advantage of this operator is that the classical volatility formula only takes into account the standard deviation and the average, while with this formulation it is possible to aggregate information according to the decision maker knowledge, expectations and attitude about the future. Some particular cases are also presented when the aggregation information process is applied only on the standard deviation or on the average. An example in three different exchange rates for 2016 are presented, these are for: USD/MXN, EUR/MXN and EUR/USD. https://bme.vgtu.lt/index.php/TEDE/article/view/9374volatilityIHOWMA operatorexchange ratemoving average
collection DOAJ
language English
format Article
sources DOAJ
author Ernesto León-Castro
Luis Fernando Espinoza-Audelo
Ezequiel Aviles-Ochoa
José M. Merigó
Janusz Kacprzyk
spellingShingle Ernesto León-Castro
Luis Fernando Espinoza-Audelo
Ezequiel Aviles-Ochoa
José M. Merigó
Janusz Kacprzyk
A new measure of volatility using induced heavy moving averages
Technological and Economic Development of Economy
volatility
IHOWMA operator
exchange rate
moving average
author_facet Ernesto León-Castro
Luis Fernando Espinoza-Audelo
Ezequiel Aviles-Ochoa
José M. Merigó
Janusz Kacprzyk
author_sort Ernesto León-Castro
title A new measure of volatility using induced heavy moving averages
title_short A new measure of volatility using induced heavy moving averages
title_full A new measure of volatility using induced heavy moving averages
title_fullStr A new measure of volatility using induced heavy moving averages
title_full_unstemmed A new measure of volatility using induced heavy moving averages
title_sort new measure of volatility using induced heavy moving averages
publisher Vilnius Gediminas Technical University
series Technological and Economic Development of Economy
issn 2029-4913
2029-4921
publishDate 2019-05-01
description The volatility is a dispersion technique widely used in statistics and economics. This paper presents a new way to calculate volatility by using different extensions of the ordered weighted average (OWA) operator. This approach is called the induced heavy ordered weighted moving average (IHOWMA) volatility. The main advantage of this operator is that the classical volatility formula only takes into account the standard deviation and the average, while with this formulation it is possible to aggregate information according to the decision maker knowledge, expectations and attitude about the future. Some particular cases are also presented when the aggregation information process is applied only on the standard deviation or on the average. An example in three different exchange rates for 2016 are presented, these are for: USD/MXN, EUR/MXN and EUR/USD.
topic volatility
IHOWMA operator
exchange rate
moving average
url https://bme.vgtu.lt/index.php/TEDE/article/view/9374
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