Abstract
More simple lag filters in series approximate well the Gaussian filter, which proves very useful also in the practice of trading.
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The order of the Gauss filter can also proceed further by inserting the EMA of the EMA in a third filter, thus obtaining the EMA of the EMA of the EMA … and so on. In reality, this procedure only approximates (but reasonably) the real filter Gauss, which, as a response to an input pulse, returns as output a Gaussian function. The approximation is allowed by the central limit theorem of statistics.
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© 2013 Springer-Verlag Italia
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Di Lorenzo, R. (2013). Gauss Filters. In: Trading Systems. Perspectives in Business Culture. Springer, Milano. https://doi.org/10.1007/978-88-470-2706-0_21
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DOI: https://doi.org/10.1007/978-88-470-2706-0_21
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Publisher Name: Springer, Milano
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Online ISBN: 978-88-470-2706-0
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