Stock Market Causal High Pass Filter Model Documents

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Main Document

Causal High Pass Filter Model 

written by Matthew Mohorn

One application of econophysics is the use of high pass filters to analyze stock market data. To determine how fast the market is moving, the Stock Market Causal High Pass Filter Model uses a technique known as causal high pass filters to estimate market velocity and acceleration.  Different order indicators are presented in this model, and the user can study the sensitivity and accuracy of the various indicators.

Published April 15, 2013
Last Modified August 5, 2013

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Source Code Documents

Causal High Pass Filter Source Code 

The source code zip archive contains an XML representation of the Causal High Pass Filter Model.  Unzip this archive in your EJS workspace to compile and run this model using EJS.

Last Modified April 15, 2013