FTB-C000313 / Formula component

Geometric Weight Decay

Geometric Weight Decay assigns observation influence that declines geometrically as age increases.

Also known asexponential decay weights

Intermediate Formula defined 1 linked topicPublished

Definitions

In plain terms

With smoothing constant alpha, a prior observation's recursive influence contains powers of one minus alpha.

Technical

The exact finite-sample weights depend on initialization, normalization, missing observations, and whether adjusted weighting is used.

Scope

Geometric decay is not the same as a finite linear WMA schedule.

Formula

Relative age-k weight is proportional to alpha * (1 - alpha)^k
LaTeX: w_k\propto\alpha(1-\alpha)^k
SymbolMeaningUnit
alphasmoothing constantratio
kobservation ageperiods

Output unit: relative weight

Examples

  • A governed lesson uses Geometric Weight Decay only with declared inputs, timing, parameters, and edge-case behavior.

Common misconceptions

  • Geometric decay is not the same as a finite linear WMA schedule.

Concept relationships

Prerequisites

Related

Required by

Where this concept is used

Tutorials planned

These catalogued topics use this concept, but their complete build has not shipped yet.

  • D07-F01-A02 Important

Evidence and governance

  1. Moving Average and Smoothing Methods NIST/SEMATECH · official standard

    Supports: preferred label, short definition, technical definition, formula

    Limits: Forecasting notation and initialization can differ from technical-indicator conventions and must be translated explicitly.

Reviewed by
fintech-builder-batch-006
Last reviewed
2026-07-27
Next review
2027-07-27
Record status
published
Written by

Fintech engineer building market-data and financial systems, and the author of every article, glossary record, and reference implementation on The Fintech Builder.