Mathematical model for resistance and optimal strategy
Probability
2009-02-24 v2
Abstract
We propose a mathematical model for one pattern of charts studied in technical analysis: in a phase of consolidation, the price of a risky asset goes down times after hitting a resistance level. We construct a mathematical strategy and we calculate the expectation of the wealth for the logaritmic utility function. Via simulations, we compare the strategy with the standard one.
Keywords
Cite
@article{arxiv.0812.3027,
title = {Mathematical model for resistance and optimal strategy},
author = {Blandine Berard Bergery and Christophe Profeta and Etienne Tanré},
journal= {arXiv preprint arXiv:0812.3027},
year = {2009}
}