Mathematical Model for Resistance and OptimalStrategy

We propose a mathematical model for one pattern of charts studied in technicalanalysis: in a phase of consolidation, the price of a risky asset goes down times after hitting aresistance level.[....] []

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Year of publication:	2009-03-02
Authors:	Bérard Bergery, Blandine ; Profeta, Christophe ; Tanré, Etienne
Institutions:	National Centre of Competence in ResearchFinancial Valuation and Risk Management
Subject:	Portfoliomanagement \| portfolio management \| Optimierung \| Nonsmooth optimization \| Resistenz \| multilateral resistance \| Unterstützung \| Benefits

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1 Introduction
2 Study of the downcrossings of a brownian motion with drift<br<3 Construction of the price process
4 Study in the case where the number of downcrossings is xed
5 Study in the case where the number of downcrossings is random
6 Simulation and comparison with the classic results
7 Conclusion
Acknowledgement
References

Persistent link: https://www.econbiz.de/10005868775