Some properties of Kagi and Renko moments for Brownian motion

DOI10.3103/S0027132212020076MaRDI QIDQ355294zbMATH OpenOpenAlexFDO

Authors M. A. Spiryaev

Publication date 24 July 2013

Published in Moscow University Mathematics Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3103/s0027132212020076

zbMATH Keywords

Brownian motionBachelier modelexpected gainKagi and Renko momentstrade models

Mathematics Subject Classification ID

Brownian motion (60J65) Trade models (91B60)

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Cites work

• On Some Probabilistic-Statistical Methods in Technical Analysis
• On some properties of Kagi and Renko trading strategies for Brownian motion

Cited in

(3)

• On some properties of Kagi and Renko trading strategies for Brownian motion
• Properties of Kagi and Renko moments for homogeneous diffusion processes
• On Some Probabilistic-Statistical Methods in Technical Analysis

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