Optimal prediction of resistance and support levels

DOI10.1080/1350486X.2017.1297729MaRDI QIDQ4585686zbMATH OpenOpenAlexWikidataFDO

Authors Tiziano De Angelis, Goran Peskir

Publication date 6 September 2018

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486x.2017.1297729

zbMATH Keywords

free-boundary problemgeometric Brownian motionoptimal stoppingsmooth fittechnical analysisoptimal predictionlocal time-space calculusresistance and support levels

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• A change-of-variable formula with local time on curves
• Optimal detection of a hidden target: the median rule
• Quickest detection of a hidden target and extremal surfaces
• Three-dimensional Brownian motion and the golden ratio rule

Cited in

(3)

• Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon
• Optimal real-time detection of a drifting Brownian coordinate
• Continuity of the optimal stopping boundary for two-dimensional diffusions

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