On some properties of Kagi and Renko trading strategies for Brownian motion

DOI10.1137/S0040585X97985376MaRDI QIDQ4905013zbMATH OpenOpenAlexFDO

Authors M. A. Spiryaev

Publication date 14 February 2013

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97985376

zbMATH Keywords

downfall and range of random walkKagi and Renko stopping timesKagi and Renko trading strategiesrandom walk

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Statistical methods; economic indices and measures (91B82)

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(3)

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

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