Mathematical model for resistance and optimal strategy

MaRDI QIDQ6212010zbMATH OpenFDO

Authors Blandine Bérard Bergery, Christophe Profeta, Etienne Tanré

Publication date 16 December 2008

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic models in economics (91B70)

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 $xi$ 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.

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