# Mathematical model for resistance and optimal strategy

2 TOSCA
INRIA Lorraine, CRISAM - Inria Sophia Antipolis - Méditerranée , UHP - Université Henri Poincaré - Nancy 1, Université Nancy 2, INPL - Institut National Polytechnique de Lorraine, CNRS - Centre National de la Recherche Scientifique : UMR7502
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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Cited literature [18 references]

https://hal.archives-ouvertes.fr/hal-00343924
Contributor : Blandine Berard Bergery <>
Submitted on : Tuesday, February 24, 2009 - 11:21:14 AM
Last modification on : Wednesday, January 16, 2019 - 12:52:06 PM
Document(s) archivé(s) le : Wednesday, September 22, 2010 - 12:16:44 PM

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### Identifiers

• HAL Id : hal-00343924, version 2
• ARXIV : 0812.3027

### Citation

Blandine Berard Bergery, Christophe Profeta, Etienne Tanré. Mathematical model for resistance and optimal strategy. 2008. ⟨hal-00343924v2⟩

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