Mathematical model for resistance and optimal strategy

Blandine Berard Bergery 1 Christophe Profeta 1 Etienne Tanré 2
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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Submitted on : Tuesday, February 24, 2009 - 11:21:14 AM
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  • HAL Id : hal-00343924, version 2
  • ARXIV : 0812.3027

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

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